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1. rough_volatility rough_volatility Public

   The pricing models and neural network representations used in part one of the paper "Empirical analysis of rough and classical stochastic volatility models to the SPX and VIX markets".

   Jupyter Notebook 52 9

2. rough_heston rough_heston Public

   We implement the rough Heston model

   MATLAB 14 7

3. hybrid_multifactor_scheme hybrid_multifactor_scheme Public

   Implements the hybrid multifactor scheme for the simulation of SVE's.

   MATLAB 5