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@RoughStochVol

RoughStochVol

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

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  1. rBergomi rBergomi Public

    C++ implementation of rBergomi model

    C++ 24 7

  2. small-time_asymptotics_fractional small-time_asymptotics_fractional Public

    Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.

    Python 12 7

  3. regularity_structure_finance regularity_structure_finance Public

    Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.

    Python 9 1

Repositories

Showing 3 of 3 repositories
  • rBergomi Public

    C++ implementation of rBergomi model

    RoughStochVol/rBergomi’s past year of commit activity
    C++ 24 7 0 0 Updated Jul 4, 2018
  • regularity_structure_finance Public

    Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.

    RoughStochVol/regularity_structure_finance’s past year of commit activity
    Python 9 1 0 0 Updated Sep 29, 2017
  • small-time_asymptotics_fractional Public

    Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.

    RoughStochVol/small-time_asymptotics_fractional’s past year of commit activity
    Python 12 MIT 7 0 0 Updated Mar 23, 2017

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