├── README.md ├── data ├── 1yr_treasury.csv └── heston_params.csv ├── include ├── actor_critic.py ├── data_keeper.py ├── env.py ├── network.py ├── option_functions.py ├── settings.py ├── simulation.py └── utility.py ├── main.py ├── requirements.txt ├── settings.json ├── settings ├── Empirical_kappa1.json ├── Empirical_kappa2.json ├── Empirical_kappa3.json ├── GBM_kappa1.json ├── GBM_kappa2.json ├── GBM_kappa3.json ├── Heston_kappa1.json ├── Heston_kappa2.json └── Heston_kappa3.json └── testing.py /README.md: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/oskarimikkila/Empirical-Deep-Hedging/HEAD/README.md -------------------------------------------------------------------------------- /data/1yr_treasury.csv: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/oskarimikkila/Empirical-Deep-Hedging/HEAD/data/1yr_treasury.csv -------------------------------------------------------------------------------- /data/heston_params.csv: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/oskarimikkila/Empirical-Deep-Hedging/HEAD/data/heston_params.csv -------------------------------------------------------------------------------- /include/actor_critic.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/oskarimikkila/Empirical-Deep-Hedging/HEAD/include/actor_critic.py -------------------------------------------------------------------------------- /include/data_keeper.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/oskarimikkila/Empirical-Deep-Hedging/HEAD/include/data_keeper.py -------------------------------------------------------------------------------- /include/env.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/oskarimikkila/Empirical-Deep-Hedging/HEAD/include/env.py -------------------------------------------------------------------------------- /include/network.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/oskarimikkila/Empirical-Deep-Hedging/HEAD/include/network.py -------------------------------------------------------------------------------- /include/option_functions.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/oskarimikkila/Empirical-Deep-Hedging/HEAD/include/option_functions.py -------------------------------------------------------------------------------- /include/settings.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/oskarimikkila/Empirical-Deep-Hedging/HEAD/include/settings.py -------------------------------------------------------------------------------- /include/simulation.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/oskarimikkila/Empirical-Deep-Hedging/HEAD/include/simulation.py -------------------------------------------------------------------------------- /include/utility.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/oskarimikkila/Empirical-Deep-Hedging/HEAD/include/utility.py -------------------------------------------------------------------------------- /main.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/oskarimikkila/Empirical-Deep-Hedging/HEAD/main.py -------------------------------------------------------------------------------- /requirements.txt: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/oskarimikkila/Empirical-Deep-Hedging/HEAD/requirements.txt -------------------------------------------------------------------------------- /settings.json: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/oskarimikkila/Empirical-Deep-Hedging/HEAD/settings.json -------------------------------------------------------------------------------- /settings/Empirical_kappa1.json: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/oskarimikkila/Empirical-Deep-Hedging/HEAD/settings/Empirical_kappa1.json -------------------------------------------------------------------------------- /settings/Empirical_kappa2.json: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/oskarimikkila/Empirical-Deep-Hedging/HEAD/settings/Empirical_kappa2.json -------------------------------------------------------------------------------- /settings/Empirical_kappa3.json: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/oskarimikkila/Empirical-Deep-Hedging/HEAD/settings/Empirical_kappa3.json -------------------------------------------------------------------------------- /settings/GBM_kappa1.json: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/oskarimikkila/Empirical-Deep-Hedging/HEAD/settings/GBM_kappa1.json -------------------------------------------------------------------------------- /settings/GBM_kappa2.json: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/oskarimikkila/Empirical-Deep-Hedging/HEAD/settings/GBM_kappa2.json -------------------------------------------------------------------------------- /settings/GBM_kappa3.json: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/oskarimikkila/Empirical-Deep-Hedging/HEAD/settings/GBM_kappa3.json -------------------------------------------------------------------------------- /settings/Heston_kappa1.json: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/oskarimikkila/Empirical-Deep-Hedging/HEAD/settings/Heston_kappa1.json -------------------------------------------------------------------------------- /settings/Heston_kappa2.json: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/oskarimikkila/Empirical-Deep-Hedging/HEAD/settings/Heston_kappa2.json -------------------------------------------------------------------------------- /settings/Heston_kappa3.json: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/oskarimikkila/Empirical-Deep-Hedging/HEAD/settings/Heston_kappa3.json -------------------------------------------------------------------------------- /testing.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/oskarimikkila/Empirical-Deep-Hedging/HEAD/testing.py --------------------------------------------------------------------------------