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  1. rough_bergomi rough_bergomi Public

    A Python implementation of the rough Bergomi model.

    Jupyter Notebook 115 42

  2. frh-fx frh-fx Public

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

    Jupyter Notebook 11 12