Re: [Quantlib-dev] rough volatility

[Jonathan S. <sw...@gm...>]

Someone recently started experimenting with it on GitHub[1] but not sure
how far they have gotten.

Personally I think it’s a very worthwhile topic to pursue and something
that a lot of other users would find useful as well.

[1]
https://github.com/lballabio/QuantLib/issues/1376

2022년 6월 21일 (화) 16:41, Wojciech Czernous via QuantLib-dev <
qua...@li...>님이 작성:

> Good morning,
>
> I wonder, is there any sense in pursuing the subject of rough volatility
> in the context of QuantLib?
> Thank you very much in advance for your answers!
>
> Kind regards,
> Wojciech Czernous
>
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