Computing the distribution function of the NIG for small delta
A series expansion for small delta to avoid numerical integration.
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Numerically stable Cohen-Villegas-Zagier algorithm for alternating series
A numerically stable backward Cohen-Villegas-Zagier algorithm for accelerating alternating series.
The exponential NIG model for option pricing
Numerical methods for option pricing under the exponential normal inverse Gaussian model.
Faster numerical inverse Laplace transform in mpmath
A faster and numerically robust method for computing inverse Laplace transforms in mpmath.
Optimal binning for streaming data
An online optimal binning algorithm for data streams.