21 citations · 23 across the 14 of their papers we have counts for
5 papers · 1 filter
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…