Geometric Arbitrage Theory reformulates a generic asset model possibly allowing for arbitrage by packaging all assets and their forwards dynamics into a stochastic principal fibre bundle, with a connection whose parallel transport encodes discounting and portfolio rebalancing, and whose...

We recall some fundamentals on Levy processes. Then the Gamma distribution, the Variance Gamma process and option pricing for this process are considered in detail. To implement the Variance Gamma model for option pricing, we use the fast Fourier transform, time change and discuss error bounds