21 citations · 23 across the 14 of their papers we have counts for
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cs.LG2021
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…
q-fin.CP2021★ 21 cited
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…