A python implementation of the fast-reversion Heston model of Mechkov [2015, https://goo.gl/2awbrV], for FX purposes.
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A python implementation of the fast-reversion Heston model of Mechkov [2015, https://goo.gl/2awbrV], for FX purposes.
A Python implementation of the rough Bergomi model.
Vanilla and exotic option pricing library to support quantitative R&D. Focus on pricing interesting/useful models and contracts (including and beyond Black-Scholes), as well as calibration of financial models to market data.
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High-fidelity synthetic financial data generator using Heston Stochastic Volatility and Jump Diffusion.
A Python implementation of the rough Bergomi model.
