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q-fin.CP2026
Importance Sampling Enhanced with the COS Method for the Portfolio Risk Allocation
Fang Fang, Xiaoyu Shen, Qinling Wang
We introduce ISCOS, a cross-entropy importance-sampling calibration method for rare credit-portfolio losses. We derive Gaussian and Gaussian--inverse-Gamma proposals and analyse th…
q-fin.CP2025
A Note on the Conditions for COS Convergence
Qinling Wang, Xiaoyu Shen, Fang Fang
We study the truncation error of the COS method and give simple, verifiable conditions that guarantee convergence. In one dimension, COS is admissible when the density belongs to b…