GitHub topics: rough-volatility
ferrangarciarovira/VaR-Volatility-Models
Comparative analysis of Value at Risk (VaR) measures using Black-Scholes pricing under different volatility models: jump diffusion and rough volatility.
Language: Python - Size: 431 KB - Last synced at: 7 days ago - Pushed at: 7 days ago - Stars: 0 - Forks: 0
bstemper/deep_rough_calibration
C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.
Language: Jupyter Notebook - Size: 58.5 MB - Last synced at: 4 months ago - Pushed at: over 6 years ago - Stars: 36 - Forks: 18
RoughStochVol/small-time_asymptotics_fractional
Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.
Language: Python - Size: 796 KB - Last synced at: 4 months ago - Pushed at: about 8 years ago - Stars: 12 - Forks: 7
RoughStochVol/regularity_structure_finance
Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.
Language: Python - Size: 11.7 KB - Last synced at: 4 months ago - Pushed at: over 7 years ago - Stars: 9 - Forks: 1
RoughStochVol/rBergomi
C++ implementation of rBergomi model
Language: C++ - Size: 80.2 MB - Last synced at: 4 months ago - Pushed at: almost 7 years ago - Stars: 23 - Forks: 7
ryanmccrickerd/rough_bergomi
A Python implementation of the rough Bergomi model.
Language: Jupyter Notebook - Size: 5.07 MB - Last synced at: about 1 year ago - Pushed at: over 6 years ago - Stars: 99 - Forks: 42
