RoughVolatilityWorkshop

Python translation of the R materials from QuantMinds Rough Volatility Workshop Lectures, with minor updates.

Repository Structure

Jupyter Notebooks:

• QM2024_1_Econometrics.ipynb:

  • Shape of the volatlity surface

  • Scaling of implied volatility smiles

  • Monofractal scaling of realized variance

  • Estimation of $H$

  • Realized variance forecasting

• QM2024_2_Rough_volatility_models.ipynb:

  • The forward variance curve

  • Change of measure

  • The rough Bergomi model

  • The rough Heston model

  • The quadratic rough Heston model

  • Financial meaning of parameters

• QM2024_3_Affine_models.ipynb:

  • The microstructural foundation of affine forward variance models

  • Characteristic function methods

    • Option pricing
    • The ATM skew
    • The skew-stickiness ratio

  • Diamonds and the forest expansion

  • Moment computations

• QM2024_4_Computations.ipynb:

  • Rational approximation of rough Heston

  • Smile plotting and parameter sensitivities

  • The HQE scheme

Python files:

• fwd_var_curve.py: Forward variance curve construction and smoothing
• heston.py: Classical Heston model functions
• pade.py: Padé/rational approximation coefficients for rough Heston
• rough_bergomi.py: Implementation of the rough Bergomi model
• rough_heston.py: Implementation of the rough Heston model
• utils.py: Utility functions for the workshop
• utils_plot.py: Functions for plotting implied volatility curves and Monte Carlo results
• var_gamma_swaps.py: Variance and gamma swap calculations

Python Installation Guide

Option 1: Standard Virtual Environment

1. Clone the repository:

   git clone https://github.com/fbourgey/RoughVolatilityWorkshop.git

2. Navigate to the project directory:

   cd RoughVolatilityWorkshop

3. Create a virtual environment:

   python3 -m venv .venv

4. Activate the environment:

   source .venv/bin/activate

5. Install dependencies:

   pip install .

6. Launch Jupyter Lab (optional):

   jupyter lab

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Option 2: Using uv (Recommended)

If you have uv installed, setup is simpler and faster.
After cloning the repository (steps 1–2 above), run:

uv sync

This will automatically create a virtual environment and install all dependencies.