Repository for our course project where we compare simulation techniques within the deep hedging framework.
The main results can be seen in the following jupyter notebooks:
-
gjr-model.ipynb
- here we train a deep hedging network on GJR-GARCH paths and evaluate it on simulated and real paths
-
res-model.ipynb
- here we train a deep hedging network on RC paths and evaluate it on simulated and real paths
The notebook compare-sim-paths.ipynb includes the illustrations of the simulated paths shown in the report.
The notebook reservoir-simulation.ipynb generates the RC paths.
The GJRGARCH_ESTIMATION.R file generates the GJR-GARCH paths.
The generated data can be found here: https://www.kaggle.com/konmue/gjr-vol