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Quantitative Finance Collector is a blog on Quantitative finance analysis, financial engineering methods in mathematical finance focusing on derivative pricing, quantitative trading and quantitative risk management. Random thoughts on financial markets and personal staff are posted at the sub personal blog.

Jul 28
Simulates two dependent variance gamma processes without drift, dependence is given by Clayton Levy copula with parameters theta and rho.

http://people.math.jussieu.fr/~tankov/florence/

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