{"id":20305087,"url":"https://github.com/daniilvorontsov/fourier-option-pricing","last_synced_at":"2026-05-11T17:33:41.786Z","repository":{"id":262538795,"uuid":"846642041","full_name":"DaniilVorontsov/Fourier-Option-Pricing","owner":"DaniilVorontsov","description":"MSc thesis project concerned with option pricing for Levy Jump models. Package includes pricing implementations for European Call and Put options for Carr-Madan, COS and Fourier Time Stepping.","archived":false,"fork":false,"pushed_at":"2024-11-13T00:16:30.000Z","size":2880,"stargazers_count":0,"open_issues_count":0,"forks_count":1,"subscribers_count":1,"default_branch":"master","last_synced_at":"2025-01-14T11:17:49.207Z","etag":null,"topics":["carr-madan","cuda","fourier-transform","monte-carlo","option-pricing"],"latest_commit_sha":null,"homepage":"","language":"Jupyter Notebook","has_issues":true,"has_wiki":null,"has_pages":null,"mirror_url":null,"source_name":null,"license":null,"status":null,"scm":"git","pull_requests_enabled":true,"icon_url":"https://github.com/DaniilVorontsov.png","metadata":{"files":{"readme":"README.md","changelog":null,"contributing":null,"funding":null,"license":null,"code_of_conduct":null,"threat_model":null,"audit":null,"citation":null,"codeowners":null,"security":null,"support":null,"governance":null,"roadmap":null,"authors":null,"dei":null,"publiccode":null,"codemeta":null}},"created_at":"2024-08-23T16:32:55.000Z","updated_at":"2024-11-13T00:16:34.000Z","dependencies_parsed_at":"2024-11-13T01:29:28.830Z","dependency_job_id":null,"html_url":"https://github.com/DaniilVorontsov/Fourier-Option-Pricing","commit_stats":null,"previous_names":["daniilvorontsov/fourier-option-pricing"],"tags_count":0,"template":false,"template_full_name":null,"repository_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/DaniilVorontsov%2FFourier-Option-Pricing","tags_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/DaniilVorontsov%2FFourier-Option-Pricing/tags","releases_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/DaniilVorontsov%2FFourier-Option-Pricing/releases","manifests_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/DaniilVorontsov%2FFourier-Option-Pricing/manifests","owner_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/owners/DaniilVorontsov","download_url":"https://codeload.github.com/DaniilVorontsov/Fourier-Option-Pricing/tar.gz/refs/heads/master","host":{"name":"GitHub","url":"https://github.com","kind":"github","repositories_count":241801851,"owners_count":20022531,"icon_url":"https://github.com/github.png","version":null,"created_at":"2022-05-30T11:31:42.601Z","updated_at":"2022-07-04T15:15:14.044Z","host_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub","repositories_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories","repository_names_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repository_names","owners_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/owners"}},"keywords":["carr-madan","cuda","fourier-transform","monte-carlo","option-pricing"],"created_at":"2024-11-14T17:07:00.529Z","updated_at":"2026-05-11T17:33:41.741Z","avatar_url":"https://github.com/DaniilVorontsov.png","language":"Jupyter Notebook","funding_links":[],"categories":[],"sub_categories":[],"readme":"**Fourier transform methods for option pricing**  \nThe MSc thesis was concerned with option pricing under exponential Lévy jump models. Three renowned methods were implemented in C++ for Variance Gamma and CGMY processes. For CGMY additional study was conducted to evaluate option prices through Monte-Carlo simulation accelerated on GPU with CUDA Nvidia. For further information please refer to the PDF report.\n\n**The contents of the project**  \nOne base class LevyMarket contains all three Fourier transform pricing methods implementations. LevyMarket contains virtual functions CF (Characteristic Function) and CE (Characteristic Exponent) which are defined in inheritance classes VarianceGammaMarket and CGMYmarket. VarianceGammaMarket class corresponds to the Variance Gamma model. Apart from CF and CE, it has a method for analytical price integration. CGMYmarket class corresponds to the CGMY model. Apart from CF and CE, it has a CPU implementation of MCFT-1.\nCUDA part is located in .cu files where functions MCFT1 and MCFT2 are defined. This functions are called in files VG.cpp and CGMY.cpp. For VG analytical pricing Boost library is required.\n\nmain.cpp\n-- main function\n\nVG.cpp\n-- error tests and time performance for two sets of options under VG\n\nCGMY.cpp\n-- error tests and time performance for two sets of options under CGMY\n\nFFT.h, FFT.cpp \n-- implementation of a Fast Fourier Transform (radix-2 DIT Cooley–Tukey algorithm)\n\nSpline.h\n-- interploation library by Tino Kluge https://kluge.in-chemnitz.de/opensource/spline/\n\nLinearInterpolation.h, LinearInterpolation.cpp\n-- linear interpolation class\n\nFourierMethods.h, FourierMethods.cpp\n-- Classes for Fourier methods, auxilary functions for MCFT1, MCFT2\n-- Fourier methods\n\nMCFT1.cu\n-- MCFT1 implementation with CUDA, requires CUDA \n\nMCFT2.cu\n-- MCFT2 implementation with CUDA, requires CUDA \n\nVisualization.ipynb\n-- plots and aggregation for report\n\nVG_CGMY.ipynb\n-- CDF recovery for CGMY and sampling of GBM, VG, CGMY plots for report\n\nRelease version x64\nISO C++14 Standard\nIntel(R) Core(TM) i5-11400H 2.70 GHz, 12 CPU\nRTX 3050 Ti Laptop GPU\nCUDA version: release 11.8, V11.8.89\nBoost Version 1.85.0\nMicrosoft Visual C++ (MSVC)\n","project_url":"https://awesome.ecosyste.ms/api/v1/projects/github.com%2Fdaniilvorontsov%2Ffourier-option-pricing","html_url":"https://awesome.ecosyste.ms/projects/github.com%2Fdaniilvorontsov%2Ffourier-option-pricing","lists_url":"https://awesome.ecosyste.ms/api/v1/projects/github.com%2Fdaniilvorontsov%2Ffourier-option-pricing/lists"}