A Python implementation of the rough Bergomi model.
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Sep 17, 2018 - Jupyter Notebook
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rough-volatility
Here are 6 public repositories matching this topic...
C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.
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Oct 3, 2018 - Jupyter Notebook
C++ implementation of rBergomi model
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Jul 4, 2018 - C++
Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.
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Mar 23, 2017 - Python
Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.
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Sep 29, 2017 - Python
Repository of the 'Pricing under Rough Volatility Models' Student Lab
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May 4, 2023 - Jupyter Notebook
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