ryanmccrickerd / frh-fx Star 11 Code Issues Pull requests A python implementation of the fast-reversion Heston model of Mechkov [2015, https://goo.gl/2awbrV], for FX purposes. monte-carlo fourier-transform fast-reversion-heston normal-inverse-gaussian levy-process measure-change foreign-exchange Updated May 24, 2018 Jupyter Notebook
s-broda / QuadraticFormsMGHyp.jl Star 4 Code Issues Pull requests A package for evaluating tail probabilities and partial moments for random vectors in multivariate generalized hyperbolic random vectors. variance-gamma value-at-risk partial-moments expected-shortfall saddlepoint-approximation normal-inverse-gaussian quadratic-forms imhof tail-probabilities generalized-hyperbolic-distribution students-t inversion-formula Updated Mar 1, 2024 Julia
PyFE / InvGaussianQuad-R Star 0 Code Issues Pull requests The R code sets for "Inverse Gaussian quadrature and finite normal-mixture approximation of the generalized hyperbolic distribution" gaussian-mixture-model gaussian-quadrature normal-inverse-gaussian inverse-gaussian generalized-hyperbolic-distribution gauss-hermite-quadrature Updated Feb 5, 2021 R