21 citations · 23 across the 14 of their papers we have counts for
14 papers
How the interpolation of life tables affects the decomposition of life insurance surplus
Mintodê Nicodème Atchadé, Marcus C. Christiansen, Friedrich Hubalek +1
The surplus of a life insurance policy depends on both systematic changes in mortality risk and financial changes. We propose to decompose the surplus by the axiomatically justifie…
Accuracy estimation of neural networks by extreme value theory
Gero Junike, Marco Oesting
Neural networks are able to approximate any continuous function on a compact set. However, it is not obvious how to quantify the error of the neural network, i.e., the remaining bi…
Batch normalization does not improve initialization
Joris Dannemann, Gero Junike
Batch normalization is one of the most important regularization techniques for neural networks, significantly improving training by centering the layers of the neural network. Ther…
Precise quantile function estimation from the characteristic function
Gero Junike
We provide theoretical error bounds for the accurate numerical computation of the quantile function given the characteristic function of a continuous random variable. We show theor…
Enhancing Fourier pricing with machine learning
Gero Junike, Hauke Stier
Fourier pricing methods such as the Carr-Madan formula or the COS method are classic tools for pricing European options for advanced models such as the Heston model. These methods…
Profit and loss attribution: An empirical study
Solveig Flaig, Gero Junike
The profit and loss (p&l) attrition for each business year into different risk or risk factors (e.g., interest rates, credit spreads, foreign exchange rate etc.) is a regulatory re…
From characteristic functions to multivariate distribution functions and European option prices by the damped COS method
Gero Junike, Hauke Stier
We provide a unified framework to obtain numerically certain quantities, such as the distribution function, absolute moments and prices of financial options, from the characteristi…
Failure of Fourier pricing techniques to approximate the Greeks
Tobias Behrens, Gero Junike, Wim Schoutens
The Greeks Delta and Gamma of plain vanilla options play a fundamental role in finance, e.g., in hedging or risk management. These Greeks are approximated in many models such as th…
On the number of terms in the COS method for European option pricing
Gero Junike
The Fourier-cosine expansion (COS) method is used to price European options numerically in a very efficient way. To apply the COS method, one has to specify two parameters: a trunc…
Validation of machine learning based scenario generators
Gero Junike, Solveig Flaig, Ralf Werner
Machine learning (ML) methods are becoming increasingly important in the design economic scenario generators for internal models. Validation of data-driven models differs from clas…
Profit and loss decomposition in continuous time and approximations
Gero Junike, Hauke Stier, Marcus C. Christiansen
Financial institutions and insurance companies that analyze the evolution and sources of profits and losses often look at risk factors only at discrete reporting dates, ignoring th…
Cost-efficient Payoffs under Model Ambiguity
Carole Bernard, Gero Junike, Thibaut Lux +1
Dybvig (1988a,b) solves in a complete market setting the problem of finding a payoff that is cheapest possible in reaching a given target distribution ("cost-efficient payoff"). In…
Scenario generation for market risk models using generative neural networks
Solveig Flaig, Gero Junike
In this research, we show how to expand existing approaches of using generative adversarial networks (GANs) as economic scenario generators (ESG) to a whole internal market risk mo…
Precise option pricing by the COS method--How to choose the truncation range
Gero Junike, Konstantin Pankrashkin
The Fourier cosine expansion (COS) method is used for pricing European options numerically very fast. To apply the COS method, a truncation range for the density of the log-returns…