Lewis and Cos pricing and log-strike moneyness fixes

Makefile

@@ -11,6 +11,10 @@ docs:				## build documentation
 	@uv run ./dev/build-examples
 	@uv run mkdocs build
 
+.PHONY: docs-bib
+docs-bib:			## Regenerate docs bibliography
+	@uv run ./docs/bib2md.py
+
 .PHONY: docs-examples
 docs-examples:			## Regenerate docs examples
 	@uv run ./dev/build-examples

docs/api/options/pricer.md

@@ -5,6 +5,8 @@ different stochastic volatility models.
 
 ::: quantflow.options.pricer.OptionPricerBase
 
+::: quantflow.options.pricer.OptionPricingMethod
+
 ::: quantflow.options.pricer.OptionPricer
 
 ::: quantflow.options.pricer.MaturityPricer

docs/api/sp/bns.md

@@ -0,0 +1,3 @@
+# Barndorff-Nielson & Shephard process
+
+::: quantflow.sp.bns.BNS

docs/api/sp/index.md

@@ -48,3 +48,5 @@ This page gives an overview of all stochastic processes available in the library
 ::: quantflow.sp.base.StochasticProcess1D
 
 ::: quantflow.sp.base.IntensityProcess
+
+::: quantflow.sp.base.StochasticProcess1DMarginal

docs/api/sp/ou.md

@@ -10,4 +10,6 @@ These are the classes that implement gaussian and non-gaussian
 
 ## Non-Gaussian OU process
 
+::: quantflow.sp.ou.NGOU
+
 ::: quantflow.sp.ou.GammaOU

docs/api/utils/index.md

@@ -1,3 +1,15 @@
 # Utilities
 
-This section contains utility functions and classes that are used throughout the library. They are not meant to be used directly by the user, but they can be useful for advanced users who want to extend the library or understand its inner workings.
+This section contains utility functions and classes used throughout the library.
+They are not meant to be used directly by the user, but can be useful for advanced
+users who want to extend the library or understand its inner workings.
+
+## Classes
+
+| Page | Description |
+|---|---|
+| [Marginal 1D](marginal1d.md) | Abstract base class for 1D marginal distributions with Fourier-based option pricing (Carr-Madan and Lewis formulas) |
+| [Distributions](distributions.md) | Parametric 1D distributions (e.g. Exponential) |
+| [Bins](bins.md) | Histogram and event-density utilities |
+| [Numbers](numbers.md) | Decimal number helpers |
+| [Types](types.md) | Shared type aliases (FloatArray, etc.) |

