RoughStochVol

regularity_structure_finance

Python

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

Last updated Dec 22, 2025

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Topics

#quantitative-finance #regularity-structures #rough-volatility #stochastic-volatility-models

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README

A regularity structure for finance.

This is some code accompanying the paper:

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

The repository contains the two script files

scriptratesI.py
scriptrateoptionprice.py

which were used in the paper to do the respective computations and plot the results. The other files are auxiliary code that are called by the scripts as needed.

Requirements:

Python 3

License:

This code is released under the MIT license for non-commercial use only. For other types of license please contact me.

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