wahido / neural_locVolLinks
☆15Updated 4 years ago
Alternatives and similar repositories for neural_locVol
Users that are interested in neural_locVol are comparing it to the libraries listed below
Sorting:
- Deep Neural Network Framework Based on Backward Stochastic Differential Equations for Pricing and Hedging American Options in High Dimens…☆21Updated 4 years ago
- ☆11Updated last year
- Calibration and pricing options in Heston model☆13Updated 7 years ago
- Material for the workshop Machine Learning for Option Pricing, Calibration and Hedging☆15Updated 5 years ago
- Topic : Option trading Strategies , B&S , Implied Volatility &Stochastic & Local Volatility , Geometric Brownian Motion.☆26Updated last year
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆29Updated 5 years ago
- ☆16Updated 5 years ago
- Calibration and Simulation Engine for Local Volatility Models☆11Updated 3 years ago
- Accompanying code to my master thesis: "Neural Network assisted Option Pricing under Rough Volatility: An Empirical Validation".☆11Updated 3 years ago
- A cursory look at the dynamics of zero coupon bond yield curves.☆13Updated 2 years ago
- Python Package: Fitting and Forecasting the yield curve☆37Updated 4 years ago
- Code for the paper "Hedging with linear regressions and neural networks"☆37Updated 4 years ago
- This project implements the following models to value options in Python: 1. Black-Scholes model 2. Bachelier model 3. Black76 model 4. Di…☆16Updated 6 years ago
- This course focuses on computational methods in option and interest rate, product’s pricing and model calibration. The first module will …☆10Updated 3 years ago
- ☆17Updated 3 years ago
- Repository attached to the paper with the same name.☆21Updated 4 years ago
- This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.☆10Updated 4 months ago
- European and Forward-start option pricing and implied volatility in the Heston and rough Heston model☆20Updated 5 years ago
- Price options analytically given stock price characteristic function☆16Updated 9 years ago
- baruch mfe mth9814 financial instruments☆15Updated 7 years ago
- Baruch MFE program quant lab☆29Updated 7 years ago
- Survey of neural network methods for derivatives pricing and risks☆14Updated 3 years ago
- Q-quant和因子投资实证汇总☆22Updated 4 years ago
- ☆19Updated 7 years ago
- Asset allocation and Portfolio Management Course @ Baruch MFE☆14Updated 5 years ago
- Fitting Volatility using SSVI with quotient phi, but by slice fitting fashion☆17Updated last year
- ☆36Updated last year
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆50Updated 6 years ago
- Script to fit the Heston-Nandi GARCH(1,1) model. Includes MLE of parameters, future path simulation, Monte Carlo simulation for option pr…☆13Updated 4 years ago
- Calibration of a Surface SVI☆13Updated 6 years ago