3 papers
math.NA2026
Fourier-cosine Tensor Trains for Density Recovery and Expectation Calculation
Auke Schaap, Fang Fang
The Fourier-cosine (COS) method of Fang and Oosterlee (2008) recovers densities and computes expectations semi-analytically from characteristic functions (ch.f.s). In higher dimens…
math.NA2024
The Fourier Cosine Method for Discrete Probability Distributions
Xiaoyu Shen, Fang Fang, Chengguang Liu
We provide a rigorous convergence proof demonstrating that the well-known semi-analytical Fourier cosine (COS) formula for the inverse Fourier transform of continuous probability d…
q-fin.CP2023
Dimension-Reduced Cosine Expansions via Tensor Decomposition: Methodology and Applications to Credit Exposure Quantification
Gijs Mast, Fang Fang, Xiaoyu Shen +1
This paper initiates a series of studies on a COS-tensor framework, as an efficient alternative to MC for large and liquid portfolios characterized by a modest number of dominant r…