variance-gamma

There are 0 repository under variance-gamma topic.

• jkirkby3 / fypy

  Vanilla and exotic option pricing library to support quantitative R&D. Focus on pricing interesting/useful models and contracts (including and beyond Black-Scholes), as well as calibration of financial models to market data.

  black-scholescalibrationfinancefourierhestonlevylevy-processesoption-pricingoptions-pricingpricingpythonquantquantitative-financequantitative-tradingsabrstochastic-volatilityvariance-gamma
  Language:Python 66

• dlaptev / VarGamma

  Variance Gamma distribution (Python): pdf, cdf, rand and fit.

  statisticsdistributionvariance-gammapythonvargammaprobability-distribution
  Language:Python 10

• s-broda / QuadraticFormsMGHyp.jl

  A package for evaluating tail probabilities and partial moments for random vectors in multivariate generalized hyperbolic random vectors.

  imhofquadratic-formstail-probabilitiesexpected-shortfallvalue-at-riskgeneralized-hyperbolic-distributionvariance-gammanormal-inverse-gaussianstudents-tpartial-momentssaddlepoint-approximationinversion-formula
  Language:Julia 4