Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.
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Mar 23, 2017 - Python
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rough-volatility
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Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.
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Sep 29, 2017 - Python
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
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Sep 19, 2025 - Python
python pacakge for volatility models with automatic differentiation
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Sep 21, 2025 - Python
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