Welcome to the Spot Options Hedging Strategies and Data Extraction repository! This project aims to provide a comprehensive collection of different spot options hedging strategies, including a modified deep hedging model developed by Dr. Hans Buhler, as well as implementations of the Heston model, Multi-Greek hedging, and Variance Gamma methods. Additionally, the repository contains files that facilitate data cleaning and extraction from typical order book structures, which can be uploaded as CSV files.
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Modified Deep Hedging Model: The repository includes an implementation of a modified deep hedging model developed by Dr. Hans Buhler. This model incorporates specific enhancements to improve hedging performance and risk management for spot options.
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Heston Model: An implementation of the Heston model, which is widely used to capture the dynamics of stock prices and volatility, enabling accurate pricing and hedging of options.
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Multi-Greek Hedging: This strategy focuses on hedging options using multiple risk factors, such as delta, gamma, and vega, to optimize hedging performance under various market conditions.
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Variance Gamma: An implementation of the Variance Gamma model, which is a popular stochastic volatility model used to price and hedge options in financial markets.
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Data Cleaning and Extraction: The repository provides files and utilities to clean and extract relevant data from typical order book structures, allowing for easier preprocessing and analysis of market data.