There are some things you can do. If you call the police non-emergency number you can put in a noise complaint, but if it's the weekend they won't show up for hours after you make the call. Still, if it's something that's happening routinely it means it will go on record as a nuisance. It is anti-social behaviour so if it happens regularly there can be consequences.
Don't play music at them, it will simply further convince them that they're perfectly justified. Plus, it's much easier to sleep through noise than to go to sleep with noise still going on. If they're staying up late, it's probably not going to make a big difference to them if you're making noise in the morning, as they'll still be fast asleep.
Just keep going over and telling them to turn it down, preferably as a group. You can explain that you're going to start making noise complaints if they carry on, but don't give them a timeline or ultimatum on that because they'll just assume it's fine once it passes. Bear in mind though, they're pretty young and probably pretty immature. They are going to want to have the occasional party or late night. It's just not fair if it's every week, try to reach some kind of compromise rather than going in guns blazing.
In the short term, maybe buy some earplugs (was is better than foam) and try really hard not to let it get you. You can learn to sleep at a different noise level to what you're used to, but the more stressed you let it make you the harder it will be to get that skill down.
