Repositories list

• rBergomi

  Public
  C++ implementation of rBergomi model

  option-pricingquantitative-financerough-volatility

  C++

  •6•23•0•0•Updated Jul 4, 2018Jul 4, 2018

• regularity_structure_finance

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

  quantitative-financestochastic-volatility-modelsrough-volatility+ 1regularity-structures

  Python

  •1•9•0•0•Updated Sep 29, 2017Sep 29, 2017

• small-time_asymptotics_fractional

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

  option-pricingquantitative-financeasymptotics+ 1rough-volatility

  Python

  •

  MIT License

  •7•12•0•0•Updated Mar 23, 2017Mar 23, 2017