Mast, G., Fang, F., Shen, X. & Brands, M. (2023). Mitigating the Curse of Dimensionality in COS Method via Tensor Decomposition: An Application to PFE Calculation arXiv link
(working in progress)
Fang, F., Schaap, A. & Mast, G. & Shen, X. : Dimension-Reduced Cosine Expansions based on Tensor-Train Decomposition (COS-TT): Applications in Expectations (working in progress)
Mast, G., Hekimoglu, A., Bonavolontà, G. & Fang, F. Extending the COS Method for Credit Risk: Generalized Portfolio Modeling and the COS–Stein Approach (working in progress)