Exponential Lévy processes can be used to model the evolution of various financial variables such as FX rates, stock prices, etc. Considerable efforts have been devoted to pricing derivatives written on underliers governed by such processes, and the corresponding implied volatility surfaces...

Many sophisticated option pricing models involve random variables whose probability density functions are only tractable in Fourier space. Moreover, popular choices for these variables often lead to numerical challenges, due to, for instance, singular densities or slowly decaying characteristic...