Code for the paper "Hedging with linear regressions and neural networks"
☆40May 14, 2021Updated 4 years ago
Alternatives and similar repositories for Hedging_Neural_Networks
Users that are interested in Hedging_Neural_Networks are comparing it to the libraries listed below. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- Code for Undergraduate Dissertation; Exploration of Discrete Time Mean-Variance Hedging strategies 📈☆17Sep 25, 2021Updated 4 years ago
- Hedging unsing Deep Reinforcement Learning and Deep Learning☆26Mar 29, 2021Updated 5 years ago
- Large Deviations for volatility options☆13Feb 28, 2019Updated 7 years ago
- Calibration and pricing options in Heston model☆14Dec 24, 2017Updated 8 years ago
- Survey of neural network methods for derivatives pricing and risks☆14Jul 5, 2022Updated 3 years ago
- NordVPN Threat Protection Pro™ • AdTake your cybersecurity to the next level. Block phishing, malware, trackers, and ads. Lightweight app that works with all browsers.
- A Deep Learning Framework for Neural Derivative Hedging☆31Feb 3, 2022Updated 4 years ago
- This notebook presents an example of the equal risk pricing framework with deep hedging from my paper Carbonneau, A. and Godin, F. (2020)…☆15Oct 15, 2021Updated 4 years ago
- C++ option pricing library on vanillas & exotics, Python volatility calibration library☆21Aug 20, 2024Updated last year
- A curated list of resources dedicated to Deep Hedging☆87Nov 5, 2022Updated 3 years ago
- ☆49Jul 22, 2020Updated 5 years ago
- Deep Hedging Demo - An Example of Using Machine Learning for Derivative Pricing.☆162Jan 17, 2021Updated 5 years ago
- ☆26Mar 23, 2025Updated last year
- ☆10Nov 4, 2018Updated 7 years ago
- Material for the workshop Machine Learning for Option Pricing, Calibration and Hedging☆16Feb 26, 2020Updated 6 years ago
- Virtual machines for every use case on DigitalOcean • AdGet dependable uptime with 99.99% SLA, simple security tools, and predictable monthly pricing with DigitalOcean's virtual machines, called Droplets.
- ☆14Mar 1, 2024Updated 2 years ago
- ☆22Jun 20, 2018Updated 7 years ago
- Reinforcement Learning in Finance☆16Oct 8, 2020Updated 5 years ago
- We implement the rough Heston model☆16Jan 24, 2024Updated 2 years ago
- Robust pricing and hedging via Neural SDEs☆37Aug 4, 2021Updated 4 years ago
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆34Jul 28, 2020Updated 5 years ago
- Variance Gamma distribution (Python): pdf, cdf, rand and fit.☆11Mar 8, 2018Updated 8 years ago
- FFT-based Option Pricing Methods in Python☆59Aug 29, 2018Updated 7 years ago
- Fractional Brownian Motion package☆11Jun 24, 2022Updated 3 years ago
- Bare Metal GPUs on DigitalOcean Gradient AI • AdPurpose-built for serious AI teams training foundational models, running large-scale inference, and pushing the boundaries of what's possible.
- ☆15Jul 9, 2022Updated 3 years ago
- Deep Neural Network Framework Based on Backward Stochastic Differential Equations for Pricing and Hedging American Options in High Dimens…☆21Nov 12, 2020Updated 5 years ago
- Market simulator☆62Jul 24, 2020Updated 5 years ago
- ☆21Oct 26, 2020Updated 5 years ago
- Minimal implementation and experiments of "No-Transaction Band Network: A Neural Network Architecture for Efficient Deep Hedging".☆31May 26, 2021Updated 4 years ago
- ☆12Dec 22, 2023Updated 2 years ago
- Paper published in the Journal of Investment Management, co-authored with Sanjiv R. Das☆13Oct 4, 2017Updated 8 years ago
- ☆10Jun 11, 2024Updated last year
- Improve S&P 500 stock price prediction (random forest and gradient boosting trees) with time series similarity measurements: DTW, SAX, co…☆99Nov 20, 2021Updated 4 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.
- Solutions to machine learning HW from bloomberg ml course☆11Jun 23, 2019Updated 6 years ago
- ☆18Sep 30, 2021Updated 4 years ago
- Option hedging strategies are investigated using two reinforcement learning algorithms: deep Q network and deep deterministic policy grad…☆21Nov 28, 2019Updated 6 years ago
- Deep Learning methods to solve path-dependent PDEs / to price path-dependent derivatives like exotic options☆36Feb 15, 2022Updated 4 years ago
- ☆29Aug 5, 2023Updated 2 years ago
- Applying Differential Machine Learning to Calibrate Heston Model☆22Sep 24, 2023Updated 2 years ago
- Hedging portfolios with reinforcement learning.☆36Aug 2, 2017Updated 8 years ago