Bilateral gamma distributions and processes in financial mathematics

We present a class of Lévy processes for modelling financial market fluctuations: bilateral Gamma processes. Our starting point is to explore the properties of bilateral Gamma distributions, and then we turn to their associated Lévy processes. We treat exponential Lévy stock models with an underlying bilateral Gamma process as well as term structure models driven by bilateral Gamma processes, and apply our results to a set of real financial data (DAX 1996–1998).