Workshops

Research in Options 2018 - Rough Volatility Minicourse

A conference honoring Bruno Dupire’s 60th Birthday. Búzios, Rio de Janeiro, 2018.

• Part I: Econometrics and Forecasting YouTube ▶
• Part II: Pricing and model calibration YouTube ▶

QuantMinds 2025 Rough Volatility Workshop lectures

Jupyter notebooks and code may be found here: R implementation and here: Python implementation.

• Lecture 1: Econometrics
• Lecture 2: Rough volatility models
• Lecture 3: Affine models
• Lecture 4: Quadratic rough Heston

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All Python implementations by Florian Bourgey.