Gero Junike

MaRDI QIDQ2000690zbMATH OpenFDO

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Exact simulation of stochastic volatility models based on conditional Fourier-cosine method European Journal of Operational Research	2026-02-09	Paper
From characteristic functions to multivariate distribution functions and European option prices by the (damped) COS method SIAM Journal on Numerical Analysis	2026-01-08	Paper
Profit and loss decomposition in continuous time and approximations Finance and Stochastics	2025-09-23	Paper
Precise quantile function estimation from the characteristic function Statistics & Probability Letters	2025-04-07	Paper
Failure of Fourier pricing techniques to approximate the Greeks Frontiers of Mathematical Finance	2025-04-07	Paper
Batch normalization does not improve initialization (available as arXiv preprint)	2025-01-01	Paper
Profit and loss attribution: an empirical study European Actuarial Journal	2024-12-05	Paper
Cost-efficient payoffs under model ambiguity Finance and Stochastics	2024-10-16	Paper
On the number of terms in the COS method for European option pricing Numerische Mathematik	2024-04-29	Paper
Performance of advanced stock price models when it becomes exotic: an empirical study Annals of Finance	2023-04-27	Paper
Precise option pricing by the COS method -- how to choose the truncation range Applied Mathematics and Computation	2022-03-04	Paper
Representation of concave distortions and applications Scandinavian Actuarial Journal	2019-11-06	Paper
Implied liquidity risk premia in option markets Annals of Finance	2019-06-28	Paper

Research outcomes over time

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