Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.
☆59Jan 5, 2023Updated 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. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- ☆16Jul 17, 2020Updated 5 years ago
- Robust pricing and hedging via Neural SDEs☆37Aug 4, 2021Updated 4 years ago
- Implementation of code snippets and exercises in the book Machine Learning for Asset Managers written by Prof. Marcos López de Prado.☆16Sep 10, 2020Updated 5 years ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆127Jan 10, 2024Updated 2 years ago
- Repository attached to the paper with the same name.☆21Jun 15, 2021Updated 4 years ago
- Wordpress hosting with auto-scaling on Cloudways • AdFully Managed hosting built for WordPress-powered businesses that need reliable, auto-scalable hosting. Cloudways SafeUpdates now available.
- Survey of neural network methods for derivatives pricing and risks☆14Jul 5, 2022Updated 3 years ago
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆13Mar 23, 2017Updated 9 years ago
- Implementation of the Longstaff-Schwartz (American Monte Carlo) algorithm for pricing options and other derivatives with early-exercise f…☆24Jun 24, 2020Updated 5 years ago
- This is a repository of scripts developed as part of the 2020 ENCMP100 Section B3 lecture taught at University of Alberta.☆10Apr 2, 2020Updated 6 years ago
- Limit Orderbook Replay/Analysis Library☆10Nov 19, 2018Updated 7 years ago
- ☆18Apr 24, 2021Updated 4 years ago
- Code for the paper Volatility is (mostly) path-dependent☆75Mar 22, 2024Updated 2 years ago
- Deep Learning methods to solve path-dependent PDEs / to price path-dependent derivatives like exotic options☆36Feb 15, 2022Updated 4 years ago
- Accompanying code to my master thesis: "Neural Network assisted Option Pricing under Rough Volatility: An Empirical Validation".☆12Apr 14, 2022Updated 3 years ago
- DigitalOcean Gradient AI Platform • AdBuild production-ready AI agents using customizable tools or access multiple LLMs through a single endpoint. Create custom knowledge bases or connect external data.
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆56Apr 15, 2019Updated 6 years ago
- We implement the paper: Deep Learning Volatility☆207May 10, 2020Updated 5 years ago
- Implements Path Shadowing Monte Carlo (PSMC).☆88Dec 19, 2024Updated last year
- Asset allocation and Portfolio Management Course @ Baruch MFE☆16Feb 1, 2020Updated 6 years ago
- Numerical methods (e.g., binomial trees, Monte Carlo, and finite different methods) for option pricing☆20Jul 4, 2018Updated 7 years ago
- SABR Implied volatility asymptotics☆24May 22, 2020Updated 5 years ago
- Implementation of the rough volatility model and its calibration☆10Jul 11, 2020Updated 5 years ago
- Operator Deep Smoothing☆14Feb 7, 2025Updated last year
- Finding the conditional distributions of a Gaussian Mixture Model☆13Nov 10, 2019Updated 6 years ago
- Managed hosting for WordPress and PHP on Cloudways • AdManaged hosting with the flexibility to host WordPress, Magento, Laravel, or PHP apps, on multiple cloud providers. Cloudways by DigitalOcean.
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆15May 23, 2022Updated 3 years ago
- code for "Neural Jump Ordinary Differential Equations"☆31Feb 16, 2023Updated 3 years ago
- This project is based upon the paper: Frazzini, A. & Pedersen, L. (2014). Betting against beta.☆22Jan 20, 2022Updated 4 years ago
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆130Oct 11, 2025Updated 5 months ago
- Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elast…☆15Jul 17, 2023Updated 2 years ago
- ☆30Jun 6, 2025Updated 10 months ago
- Vollab (Volatility Laboratory) is a python package for testing out different approaches to volatility modelling within the field of mathe…☆18Apr 30, 2021Updated 4 years ago
- A python implementation of the fast-reversion Heston model of Mechkov [2015, https://goo.gl/2awbrV], for FX purposes.☆13May 24, 2018Updated 7 years ago
- This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.☆10Mar 18, 2026Updated 3 weeks ago
- Wordpress hosting with auto-scaling on Cloudways • AdFully Managed hosting built for WordPress-powered businesses that need reliable, auto-scalable hosting. Cloudways SafeUpdates now available.
- Thesis support material☆11Mar 28, 2021Updated 5 years ago
- We implement RSQE and HQE simulation schemes from the paper Efficient simulation of affine forward volatility models.☆18Jun 10, 2022Updated 3 years ago
- ☆16Oct 25, 2023Updated 2 years ago
- Julia package for the book "Applied Quantitative Finance for Equity Derivatives"☆48Jun 18, 2025Updated 9 months ago
- Hawkes with Latency☆20Jan 16, 2021Updated 5 years ago
- ☆210Mar 29, 2023Updated 3 years ago
- ☆22Jan 5, 2018Updated 8 years ago