GitHub - anthonyli01/Neural-Network-Approach-to-Implied-Volatility-Forecasting: Implied volatility is a key aspect when it comes to derivatives pricing. With the growing influence of machine learning in finance, I have investigated the use of LSTMs to forecast 1-day forward Implied Volatility.

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Neural-Network-Approach-to-Implied-Volatility-Forecasting

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Implied volatility is a key aspect when it comes to derivatives pricing. With the growing influence of machine learning in finance, I have investigated the use of LSTMs to forecast 1-day forward Implied Volatility.

cross-validation garch-models implied-volatility lstm machine-learning neural-network optimization pytorch regularization rnn tensorflow

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Name		Name	Last commit message	Last commit date
files		files
.gitignore		.gitignore
Code.ipynb		Code.ipynb
Neural Network Approach to Implied Volatility Forecasting.pdf		Neural Network Approach to Implied Volatility Forecasting.pdf
Sentiment_Index.csv		Sentiment_Index.csv
poetry.lock		poetry.lock
pyproject.toml		pyproject.toml
shortened.ipynb		shortened.ipynb

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cross-validation garch-models implied-volatility lstm machine-learning neural-network optimization pytorch regularization rnn tensorflow

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