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  1. rough_bergomi rough_bergomi Public

    A Python implementation of the rough Bergomi model.

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  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.

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  3. fast-excursion-limit fast-excursion-limit Public

    Demonstrate properties of the fast-excursion Heston model

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