https://github.com/pratycodes/neuropricer
https://github.com/pratycodes/neuropricer
Last synced: 5 months ago
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- Host: GitHub
- URL: https://github.com/pratycodes/neuropricer
- Owner: pratycodes
- License: mit
- Created: 2025-05-27T12:03:06.000Z (about 1 year ago)
- Default Branch: main
- Last Pushed: 2025-05-27T12:17:10.000Z (about 1 year ago)
- Last Synced: 2025-07-02T17:41:17.446Z (12 months ago)
- Size: 2.93 KB
- Stars: 0
- Watchers: 0
- Forks: 0
- Open Issues: 0
-
Metadata Files:
- Readme: README.md
- License: LICENSE
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README
# Neural SDEs for Option Pricing
This project implements a Neural Stochastic Differential Equation (SDE) based model to price financial derivatives, comparing it to classical models like Black-Scholes, Heston, and SABR. It uses real market data, stochastic calculus, and deep learning (PyTorch + torchsde).
## Project Structure
- `baseline/`: Black-Scholes, Heston, SABR
- `models/`: Neural SDE architecture
- `sde_solver/`: SDE simulation engine
- `pricing/`: Monte Carlo and option pricing
- `data/`: Real-world option chains
- `notebooks/`: EDA, prototyping
- `report/`: Mathematical derivations (LaTeX)
## Installation
```bash
python -m venv venv
source venv/bin/activate
pip install -r requirements.txt