vicaws / neuralSDE-marketmodelLinks
Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.
☆51Updated 2 years ago
Alternatives and similar repositories for neuralSDE-marketmodel
Users that are interested in neuralSDE-marketmodel are comparing it to the libraries listed below
Sorting:
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆28Updated 4 years ago
- Statistical Jump Models in Python, with scikit-learn-style APIs☆70Updated 4 months ago
- Neural network local volatility with dupire formula☆76Updated 3 years ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆33Updated 2 years ago
- This project is a Python demonstrator for the stochastic grid bundling method (SGBM) to solve backward stochastic differential equations …☆12Updated 6 years ago
- Accompanying code to my master thesis: "Neural Network assisted Option Pricing under Rough Volatility: An Empirical Validation".☆11Updated 3 years ago
- Code for the paper Volatility is (mostly) path-dependent☆61Updated last year
- Pytorch implementation of Deep Hedging, Utility Maximization and Portfolio Optimization☆14Updated 8 months ago
- Applying Differential Machine Learning to Calibrate Heston Model☆17Updated last year
- ☆19Updated 6 years ago
- ☆65Updated 2 weeks ago
- Repository attached to the paper with the same name.☆21Updated 3 years ago
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆10Updated 7 years ago
- Some implementations from the paper robust risk aware reinforcement learning☆35Updated 3 years ago
- ☆14Updated 3 years ago
- Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆74Updated 2 months ago
- Semi-automatic analysis of a financial series using Python.☆13Updated 3 years ago
- ☆16Updated 4 years ago
- Portfolio optimization with cvxopt☆38Updated 4 months ago
- Implementation of the Longstaff-Schwartz (American Monte Carlo) algorithm for pricing options and other derivatives with early-exercise f…☆25Updated 4 years ago
- Implements Path Shadowing Monte Carlo (PSMC).☆72Updated 5 months ago
- This project is based upon the paper: Frazzini, A. & Pedersen, L. (2014). Betting against beta.☆17Updated 3 years ago
- Deep Learning methods to solve path-dependent PDEs / to price path-dependent derivatives like exotic options☆35Updated 3 years ago
- Replication codes for Deep Learning Credit Risk Modeling by Manzo, Qiao☆21Updated 3 years ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆50Updated 6 years ago
- Code accompanying the paper "Pathwise methods for non-parametric online market regime detection and regime clustering for multidimensiona…☆32Updated last year
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆119Updated last year
- Option pricing with various models (Black-Scholes, Heston, Merton jump diffusion, etc) and methods (Monte Carlo, finite difference, Fouri…☆77Updated 3 years ago
- TensorFlow implementation of the HARNet model for realized volatility forecasting.☆28Updated last year
- Material for the workshop Machine Learning for Option Pricing, Calibration and Hedging☆15Updated 5 years ago