#Rough-volatility

bstemper

deep_rough_calibration

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

RoughStochVol

rBergomi

C++ implementation of rBergomi model

RoughStochVol

small-time_asymptotics_fractional

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

BianchiGiacomo

deepLearningVolatility

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

RoughStochVol

regularity_structure_finance

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