G.L. (Gijs) Mast MSc
G.L. (Gijs) Mast MSc
Profiel
For more information please check my personal website:
Onderzoeksinteresses
My research focuses on developing efficient numerical methods for quantifying (Counterparty) Credit risk. Currently, in collaboration with FF Quant Advisory B.V., we are designing a novel Fourier tensor network for solving multi-dimensional expectation problems.
Expertise
Publicaties
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2024
A novel cosine tensor network for solving multivariate expectation problems
M. Brands / F. Fang / X. Shen / G.L. Mast
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2024
Dimension-reduced fourier series expansion and its application in multi-dimensional integration
F. Fang / Z. CHENG / M. Brands / X. Shen / G.L. Mast
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2023
Fast calculation of counterparty credit exposures and associated sensitivities using fourier series expansion
G.L. Mast / X. Shen / F. Fang
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Nevenwerkzaamheden
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2024-04-16 - 2026-04-16