Non-uniform FFT methods in finance

This keynote session from the Global Quant Network 2021 offers an introduction to implementing non-uniform fast Fourier transforms (FFTs) in finance. Leif Anderson, global co-head of the quantitative strategies group at the Bank of America, introduces the type-three non-uniform FFTs and shows how they can be combined with modern quadrature methods – such as double-exponential transformations and adaptive methods – to significantly improve standard algorithms

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