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@RoughStochVol

RoughStochVol

This aims to collect code from researchers working on problems arising from rough stochastic volatility models.

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  1. rBergomi rBergomi Public

    C++ implementation of rBergomi model

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

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

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