3 papers
q-fin.CP2026
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…
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…
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…