RoughStochVol

This aims to collect code from researchers working on problems arising from rough stochastic volatility models.

Pinned Repositories

rBergomi
C++ implementation of rBergomi model
Language:C++23 6 06
regularity_structure_finance
Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.
Language:Python9 2 01
small-time_asymptotics_fractional
Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.
Language:Python12 4 07

RoughStochVol's Repositories

RoughStochVol/rBergomi
C++ implementation of rBergomi model
Language:C++23 6 06
RoughStochVol/small-time_asymptotics_fractional
Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.
Language:Python12 4 07
RoughStochVol/regularity_structure_finance
Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.
Language:Python9 2 01