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:
- ☆11Updated last year
- Deep Neural Network Framework Based on Backward Stochastic Differential Equations for Pricing and Hedging American Options in High Dimens…☆21Updated 4 years ago
- Python Package: Fitting and Forecasting the yield curve☆37Updated 4 years ago
- Calibration and pricing options in Heston model☆13Updated 7 years ago
- Volatility is Rough☆9Updated 2 years ago
- Material for the workshop Machine Learning for Option Pricing, Calibration and Hedging☆15Updated 5 years ago
- This course focuses on computational methods in option and interest rate, product’s pricing and model calibration. The first module will …☆10Updated 2 years ago
- ☆16Updated 5 years ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆50Updated 6 years ago
- This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.☆10Updated 3 months ago
- European and Forward-start option pricing and implied volatility in the Heston and rough Heston model☆20Updated 5 years ago
- Survey of neural network methods for derivatives pricing and risks☆14Updated 3 years ago
- Accompanying code to my master thesis: "Neural Network assisted Option Pricing under Rough Volatility: An Empirical Validation".☆11Updated 3 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
- Price options analytically given stock price characteristic function☆16Updated 9 years ago
- A Python implementation of the Longstaff-Schwartz linear regression algorithm for the evaluation of call rights an American options.☆43Updated last year
- baruch mfe mth9814 financial instruments☆15Updated 7 years ago
- Topic : Option trading Strategies , B&S , Implied Volatility &Stochastic & Local Volatility , Geometric Brownian Motion.☆26Updated last year
- Code for the paper "Hedging with linear regressions and neural networks"☆37Updated 4 years ago
- ☆19Updated 7 years ago
- Recreation of Diebold and Li: Forecasting the term structure of government bond yields in python.☆26Updated 9 years ago
- Calibration and Simulation Engine for Local Volatility Models☆11Updated 3 years ago
- ☆36Updated last year
- ☆71Updated 2 years ago
- FactorLab is a python library which enables the transformation of raw data into informative alpha and risk factors used in the investment…☆24Updated 3 years ago
- Asset allocation and Portfolio Management Course @ Baruch MFE☆14Updated 5 years ago
- Arbitrage free SVI Surface☆14Updated 7 years ago
- Baruch MFE program quant lab☆29Updated 7 years ago
- Code for the paper Volatility is (mostly) path-dependent☆66Updated last year
- Get breakeven volatility through Delta Hedging and Gamma Hedging; Fit the volatility smile by SABR and SVI model☆18Updated 5 years ago