From 6e00c4bf0c11a57cbb0e3671ecde0b0ca7a0add9 Mon Sep 17 00:00:00 2001 From: Wilson Freitas Date: Fri, 4 Feb 2022 11:26:47 -0300 Subject: [PATCH] Added rough_bergomi and frh-fx ryanmccrickerd's repositories implementing volatility models. --- README.md | 2 ++ 1 file changed, 2 insertions(+) diff --git a/README.md b/README.md index 5eb174f..7a7f1ef 100644 --- a/README.md +++ b/README.md @@ -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.