We develop efficient fast Fourier transform algorithms for pricing and hedging discretely sampled variance products and volatility derivatives under additive processes (time-inhomogeneous Lévy ...
The sparse Fourier transform has emerged as a pivotal advancement in spectral analysis, enabling the rapid recovery of signals that exhibit only a few non‐zero frequency components. Traditional fast ...
Over at Quanta Magazine [Shalma Wegsman] asks What Is the Fourier Transform? [Shalma] begins by telling you a little about Joseph Fourier, the French mathematician with an interest in heat propagation ...
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