Mast, G., Shen, X., & Fang, F. (2023). Fast calculation of Counterparty Credit exposures and associated sensitivities using fourier series expansion. arXiv preprint arXiv:2311.12575. (submitted)
Fang, F., Shen, X., & Mast, G. Neural Networks with Exact Correspondence to Dimension-Reduced Cosine Expansions and for Expectation Calculations (working in progress)
Mast, G., Bonavolontà, G., Hekimoglu, A. & Fang, F. A Semi-Analytical Framework for CDO Valuation Based on COS Expansion (working in progress)