computing-the-ssr

This repository reproduces results from:

Friz, Peter K. and Gatheral, Jim (2025). Computing the SSR. Quantitative Finance, 2(5), 701–710.
[QF][arXiv]

Name		Name	Last commit message	Last commit date
Latest commit History 6 Commits
.gitignore		.gitignore
.python-version		.python-version
README.md		README.md
black.py		black.py
computing_the_ssr.ipynb		computing_the_ssr.ipynb
heston.py		heston.py
pade.py		pade.py
pyproject.toml		pyproject.toml
rough_heston.py		rough_heston.py
utils.py		utils.py
uv.lock		uv.lock

Provide feedback