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Material for the workshop Machine Learning for Option Pricing, Calibration and Hedging

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Autograd.ipynb
Autograd.ipynb
 
 
BVP_ODE_3.ipynb
BVP_ODE_3.ipynb
 
 
Calibration_Illustration.ipynb
Calibration_Illustration.ipynb
 
 
Fll_Call_ivol_2.ipynb
Fll_Call_ivol_2.ipynb
 
 
HW_1F_Pricing.ipynb
HW_1F_Pricing.ipynb
 
 
Heston.py
Heston.py
 
 
Heston_Usage.ipynb
Heston_Usage.ipynb
 
 
Learn2dFunction.ipynb
Learn2dFunction.ipynb
 
 
LearnSine_JK.ipynb
LearnSine_JK.ipynb
 
 
ML_Calibration_Heston_Data.zip
ML_Calibration_Heston_Data.zip
 
 
NNParametersHeston_ivol_long2_neg.txt
NNParametersHeston_ivol_long2_neg.txt
 
 
PDE_Autorgrad_Experiment_bwd_deep_out.ipynb
PDE_Autorgrad_Experiment_bwd_deep_out.ipynb
 
 
README.md
README.md
 
 
stochastic_gradient_descent.ipynb
stochastic_gradient_descent.ipynb
 
 
surfacesFromNNHeston_ivol_long2_neg.txt
surfacesFromNNHeston_ivol_long2_neg.txt
 
 

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Machine-Learning---Option-Pricing-Calibration-Hedging--

Material for the workshop Machine Learning for Option Pricing, Calibration and Hedging

The training set for the Heston calibration could not be uploaded wrt size constraints. If interested please email joerg(at)finciraptor.de and I will create a download link!

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Material for the workshop Machine Learning for Option Pricing, Calibration and Hedging

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