Topic: rough-volatility Goto Github
Some thing interesting about rough-volatility
Some thing interesting about rough-volatility
rough-volatility,Repository of the 'Pricing under Rough Volatility Models' Student Lab
User: artemysazonov
rough-volatility,C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.
User: bstemper
rough-volatility,C++ implementation of rBergomi model
Organization: roughstochvol
rough-volatility,Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.
Organization: roughstochvol
rough-volatility,Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.
Organization: roughstochvol
Home Page: https://arxiv.org/abs/1703.05132
rough-volatility,A Python implementation of the rough Bergomi model.
User: ryanmccrickerd
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