3 papers
q-fin.CP2026
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…
q-fin.MF2024
Profit and loss decomposition in continuous time and approximations
Gero Junike, Hauke Stier, Marcus C. Christiansen
Financial institutions and insurance companies that analyze the evolution and sources of profits and losses often look at risk factors only at discrete reporting dates, ignoring th…
q-fin.MF2024
Enhancing Fourier pricing with machine learning
Gero Junike, Hauke Stier
Fourier pricing methods such as the Carr-Madan formula or the COS method are classic tools for pricing European options for advanced models such as the Heston model. These methods…