https://github.com/aurelienperez/swing-options

Implementation of the two parametric strategies from Swing Contract Pricing: With and Without Neural Networks, combining global stochastic optimisation with either a payoff-volume model or a neural network.

adam langevin-dynamics stochastic-optimization swing-contracts

Last synced: 22 Aug 2025

https://github.com/aurelienperez/sciphy-rl-for-doctr-l

Offline Reinforcement Learning with neural PDEs.

deep-learning neural-pde reinforcement-learning stochastic-control

Last synced: 17 May 2026

https://github.com/aurelienperez/gpu-heston-monte-carlo

GPU-accelerated Monte Carlo simulation for option pricing under the Heston model using CUDA.

cuda gpu heston-model

Last synced: 01 Apr 2025

https://github.com/aurelienperez/aurelienperez

Config files for my GitHub profile.

config github-config

Last synced: 22 Feb 2026

https://github.com/aurelienperez/deep-hedging

Deep Hedging under market frictions.

black-scholes deep-hedging hedging heston

Last synced: 09 Apr 2025

https://github.com/aurelienperez/skills-introduction-to-github

My clone repository

Last synced: 21 Jan 2026

https://github.com/aurelienperez/fair-valuation-illiquid-assets

Utility indifference pricing in incomplete markets.

actuarial-science hamilton-jacobi-bellman incomplete-markets quantitative-finance utility-theory

Last synced: 07 Feb 2026

https://github.com/aurelienperez/deep-learning-qa-pipelines

Evaluation of question answering pipelines combining retrieval methods and large language models.

Last synced: 28 Jan 2026