Skip to content
#

variance-gamma-process

Star

Here are 3 public repositories matching this topic...

Language: All
Filter by language
All 3 Python 2 MATLAB 1

mohin-io / Fractional-PDEs-under-Levy-Models-Machine-Learning-for-Calibrating-Advanced

Star 0

This project builds a fast, intelligent calibration engine for advanced asset pricing models. Standard Black-Scholes breaks down under real markets with fat tails and jumps, but Lévy models (Variance Gamma, CGMY) are too slow and unstable to calibrate with classical methods.

machine-learning deep-neural-networks tensorflow keras calibration option-pricing quantitative-finance mcmc variational-inference stochastic-processes asset-pricing variance-gamma levy-processes fourier-methods financial-machine-learning cgmy variance-gamma-process fractional-pde cgmy-model
  • Updated Oct 8, 2025
  • Python

Improve this page

Add a description, image, and links to the variance-gamma-process topic page so that developers can more easily learn about it.

Curate this topic

Add this topic to your repo

To associate your repository with the variance-gamma-process topic, visit your repo's landing page and select "manage topics."

Learn more