Code and notebooks accompanying the article Fast-excursion limit of the Heston model (arXiv:2606.06737). Notebooks in notebooks/figures/ generate the article's figures, saved to plots/. Here's a preview of Figure 1:
pip install -e ".[dev]"Notebooks assume you have a way to open .ipynb files (VS Code with the Jupyter extension, JupyterLab, classic Notebook, etc.) — none is bundled here.
Figures use Latin Modern Roman, bundled in fonts/ and registered by plot_config. These fonts are separately licensed.
Developed with Claude Code (Anthropic).
