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  • London

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@RoughStochVol

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  1. db-summer-challenge-2016 db-summer-challenge-2016 Public

    Our winning contribution to the Deutsche Bank Summer Challenge 2016

    MATLAB 2 3

  2. RoughStochVol/small-time_asymptotics_fractional RoughStochVol/small-time_asymptotics_fractional Public

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

    Python 12 7

  3. deep_rough_calibration deep_rough_calibration Public

    C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.

    Jupyter Notebook 35 17