The Generalized Hyperbolic Distribution, Related Distributions and Their Applications in Finance

A collection of R and C++ functions to work with the generalized hyperbolic distribution, related distributions and their applications in financial risk management and quantitative analysis.


Reference manual

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0.1-5 by Thanh T. Tran, 9 years ago

Browse source code at

Authors: Thanh T. Tran

Documentation:   PDF Manual  

Task views: Empirical Finance, Probability Distributions

GPL (>= 2) license

Depends on partitions, Rmpfr

See at CRAN