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Carr-Madan and Hilbert method #12

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merged 20 commits into from
Sep 17, 2024
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GaetanoCodes
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Hi Justin,

2 files are modified:

  1. BilateralGamma.py : I just added a multiplication by T for the 2nd cumulants (I had this diffuclty during my internship, previously, just sigma2 was added. One should add sigma2*T) cumulants.c2 += T * self.sigma**2
  2. Test_suite.py: I added the two new fourier methods.

5 files are added:

  1. One introducing the Tempered Stable model (based on your models)
  2. 2 related to Carr Madan (Test and Pricer)
  3. 2 related to Hilbert (Test and Pricer)

Feel free to reach me if anything is incorrect!

@jkirkby3 jkirkby3 merged commit 1638c80 into jkirkby3:master Sep 17, 2024
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