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arXiv research

A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.

168,695 papers · 148 categories

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3 results for “NUFFT”

NUFFT for the Fast COS Methodq-fin.CP

A new NUFFT method speeds up option pricing for various strikes.

problem Efficiently pricing many options of the same maturity but different strikes.

method Non-uniform fast Fourier transform (NUFFT) applied to the COS method.

result Significantly faster computation of option prices.

option pricing COS method NUFFT fast Fourier transform Lévy models

2025-07-17abs ↗pdf ↗

Fast kernel methods: Sobolev, physics-informed, and additive modelsstat.ML

Scalable kernel methods for large datasets using Fourier representations and NUFFT.

problem Cubic complexity in kernel methods limits their use on large-scale datasets.

method Fourier representation of kernels combined with NUFFT for O(n log n) complexity.

result Achieves minimax convergence rates and processes up to tens of billions of samples.

kernel methods large-scale datasets Fourier transforms non-uniform FFT Sobolev regression

2025-09-02abs ↗pdf ↗

Malliavin-Mancino estimators implemented with non-uniform fast Fourier transformsq-fin.CP

Enhances Fourier estimator performance for asynchronous event-data.

problem Improving correlation and covariance estimation on event-data.

method Implement and test NUFFT methods with different averaging kernels.

result Demonstrates improved performance and relationship between averaging scales.

Fourier estimator asynchronous data event-data Non-Uniform Fast Fourier Transform (NUFFT)Malliavin-Mancino estimator

2020-03-05abs ↗pdf ↗