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Gero Junike

Scenario Generation for Market Risk Models Using Generative Neural Networks
2022 · Solveig Flaig, Gero Junike · Risks · 28
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Precise option pricing by the COS method—How to choose the truncation range
2022 · Gero Junike, Konstantin Pankrashkin · Applied Mathematics and Computation · 24
Implied liquidity risk premia in option markets
2018 · Florence Guillaume, Gero Junike, et al. · Annals of Finance · 13
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On the number of terms in the COS method for European option pricing
2024 · Gero Junike · Numerische Mathematik · 11
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From Characteristic Functions to Multivariate Distribution Functions and European Option Prices by the (Damped) COS Method
2025 · Gero Junike, Hauke Stier · SIAM Journal on Numerical Analysis · 9
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American and exotic options in a market with frictions
2019 · Gero Junike, Argimiro Arratia, et al. · European Journal of Finance · 9
Profit and loss attribution: an empirical study
2024 · Solveig Flaig, Gero Junike · European Actuarial Journal · 7
Cost-efficient payoffs under model ambiguity
2024 · Carole Bernard, Gero Junike, et al. · Finance and Stochastics · 3
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Validation of machine learning based scenario generators
2023 · Junike, Gero, Flaig, Solveig, et al. · arXiv (Cornell University) · 3
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Profit and loss decomposition in continuous time and approximations
2025 · Gero Junike, Hauke Stier, et al. · Finance and Stochastics · 2
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Failure of Fourier pricing techniques to approximate the Greeks
2025 · Tobias Behrens, Gero Junike, et al. · Frontiers of Mathematical Finance · 2
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Performance of advanced stock price models when it becomes exotic: an empirical study
2021 · Gero Junike, Wim Schoutens, et al. · Annals of Finance · 2
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Representation of concave distortions and applications
2019 · Gero Junike · Scandinavian Actuarial Journal · 2
Advanced stock price models, concave distortion functions and liquidity risk in finance
2019 · Gero Junike · LA Referencia (Red Federada de Repositorios Institucionales de Publicaciones Científicas) · 1
Dynamic Concave Performance Measures and Bid and Ask Prices with Stochastic Liquidity
2016 · Gero Junike · SSRN Electronic Journal · 1
How the interpolation of life tables affects the decomposition of life insurance surplus
2026 · Atchadé, Mintodê Nicodème, Christiansen, Marcus C., et al. · arXiv (Cornell University)
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Validation of machine learning based scenario generators
2026 · Gero Junike, Solveig Flaig, et al. · Journal of Risk & Insurance
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Validation of machine learning based scenario generators
2026 · Junike, Gero · Harvard Dataverse
Accuracy estimation of neural networks by extreme value theory
2025 · Junike, Gero, Oesting, Marco · arXiv (Cornell University)
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Enhancing the COS method with machine learning
2025 · Riccardo Brignone, Hauke Stier, et al. · International Journal of Computer Mathematics
Precise quantile function estimation from the characteristic function
2025 · Gero Junike · Statistics & Probability Letters
Batch normalization does not improve initialization
2025 · Dannemann, Joris, Junike, Gero · arXiv (Cornell University)
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Exact Simulation of Stochastic Volatility Models Based on Conditional Fourier-cosine Method
2025 · Riccardo Brignone, Gero Junike · SSRN Electronic Journal
Enhancing Fourier pricing with machine learning
2024 · Junike, Gero, Stier, Hauke · RePEc: Research Papers in Economics
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Presentation of EAJ Issues 14/3 - November 19th
2024 · Bruno Deprez, Gero Junike, et al.
Works count: 31
Citation count: 120
H-index: 7
I10-index: 4
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