├── CITATION.md ├── LICENCE.md ├── README.md ├── notebooks ├── rbergomi.ipynb └── turbocharged.ipynb ├── papers ├── hybrid_scheme.pdf ├── pricing_under_rough.pdf ├── turbocharged_rbergomi.pdf └── volatility_is_rough.pdf ├── rbergomi ├── rbergomi.py └── utils.py ├── surface0.png └── surface1.png /CITATION.md: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ryanmccrickerd/rough_bergomi/HEAD/CITATION.md -------------------------------------------------------------------------------- /LICENCE.md: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ryanmccrickerd/rough_bergomi/HEAD/LICENCE.md -------------------------------------------------------------------------------- /README.md: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ryanmccrickerd/rough_bergomi/HEAD/README.md -------------------------------------------------------------------------------- /notebooks/rbergomi.ipynb: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ryanmccrickerd/rough_bergomi/HEAD/notebooks/rbergomi.ipynb -------------------------------------------------------------------------------- /notebooks/turbocharged.ipynb: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ryanmccrickerd/rough_bergomi/HEAD/notebooks/turbocharged.ipynb -------------------------------------------------------------------------------- /papers/hybrid_scheme.pdf: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ryanmccrickerd/rough_bergomi/HEAD/papers/hybrid_scheme.pdf -------------------------------------------------------------------------------- /papers/pricing_under_rough.pdf: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ryanmccrickerd/rough_bergomi/HEAD/papers/pricing_under_rough.pdf -------------------------------------------------------------------------------- /papers/turbocharged_rbergomi.pdf: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ryanmccrickerd/rough_bergomi/HEAD/papers/turbocharged_rbergomi.pdf -------------------------------------------------------------------------------- /papers/volatility_is_rough.pdf: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ryanmccrickerd/rough_bergomi/HEAD/papers/volatility_is_rough.pdf -------------------------------------------------------------------------------- /rbergomi/rbergomi.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ryanmccrickerd/rough_bergomi/HEAD/rbergomi/rbergomi.py -------------------------------------------------------------------------------- /rbergomi/utils.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ryanmccrickerd/rough_bergomi/HEAD/rbergomi/utils.py -------------------------------------------------------------------------------- /surface0.png: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ryanmccrickerd/rough_bergomi/HEAD/surface0.png -------------------------------------------------------------------------------- /surface1.png: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ryanmccrickerd/rough_bergomi/HEAD/surface1.png --------------------------------------------------------------------------------