rough-heston

Here are 4 public repositories matching this topic...

BianchiGiacomo / deepLearningVolatility

Neural network framework for volatility surface approximation and calibration. Supports rough Heston/Bergomi, random grids, multi-regime architectures.

deep-learning monte-carlo neural-networks option-pricing quantitative-finance financial-engineering rough-volatility volatility-framework volatility-modeling pythorch rough-heston rough-bergomi

Updated Jul 7, 2026
Python

asancdec / UnifiedVol

Star

Volatility surface modelling library

option-pricing ceres nlopt computational-finance financial-engineering sabr svi sabr-model quant-finance volatility-surface heston-stochastic-volatility local-volatility-model sqp-optimization stochastic-local-volatility rough-heston andreasen-huge

Updated Oct 5, 2026
C++

130U / certified-rough-heston-valuation

Star

Deterministic error certificates for rough Heston prices and portfolios, combining fractional residual bounds with shared Fourier error geometry.

quantitative-finance interval-arithmetic mathematical-finance numerical-analysis fractional-calculus stochastic-analysis rough-heston validated-numerics pricing-error portfolio-certification

Updated Oct 11, 2026
Python

GPU-accelerated quantitative derivatives engine: FiLM-FNO rough volatility calibration (<1ms), multi-fidelity PDE ensemble autocall pricing (0.99 bps RMSE, SR 26-2 risk guardian), deep hedging, and Next.js/FastAPI streaming (1,126 tests).

nextjs cuda pytorch quantitative-finance tensorrt derivatives-pricing fastapi volatility-surface deep-hedging fourier-neural-operator rough-heston autocallables

Updated Oct 18, 2026
Python

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