RoughStochVol
This aims to collect code from researchers working on problems arising from rough stochastic volatility models.
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small-time_asymptotics_fractional
small-time_asymptotics_fractional PublicBayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.
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regularity_structure_finance
regularity_structure_finance PublicBayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.
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Showing 3 of 3 repositories
- regularity_structure_finance Public
Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.
- small-time_asymptotics_fractional Public
Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.
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