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Projects in Awesome Lists tagged with variance-gamma

A curated list of projects in awesome lists tagged with variance-gamma .

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https://github.com/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-scholes calibration finance fourier heston levy levy-processes option-pricing options-pricing pricing python quant quantitative-finance quantitative-trading sabr stochastic-volatility variance-gamma

Last synced: 14 Oct 2024

https://github.com/s-broda/quadraticformsmghyp.jl

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

expected-shortfall generalized-hyperbolic-distribution imhof inversion-formula normal-inverse-gaussian partial-moments quadratic-forms saddlepoint-approximation students-t tail-probabilities value-at-risk variance-gamma

Last synced: 12 Oct 2024