docs/bib2md.py

@@ -0,0 +1,195 @@
+#!/usr/bin/env python3
+"""Convert docs/references.bib to docs/bibliography.md.
+
+Usage:
+    uv run python docs/bib2md.py [--bib PATH] [--out PATH]
+
+The BibTeX file is the source of truth; run this script whenever it changes.
+"""
+from __future__ import annotations
+
+import argparse
+import re
+import sys
+from pathlib import Path
+
+# ---------------------------------------------------------------------------
+# Parser
+# ---------------------------------------------------------------------------
+
+_ENTRY_RE = re.compile(
+    r"@(\w+)\s*\{\s*([\w][\w:/-]*)\s*,\s*(.*?)\n\}",
+    re.DOTALL,
+)
+_FIELD_RE = re.compile(
+    r"""(\w+)\s*=\s*(?:\{((?:[^{}]|\{[^{}]*\})*)\}|"([^"]*)")""",
+    re.DOTALL,
+)
+
+
+def _strip_braces(text: str) -> str:
+    """Remove single-level LaTeX capitalisation braces, e.g. {Lévy} -> Lévy."""
+    return re.sub(r"\{([^{}]*)\}", r"\1", text)
+
+
+def _clean(value: str) -> str:
+    text = _strip_braces(" ".join(value.split()))
+    # Convert LaTeX en-dash (--) to a plain hyphen
+    return text.replace("--", "-")
+
+
+def parse_bib(text: str) -> list[dict[str, str]]:
+    entries = []
+    for m in _ENTRY_RE.finditer(text):
+        entry: dict[str, str] = {
+            "type": m.group(1).lower(),
+            "key": m.group(2),
+        }
+        for fm in _FIELD_RE.finditer(m.group(3)):
+            raw = fm.group(2) if fm.group(2) is not None else fm.group(3)
+            entry[fm.group(1).lower()] = _clean(raw)
+        entries.append(entry)
+    return entries
+
+
+# ---------------------------------------------------------------------------
+# Author formatting
+# ---------------------------------------------------------------------------
+
+def _format_single_author(author: str) -> str:
+    """Convert 'Lastname, Firstname' to 'Firstname Lastname'; leave others as-is."""
+    author = author.strip()
+    # Only reformat if a comma is clearly separating last from first name
+    # (avoid splitting on commas inside name suffixes or freeform strings)
+    parts = author.split(",", 1)
+    if len(parts) == 2:
+        last, first = parts[0].strip(), parts[1].strip()
+        # Sanity: last name should be a single word (no spaces)
+        if first and " " not in last:
+            return f"{first} {last}"
+    return author
+
+
+def format_authors(author_field: str) -> str:
+    # Normalise separators: "and" and "&" both split authors
+    normalised = re.sub(r"\s+and\s+", " & ", author_field, flags=re.IGNORECASE)
+    authors = [a.strip() for a in normalised.split("&") if a.strip()]
+    return ", ".join(_format_single_author(a) for a in authors)
+
+
+# ---------------------------------------------------------------------------
+# Entry formatter
+# ---------------------------------------------------------------------------
+
+def _title_link(title: str, url: str) -> str:
+    if not url:
+        return title
+    return f'[{title}]({url}){{target="_blank" rel="noopener"}}'
+
+
+def _journal_detail(entry: dict[str, str]) -> str:
+    """Build 'Journal, Vol(Num):Pages' string."""
+    journal = entry.get("journal", "")
+    volume = entry.get("volume", "")
+    number = entry.get("number", "")
+    pages = entry.get("pages", "")
+    if not journal:
+        return ""
+    detail = journal
+    if volume:
+        vol_str = volume
+        if number:
+            vol_str += f"({number})"
+        if pages:
+            vol_str += f":{pages}"
+        detail += f", {vol_str}"
+    elif pages:
+        detail += f", {pages}"
+    return detail
+
+
+def format_entry(entry: dict[str, str]) -> str:
+    key = entry["key"]
+    title = entry.get("title", "Unknown Title")
+    year = entry.get("year", "")
+    url = entry.get("url", "")
+    author = entry.get("author", "")
+
+    # Prefer doi as url when no url field present
+    if not url and "doi" in entry:
+        doi = entry["doi"].lstrip("doi:")
+        url = f"https://doi.org/{doi}"
+
+    author_str = format_authors(author) if author else ""
+    title_md = _title_link(title, url)
+    year_str = f"({year})" if year else ""
+
+    # Prefix: "Author(s). (Year)"
+    prefix_parts = []
+    if author_str:
+        prefix_parts.append(author_str.rstrip(".") + ".")
+    if year_str:
+        prefix_parts.append(year_str)
+    prefix = " ".join(prefix_parts)
+
+    # Suffix depends on entry type
+    entry_type = entry.get("type", "article")
+    if entry_type == "article":
+        suffix = _journal_detail(entry)
+    elif entry_type == "book":
+        suffix = entry.get("publisher", "")
+    elif entry_type in ("mastersthesis", "phdthesis"):
+        suffix = entry.get("school", "")
+    else:
+        suffix = entry.get("publisher", entry.get("school", ""))
+
+    body = f"{prefix} {title_md}" if prefix else title_md
+    if suffix:
+        body = f"{body}, {suffix}"
+
+    return f"#### {key}\n\n{body}\n"
+
+
+# ---------------------------------------------------------------------------
+# Main
+# ---------------------------------------------------------------------------
+
+def convert(bib_path: Path, out_path: Path) -> None:
+    text = bib_path.read_text(encoding="utf-8")
+    entries = parse_bib(text)
+    if not entries:
+        print(f"No entries found in {bib_path}", file=sys.stderr)
+        sys.exit(1)
+
+    entries.sort(key=lambda e: e["key"].lower())
+
+    lines = ["# Bibliography\n", "\n---\n"]
+    for entry in entries:
+        lines.append("\n")
+        lines.append(format_entry(entry))
+
+    out_path.write_text("".join(lines), encoding="utf-8")
+    print(f"Wrote {len(entries)} entries to {out_path}")
+
+
+def main() -> None:
+    docs = Path(__file__).parent
+    parser = argparse.ArgumentParser(description=__doc__)
+    parser.add_argument(
+        "--bib",
+        type=Path,
+        default=docs / "references.bib",
+        help="Input BibTeX file (default: docs/references.bib)",
+    )
+    parser.add_argument(
+        "--out",
+        type=Path,
+        default=docs / "bibliography.md",
+        help="Output Markdown file (default: docs/bibliography.md)",
+    )
+    args = parser.parse_args()
+    convert(args.bib, args.out)
+
+
+if __name__ == "__main__":
+    main()

docs/bibliography.md

@@ -1,23 +1,73 @@
 # Bibliography
 
+The raw BibTeX source for all entries is available in [references.bib](/references.bib).
+
 ---
 
+#### bertoin
+
+J. Bertoin. (1996) Lévy Processes, Cambridge University Press
+
+#### bns
+
+O.E. Barndorff-Nielsen, N. Shephard. (2001) [Non-Gaussian OU based models and some of their uses in financial economics](https://drive.google.com/file/d/11TnGl2ER_-QzEu_h7ZtGGass2rF8_u1Y/view){target="_blank" rel="noopener"}, Journal of the Royal Statistical Society, 63(2)
+
 #### carr_madan
 
-Peter Carr, Dilip Madan, [Option Valuation Using the Fast Fourier Transform](https://doi.org/10.21314/JCF.1999.043), Journal of Computational Finance, 2(4):61-73, 1999
+P. Carr, D. Madan. (1999) [Option valuation using the fast Fourier transform](http://faculty.baruch.cuny.edu/lwu/890/CarrMadan99.pdf){target="_blank" rel="noopener"}, Journal of Computational Finance, 3:463-520
 
