normal-inverse-gaussian

There are 0 repository under normal-inverse-gaussian topic.

ryanmccrickerd / frh-fx
A python implementation of the fast-reversion Heston model of Mechkov [2015, https://goo.gl/2awbrV], for FX purposes.
fast-reversion-heston normal-inverse-gaussian fourier-transform monte-carlo levy-process measure-change foreign-exchange
Language:Jupyter Notebook 8
s-broda / QuadraticFormsMGHyp.jl
A package for evaluating tail probabilities and partial moments for random vectors in multivariate generalized hyperbolic random vectors.
imhof quadratic-forms tail-probabilities expected-shortfall value-at-risk generalized-hyperbolic-distribution variance-gamma normal-inverse-gaussian students-t partial-moments saddlepoint-approximation inversion-formula
Language:Julia 4
PyFE / InvGaussianQuad-R
The R code sets for "Inverse Gaussian quadrature and finite normal-mixture approximation of the generalized hyperbolic distribution"
gauss-hermite-quadrature gaussian-mixture-model gaussian-quadrature generalized-hyperbolic-distribution inverse-gaussian normal-inverse-gaussian
Language:R 0