Deep Regression Ensemble

Implementation of the Deep Regression Ensemble algorithm | [PIP] | [GIT]

  • Fast and easy to use (as easy as the sklearn package).

  • Light saving of trained model.

  • Efficient on GPUs/CPUs.

Deep Surrogate

A python package giving easy access to pre-train deep-surrogate models | [GIT]

  • Pre-trained surrogates for the pricing of European options :

    • Heston model .

    • Bates model with double-exponential-jumps.

  • Quick and easy computation of:

    • Prices,

    • Black-Scholes implied volatilities.

    • Gradients of the model.

  • Quick and easy calibration of the model on data.


Python package design to help project management and result integration for financial research | [PIP] | [GIT]

  • Dynamic parameter management at project level.

  • Easy organization of regression results, and creation of latex table.

  • Automatic production of latex paper with text, tables and figures, with format imitating Journal of Finance, all directly from python code.