Short-time near-the-money skew in rough fractional volatility models.

This is some code accompanying the paper:

Short-time near-the-money skew in rough fractional volatility models.
Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). arXiv Preprint

Documentation:

See docstrings in respective files.

Requirements:

• Python 3 (including NumPy and SciPy packages)
• Intel Math Kernel Library (optional)

While the Intel MKL is not strictly needed, it significantly speeds up the computations of the Monte Carlo Cholesky Pricing scheme.

License:

This code is released under the MIT license for non-commercial use only. For other types of license please contact me.