rough-volatility

There are 6 repositories under rough-volatility topic.

ryanmccrickerd/rough_bergomi
A Python implementation of the rough Bergomi model.
Language:Jupyter Notebook113 9 342
bstemper/deep_rough_calibration
C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.
Language:Jupyter Notebook35 3 217
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
ArtemySazonov/RoughnessEstimation
Repository of the 'Pricing under Rough Volatility Models' Student Lab
Language:Jupyter Notebook10