normal-inverse-gaussian

There are 3 repositories 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.

    Language:Jupyter Notebook102011

  • s-broda/QuadraticFormsMGHyp.jl

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

    Language:Julia4212

  • PyFE/InvGaussianQuad-R

    The R code sets for "Inverse Gaussian quadrature and finite normal-mixture approximation of the generalized hyperbolic distribution"

    Language:R0203