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  1. fast-excursion-limit fast-excursion-limit Public

    The fast-excursion Heston model

    Python 1

  2. pathwise-volatility pathwise-volatility Public

    PhD thesis (Imperial College London, 2021) on spatially irregular ODEs and a pathwise volatility modelling framework: random ODEs, Heston and CIR limits, inverse Gaussian processes, rough volatilit…

    TeX