deep-hedger-peng Goto Github PK

afm-423-gpr2-realized-volatility-modelling

AFM 423 ML project

deep-hedging-of-long-term-financial-derivatives

This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.

equal-risk-pricing-with-deep-hedging

This notebook presents an example of the equal risk pricing framework with deep hedging from my paper Carbonneau, A. and Godin, F. (2020). Equal Risk Pricing of Derivatives with Deep Hedging.

har-rv

A python-based implementation of the HAR model to forecast realized volatility on SPY.

har-rvmodelforrealizedvolatility

HAR-RV Model For Realized Volatility

hedging-by-deep-learning

Msc Statistics Project

hedging_neural_networks

Code for the paper "Hedging with neural networks"

optionhedge

reinforcement-learning-an-introduction

Python implementation of Reinforcement Learning: An Introduction

sp500-volatility-prediction

vix

波动率指数的计算，修改自https://github.com/Alexdachen/ivix

vol_prediction

Realized Volatility Forecasting modeling

vol_prediction-1

predict volatility of high frequency data

volatility-prediction

volatility-predictions-with-python

Volatility predictions with Autoregressive and Heterogenious Autoregressive models including performance validation. The code contains an example with Amazon stocks and its Garman Klass Volatility.