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.

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

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

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.