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Added rough_bergomi and frh-fx

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ryanmccrickerd's repositories implementing volatility models.
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Wilson Freitas
2022-02-04 11:26:47 -03:00
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@@ -448,4 +448,6 @@ A curated list of insanely awesome libraries, packages and resources for Quants
- [dx](https://github.com/yhilpisch/dx) - DX Analytics | Financial and Derivatives Analytics with Python.
- [QuantFinanceBook](https://github.com/LechGrzelak/QuantFinanceBook) - Quantitative Finance book.
- [Computational-Finance-Course](https://github.com/LechGrzelak/Computational-Finance-Course) - Here you will find materials for the course of Computational Finance.
- [rough_bergomi](https://github.com/ryanmccrickerd/rough_bergomi) - A Python implementation of the rough Bergomi model.
- [frh-fx](https://github.com/ryanmccrickerd/frh-fx) - A python implementation of the fast-reversion Heston model of Mechkov for FX purposes.