A Python implementation of the rough Bergomi (rBergomi) stochastic volatility model introduced by Bayer, Friz and Gatheral, using the hybrid simulation scheme of Bennedsen, Lunde and Pakkanen and variance reduction # methods of McCrickerd and Pakkanen.
Example Jupyter notebooks are included which demonstrate usage. Tested with Python 3.5.2 and macOS Sierra 10.12.5.
