The GammaProcess command creates a Gamma process with the specified parameters. The Gamma process  with mean parameter mu and variance parameter sigma is a continuous-time process with stationary, independent gamma increments such that for any ,  has a Gamma distribution with shape parameter  and scale parameter .

The parameter mu is the mean. The parameter sigma is the variance.

The Finance[GammaProcess] command was introduced in Maple 15.

For more information on Maple 15 changes, see Updates in Maple 15.

Glasserman, P., Monte Carlo Methods in Financial Engineering. New York: Springer-Verlag, 2004.