198 citations · 242 across the 10 of their papers we have counts for
Showing q-fin.CPShow all
3 papers · 1 filter
q-fin.CP2026
Numerical methods for lambda quantiles: robust evaluation and portfolio optimisation
Ilaria Peri, Linus Wunderlich
Lambda quantiles, originally introduced as lambda value at risk, generalise the classical value at risk by allowing for a variable confidence level. This work presents efficient al…
q-fin.CP2025
Function approximations for counterparty credit exposure calculations
Domagoj Demeterfi, Kathrin Glau, Linus Wunderlich
The challenge to measure exposures regularly forces financial institutions into a choice between an overwhelming computational burden or oversimplification of risk. To resolve this…
q-fin.CP2020★ 2 cited
The Deep Parametric PDE Method: Application to Option Pricing
Kathrin Glau, Linus Wunderlich
We propose the deep parametric PDE method to solve high-dimensional parametric partial differential equations. A single neural network approximates the solution of a whole family o…