Monte Carlo Methods for Option Pricing and Greeks

Posted on Sat 01 May 2021 in Options • Tagged with pricing, pytorch, monte-carlo

Using PyTorch to easily compute Option Greeks first using Black-Scholes and then Monte Carlo methods.


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Mixture Density Network for Forecasting Realized Volatility

Posted on Wed 07 April 2021 in Volatility • Tagged with volatility, forecasting, mixture-density-network, machine-learning, pytorch, model-building

Using a mixture density neural network implemented in PyTorch to forecast the distribution of future realized volatility.


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