Research
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)
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., Cheng, Z., Brands, M., Shen, X., & Mast, G. Dimension-reduced fourier cosine series expansion and its application in multi-dimensional integration (working in progress)
Brands, M., Fang, F., Shen, X., & Mast, G. A novel cosine tensor network for solving multivariate expectation problems (working in progress)