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  1. rough_volatility rough_volatility Public

    The pricing models and neural network representations used in part one of the paper "Empirical analysis of rough and classical stochastic volatility models to the SPX and VIX markets".

    Jupyter Notebook 47 10

  2. rough_heston rough_heston Public

    We implement the rough Heston model

    MATLAB 14 7

  3. hybrid_multifactor_scheme hybrid_multifactor_scheme Public

    Implements the hybrid multifactor scheme for the simulation of SVE's.

    MATLAB 5