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Projet rough volatility

Projet, figures, rapport, notebook et scripts

Bibliothèque

Tous les supports

README.md

Markdown 4 KB Racine

make_figures.py

Python 12 KB Racine

rough_volatility_project.ipynb

Notebook 26 KB notebook

fig01_noyaux.pdf

PDF 21 KB report/figures

fig01_noyaux.png

Image 95 KB report/figures

fig02_trajectoires.pdf

PDF 252 KB report/figures

fig02_trajectoires.png

Image 200 KB report/figures

fig03_role_H.pdf

PDF 268 KB report/figures

fig03_role_H.png

Image 188 KB report/figures

fig04_convergence_forte.pdf

PDF 23 KB report/figures

fig04_convergence_forte.png

Image 94 KB report/figures

fig05_S_et_V.pdf

PDF 290 KB report/figures

fig05_S_et_V.png

Image 321 KB report/figures

fig06_smile.pdf

PDF 21 KB report/figures

fig06_smile.png

Image 80 KB report/figures

fig07_atm_skew.pdf

PDF 20 KB report/figures

fig07_atm_skew.png

Image 75 KB report/figures

fig08_scheme_comparison.pdf

PDF 17 KB report/figures

fig08_scheme_comparison.png

Image 62 KB report/figures

main.tex

LaTeX 35 KB report

__init__.py

Python 1 KB src

convergence.py

Python 4 KB src

kernels.py

Python 3 KB src

pricing.py

Python 2 KB src

simulation.py

Python 10 KB src