Option Pricing with Levy Processes in QuantLib

I am working on Levy processes and their application in derivative pricing and I am extending the QuantLib financial library with pricing and calibration engines for levy models.

Levy processes have been studied extensively in recent years, so I decided to put a few codes on this website. Comments are welcomed. You shall contact me at yzhao0527 'at' gmail 'dot' com. An excellent reference is Finally Modelling With Jump Processes by Rama Cont and Peter Tankov [Amazon]. This book still has a few typos that are not listed in the erratum.

QuantLib: I have heard many criticisms on QuantLib for its documentation, but I think it is a well designed and efficient package. One thing that I feel frustrated about is the GNU autotools (autoconf, automake, libtool) which is extensively used by QuantLib. After a few desperate attemps, I decided to switch to makefile and cmake as my building tools. Like GNU autotools, cmake generate Makefile for the project automatically, but it is much easier to learn. (Another possibly good choice is the Python-based scons, which I will try out later).

1. Merton's Jump Diffusion Model

I summarized a few properties of Merton's Jump Diffusion model. This document also contains the calibration results using SPX market data.

Introduction - An introduction to the Merton's Jump Diffusion Model.

The code for the pricing engines (analytic method and Fourier method) and examples for pricing and calibration can be downloaded here:

mertionjumpdiffusion.tar.gz - source code with makefiles for Merton's Jump Diffusion Model.

I didn't follow the QuantLib file/directory structure, since part of the files I used are still in the experiment directory in QuantLib. However, it shouldn't be hard to merge the above code into QuantLib.