rough-heston

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BianchiGiacomo / deepLearningVolatility

Neural network framework for volatility surface approximation and calibration. Supports rough Heston/Bergomi, random grids, multi-regime architectures.

deep-learning monte-carlo neural-networks option-pricing quantitative-finance financial-engineering rough-volatility volatility-framework volatility-modeling pythorch rough-heston rough-bergomi

Updated Sep 19, 2025
Python

asancdec / UnifiedVol

Star

UnifiedVol is a modern C++20 quantitative finance library for volatility surface construction, model calibration, and derivatives pricing.

option-pricing ceres nlopt computational-finance financial-engineering sabr svi sabr-model quant-finance volatility-surface heston-stochastic-volatility local-volatility-model sqp-optimization stochastic-local-volatility rough-heston

Updated Jan 27, 2026
C++

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