Rough Volatility

Materials and slides used in the lecture that Prof. Jim Gatheral (Baruch College, CUNY) held at the University of Bologna on October 14, 2021.

Slides:  refs_rough-volatility

R codes: BolognaRVcodes

Python notebook: BolognaRVipynb

Data (google drive link for download): google_drive_folder

Materials from the second lecture held at the University of Bologna on October 21, 2021

Python notebook: BolognaRVipynb2