wuxx1016 / Reinforcement-Learning-in-FinanceLinks
Reinforcement Learning in Finance
☆15Updated 4 years ago
Alternatives and similar repositories for Reinforcement-Learning-in-Finance
Users that are interested in Reinforcement-Learning-in-Finance are comparing it to the libraries listed below
Sorting:
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆28Updated 4 years ago
- Option hedging strategies are investigated using two reinforcement learning algorithms: deep Q network and deep deterministic policy grad…☆21Updated 5 years ago
- ☆49Updated 4 years ago
- Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elast…☆13Updated last year
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆10Updated 7 years ago
- The repository contains the code for project for DS 5500 course at Northeastern.☆36Updated 5 years ago
- Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.☆51Updated 2 years ago
- ☆33Updated last year
- A DQN agent that optimally hedges an options portfolio.☆24Updated 5 years ago
- Some implementations from the paper robust risk aware reinforcement learning☆35Updated 3 years ago
- My codework for my economics undergraduate thesis titled "Empirical Asset Pricing via Deep Learning"☆49Updated 5 years ago
- Deep Optimal Stopping Project☆15Updated 5 years ago
- Quant finance scripts☆16Updated last month
- Repository attached to the paper with the same name.☆21Updated 3 years ago
- A project of building and running a trading system according to service oriented architecture standard.☆15Updated 7 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
- Hedging unsing Deep Reinforcement Learning and Deep Learning☆24Updated 4 years ago
- ☆23Updated 3 years ago
- ☆19Updated 6 years ago
- Material for the workshop Machine Learning for Option Pricing, Calibration and Hedging☆15Updated 5 years ago
- Neural network local volatility with dupire formula☆76Updated 3 years ago
- Basic Limit Order Book functions☆21Updated 7 years ago
- ☆15Updated 2 years ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆33Updated 2 years ago
- Applying Differential Machine Learning to Calibrate Heston Model☆17Updated last year
- We implement RSQE and HQE simulation schemes from the paper Efficient simulation of affine forward volatility models.☆14Updated 2 years ago
- Calibration and pricing options in Heston model☆13Updated 7 years ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆61Updated 2 years ago
- Deep Learning methods to solve path-dependent PDEs / to price path-dependent derivatives like exotic options☆35Updated 3 years ago
- This project is a Python demonstrator for the stochastic grid bundling method (SGBM) to solve backward stochastic differential equations …☆12Updated 6 years ago