This is some code accompanying the paper:

Short-time near-the-money skew in rough fractional volatility models.
Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). arXiv Preprint

See docstrings in respective files.

• Python 3 (including NumPy and SciPy packages)
• Intel Math Kernel Library (optional)

While the Intel MKL is not strictly needed, it significantly speeds up the computations of the Monte Carlo Cholesky Pricing scheme.

This code is released under the MIT license for non-commercial use only. For other types of license please contact me.