https://github.com/ferrangarciarovira/var-volatility-models

Comparative analysis of Value at Risk (VaR) measures using Black-Scholes pricing under different volatility models: jump diffusion, SABR and rough volatility.

black-scholes financial-modeling jump-diffusion python quantitative-finance rough-volatility value-at-risk volatility volatility-modeling

Last synced: 02 May 2026