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Aitor Muguruza (amuguruza)

amuguruza

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Aitor Muguruza's repositories

NN-StochVol-Calibrations

We implement the paper: Deep Learning Volatility

Language:Jupyter NotebookLicense:MITStargazers:167Issues:14Issues:3

RoughFCLT

Language:Jupyter NotebookLicense:GPL-3.0Stargazers:18Issues:3Issues:0

LDP-VolOptions

Large Deviations for volatility options

Language:Jupyter NotebookLicense:MITStargazers:11Issues:0Issues:0

frh-fx

A python implementation of the fast-reversion Heston model of Mechkov [2015, https://goo.gl/2awbrV], for FX purposes.

Language:Jupyter NotebookLicense:MITStargazers:3Issues:0Issues:0