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:
- Repository attached to the paper with the same name.☆21Updated 4 years ago
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆29Updated 5 years ago
- Pytorch implementation of Deep Hedging, Utility Maximization and Portfolio Optimization☆14Updated 10 months ago
- Code for the paper Volatility is (mostly) path-dependent☆66Updated last year
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆35Updated 2 years ago
- ☆19Updated 7 years ago
- Material for the workshop Machine Learning for Option Pricing, Calibration and Hedging☆15Updated 5 years ago
- Implements Path Shadowing Monte Carlo (PSMC).☆79Updated 7 months ago
- This project is a Python demonstrator for the stochastic grid bundling method (SGBM) to solve backward stochastic differential equations …☆12Updated 6 years ago
- ☆16Updated 5 years ago
- Deep Learning methods to solve path-dependent PDEs / to price path-dependent derivatives like exotic options☆35Updated 3 years ago
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆10Updated 7 years ago
- Market simulator☆60Updated 5 years ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆64Updated 3 years ago
- ☆68Updated 2 months ago
- Statistical Jump Models in Python, with scikit-learn-style APIs☆83Updated 7 months ago
- JumpDiff: Non-parametric estimator for Jump-diffusion processes for Python☆48Updated 2 years ago
- Neural network local volatility with dupire formula☆78Updated 4 years ago
- Deep Neural Network Framework Based on Backward Stochastic Differential Equations for Pricing and Hedging American Options in High Dimens…☆21Updated 4 years ago
- TensorFlow implementation of the HARNet model for realized volatility forecasting.☆28Updated 2 years ago
- Portfolio optimization with cvxopt☆41Updated 6 months ago
- Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆87Updated 5 months ago
- ☆50Updated 5 years ago
- ☆36Updated last year
- Price options analytically given stock price characteristic function☆16Updated 9 years ago
- We implement RSQE and HQE simulation schemes from the paper Efficient simulation of affine forward volatility models.☆14Updated 3 years ago
- Quant finance scripts☆16Updated 4 months ago
- Code accompanying the paper "Pathwise methods for non-parametric online market regime detection and regime clustering for multidimensiona…☆34Updated 2 years ago
- Implementation of the Longstaff-Schwartz (American Monte Carlo) algorithm for pricing options and other derivatives with early-exercise f…☆25Updated 5 years ago
- Calibration of parameters of Heston and Bates models using Markov Chain Monte Carlo (MCMC)☆40Updated 4 years ago