vicaws / neuralSDE-marketmodelLinks
Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.
☆56Updated 3 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:
- Repository attached to the paper with the same name.☆21Updated 4 years ago
- JumpDiff: Non-parametric estimator for Jump-diffusion processes for Python☆49Updated 2 years ago
- Implements Path Shadowing Monte Carlo (PSMC).☆83Updated last year
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆38Updated 2 years ago
- ☆21Updated 7 years ago
- ☆70Updated 6 months ago
- Pytorch implementation of Deep Hedging, Utility Maximization and Portfolio Optimization☆17Updated last year
- This project is a Python demonstrator for the stochastic grid bundling method (SGBM) to solve backward stochastic differential equations …☆12Updated 7 years ago
- Neural network local volatility with dupire formula☆79Updated 4 years ago
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆33Updated 5 years ago
- ☆16Updated 5 years ago
- Code for the paper Volatility is (mostly) path-dependent☆71Updated last year
- Python library for Random Matrix Theory, cleaning schemes for correlation matrices, and portfolio optimization☆60Updated 3 years ago
- Deep Learning methods to solve path-dependent PDEs / to price path-dependent derivatives like exotic options☆36Updated 3 years ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆66Updated 3 years ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆123Updated last year
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆12Updated 8 years ago
- Deep Neural Network Framework Based on Backward Stochastic Differential Equations for Pricing and Hedging American Options in High Dimens…☆21Updated 5 years ago
- Market simulator☆61Updated 5 years ago
- Applying Differential Machine Learning to Calibrate Heston Model☆22Updated 2 years ago
- Implementation of the Longstaff-Schwartz (American Monte Carlo) algorithm for pricing options and other derivatives with early-exercise f…☆24Updated 5 years ago
- ☆80Updated 4 years ago
- Calibration of parameters of Heston and Bates models using Markov Chain Monte Carlo (MCMC)☆42Updated 5 years ago
- Using DeepBSDE solver to price/hedge options & optimize portfolios under Black-Scholes, Heston and multiscale models.☆17Updated 5 years ago
- Construction of local volatility surface by using SABR☆30Updated 8 years ago
- Implement, demonstrate, reproduce and extend the results of the Risk articles 'Differential Machine Learning' (2020) and 'PCA with a Diff…☆144Updated 3 years ago
- Quant finance scripts☆16Updated 8 months ago
- TensorFlow implementation of the HARNet model for realized volatility forecasting.☆28Updated 2 years ago
- We implement RSQE and HQE simulation schemes from the paper Efficient simulation of affine forward volatility models.☆17Updated 3 years ago
- Entropy Pooling in Python with a BSD 3-Clause license.☆41Updated 3 weeks ago