A new algorithm performs Fourier transforms using a minimal number of samples. The fast Fourier transform, one of the most important algorithms of the 20th century, revolutionized signal processing.

Sparse Fourier Transform (SFT) algorithms constitute a transformative approach to spectral analysis by leveraging the inherent sparsity of signals in the frequency domain. In contrast to the ...

We develop efficient fast Fourier transform algorithms for pricing and hedging discretely sampled variance products and volatility derivatives under additive processes (time-inhomogeneous Lévy ...