 #### carr_wu
 
-Peter Carr, Liuren Wu, [Time-Changed Lévy Processes and Option Pricing](https://doi.org/10.1016/S0304-405X(03)00171-5), Journal of Financial Economics, 71(1):113-141, 2004
+P. Carr, L. Wu. (2002) [Time-changed Lévy processes and option pricing](https://engineering.nyu.edu/sites/default/files/2019-03/Carr-time-changed-levy-processes-option-pricing.pdf){target="_blank" rel="noopener"}, Journal of Financial Economics, 7:113-141
+
+#### cgmy
+
+Carr P., Geman H., Madan D.B., Yor M. (2003) [Stochastic Volatility for Lévy processes](https://engineering.nyu.edu/sites/default/files/2019-03/Carr-stochastic-volatility-levy-processes.pdf){target="_blank" rel="noopener"}, Mathematical Finance, 13(3)
 
 #### chourdakis
 
-Kyriakos Chourdakis, [Option Pricing Using the Fractional FFT](https://doi.org/10.21314/JCF.2005.137),Journal of Computational Finance, 8(2):1-18, 2005
+K. Chourdakis. (2004) [Option Pricing Using the Fractional FFT](https://citeseerx.ist.psu.edu/document?repid=rep1&type=pdf&doi=6bdf4696312d37427eda2740137650c09deacda7){target="_blank" rel="noopener"}, Journal of Computational Finance, 8:1-18
+
+#### cos
+
+F. Fang, K. Oosterlee. (2008) [A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions](https://mpra.ub.uni-muenchen.de/8914/4/MPRA_paper_8914.pdf){target="_blank" rel="noopener"}
+
+#### dsp
+
+Unknown. (2017) [Doubly Stochastic Poisson Processes with Affine Intensities](https://editorialexpress.com/cgi-bin/conference/download.cgi?db_name=sbe35&paper_id=179){target="_blank" rel="noopener"}, internet
+
+#### ekf
+
+Wang X., He X., Zhao Y., Zuo Z. (2017) [Parameter Estimations of Heston Model Based on Consistent Extended Kalman Filter](https://www.sciencedirect.com/science/article/pii/S2405896317324758){target="_blank" rel="noopener"}, internet
+
+#### gamma-ou
+
+P. Sabino, C. Petroni. (2021) [Gamma Related Ornstein-Uhlenbeck Processes and their Simulation](https://doi.org/10.1080/00949655.2020.1842408){target="_blank" rel="noopener"}, Journal of Statistical Computation and Simulation, 91(6)
+
+#### heston-calibration
+
+Milan Mrázek, Jan Pospíšil. (2017) [Calibration and simulation of Heston model](https://doi.org/10.1515/math-2017-0058){target="_blank" rel="noopener"}, Open Mathematics, 15(1):679-704
+
+#### heston-simulation
+
+Leif B.G. Andersen. (2008) [Efficient Simulation of the Heston Stochastic Volatility Model](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=946405){target="_blank" rel="noopener"}, Journal of Computational Finance, 11(3)
+
+#### lee_option
+
+R. W. Lee. (2004) [Option Pricing by Transform Methods: Extensions, Unification, and Error Control](https://www.math.uchicago.edu/~rl/dft.pdf){target="_blank" rel="noopener"}
+
+#### lewis
+
+A. L. Lewis. (2001) [A Simple Option Formula for General Jump-Diffusion and other Exponential Lévy Processes](https://drive.google.com/file/d/1JiYfyOU7lUKHrMqTRPbBCdasctwYDc4Z/view){target="_blank" rel="noopener"}
 
 #### molnar
 
-Peter Molnar, [Volatility modeling and forecasting: utilization of realized volatility, implied volatility and the highest and lowest price of the day](https://drive.google.com/file/d/1zCU1OZyrKQLpxaypPv9U5UPbReBDXcMf/view), Master's thesis, University of Economics in Prague, 2020
+Peter Molnar. (2020) [Volatility modeling and forecasting: utilization of realized volatility, implied volatility and the highest and lowest price of the day](https://drive.google.com/file/d/1zCU1OZyrKQLpxaypPv9U5UPbReBDXcMf/view){target="_blank" rel="noopener"}, University of Economics in Prague
+
+#### saez
+
+G. K. G. Saez. (2014) [Fourier Transform Methods for Option Pricing: An Application to extended Heston-type Models](https://www.uv.es/bfc/TFM2014/008-014.pdf){target="_blank" rel="noopener"}, Universidad del Pais Vasco
 
-#### Gauthier
+#### ukf
 
-Gauthier Godin & Legros, [Deep Implied Volatility Factor Models for Stock Options](https://drive.google.com/file/d/1Rjypn1IqnhpiZz08s0hxl5ISQDC8KeWk/view?usp=sharing), 2025
+Merwe. (2014) [The Unscented Kalman Filter for Nonlinear Estimation](https://groups.seas.harvard.edu/courses/cs281/papers/unscented.pdf){target="_blank" rel="noopener"}, internet