University of Amsterdam - Faculty of Economics and Business, Section Quantitative Economics

Gero Junike

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Research Interests:

Curriculum Vitae (short version)

  • Since Oct. 2026: Assistant Professor, Faculty of Economics and Business, Section Quantitative Economics, University of Amsterdam, Netherlands.
  • 2025-2026 (1y): Deputy Professor for financial and insurance mathematics at Ludwig-Maximilians-Universität München, Germany.
  • 2020-2025: (5y) Assistant Professor (Juniorprofessor) for insurance and financial mathematics at Carl von Ossietzky Universität Oldenburg, Germany.
  • 2020: (3m) Postdoc at Finance and Insurance Group, Vrije Universiteit Brussel, Belgium, with Carole Bernard and Steven Vanduffel.
  • 2019-2020: (1.5y) Specialist for algorithmic trading strategies, Finovesta GmbH, Düsseldorf, Germany.
  • 2016-2019: (3y) PhD Student, Universitat Autònoma de Barcelona, Spain.
  • 2013-2015: (2y) Risk Manager at HSBC, Düsseldorf, Germany.
  • 2011-2013: (2y) Master in Mathematics (with honors), TU Braunschweig, Germany.
  • 2008-2011: (3y) Bachelor in Mathematics, TU Braunschweig, Germany.

    • Preprints

  • Accuracy estimation of neural networks by extreme value theory.
    Junike, G. and Oesting, M. (2025). Preprint, [pdf]

  • Batch normalization does not improve initialization.
    Dannemann, J. and Junike, G. (2025). Preprint, [pdf]

    • Publications

  • Validation of machine learning based scenario generators.
    Junike, G., Flaig, S. and Werner, R. (2026). Journal of Risk and Insurance, [pdf]

  • Enhancing Fourier pricing with machine learning.
    Brignone, R., Stier, H. and Junike, G. (2025). International Journal of Computer Mathematics, [pdf]

  • From characteristic functions to multivariate distribution functions and European option prices by the damped COS method.
    Junike, G. and Stier, H. (2025). SIAM Journal on Numerical Analysis, [pdf], C++ Code

  • Exact simulation of stochastic volatility models based on conditional Fourier cosine method.
    Brignone, R., Junike, G. (2025). European Journal of Operational Reseach, [pdf]

  • Precise quantile function estimation from the characteristic function.
    Junike, G. (2025). Statistics and Probability Letters, [pdf], R-Code

  • Profit and loss decomposition in continuous time and approximations.
    Junike, G., Stier, H., Christiansen, M. C. (2025). Finance and Stochastics, [pdf]

  • On the number of terms in the COS method for European option pricing.
    Junike, G. (2024). Numerische Mathematik, [pdf], R-Code

  • Failure of Fourier pricing techniques to approximate the Greeks.
    Behrens, T., Junike, G. and Schoutens, W. (2024). Frontiers of Mathematical Finance, [pdf]

  • An empirical study of profit and loss allocations.
    Flaig, S. and Junike, G. (2024). European Actuarial Journal, [pdf]

  • Cost-efficient payoffs under model ambiguity.
    Bernard, C., Junike, G., Lux, T. and Vanduffel, S. (2024). Finance and Stochastics, [pdf]

  • Precise option pricing by the COS method–How to choose the truncation range.
    Junike, G. and Pankrashkin, K. (2022). Applied Mathematics and Computation, [pdf]

  • Performance of advanced stock price models when it becomes exotic: an empirical study.
    Junike, G., Schoutens, W. and Stier, H. (2022). Annals of Finance, [pdf]

  • Scenario generation for market risk models using generative neural networks.
    Flaig, S. and Junike, G. (2022). Risks, [pdf]

  • Representation of distortion risk measures and applications.
    Junike, G. (2019). Scandinavian Actuarial Journal, [pdf]

  • American and exotic options in a market with frictions.
    Junike, G., Arratia, A., Cabaña, A., and Schoutens, W. (2019). European Journal of Finance, [pdf]

  • Implied liquidity risk premia in option markets.
    Guillaume, F., Junike, G., Leoni, P., and Schoutens, W. (2018). Annals of Finance, [pdf]

  • Advanced stock price models, concave distortion functions and liquidity risk in finance.
    • Junike, G. (2019). PhD thesis, [pdf]

    Conference Presentations

  • Pricing path-dependent options under stochastic volatility models with arbitrary accuracy. (2026, June.)
    XIII Bachelier World Congress, Bologna, Italy.

  • Validation of machine learning based scenario generators. (2026, Apr.)
    MAF 2026: Conference on Mathematical and Statistical Methods for Actuarial Sciences and Finance, Barcelona, Spain.

  • Exact Simulation of stochastic volatility models based on the conditional Fourier-cosine method. (2026, Feb.)
    Numerical Methods for Insurance and Finance, Milan, Italy.

  • Pricing path-dependent options under stochastic volatility models with full error control. (2025, Oct.)
    Munich Risk and Insurance Days 2025, Munich, Germany.

  • Fourier Pricing techniques. (2025, July.)
    5th Barcelona summer school of Stochastic Analysis and Quantitative Finance, Barcelona, Spain.

  • Cost-efficient payoffs under model ambiguity. (2025, July.)
    ISIPTA 2025: International Symposium on Imprecise Probabilities, Bielefeld, Germany.

  • Validation of machine learning based scenario generators. (2025, June.)
    12th AMaMeF Conference, Verona, Italy.

  • Detecting the memorizing effect in generative AI. (2025, Mar.)
    GPSD 2025 Conference (German probability and statistics days), Dresden, Germany.

  • Failure of Fourier pricing techniques to approximate the Greeks. (2024, Nov.)
    Peter Carr Conference on Mathematical Finance, Washington, D.C., USA.

  • Itô decompositions. (2024, Aug.)
    Bernoulli-ims 11th World Congress in Probability and Statistics, Bochum, Germany.

  • The multidimensional COS method for option pricing. (2024, Apr.)
    International Conference on Computational Finance, Amsterdam, Netherlands.

  • Empirical and theoretical analysis of profit and loss allocations. (2024, Feb.)
    Actuarial and Financial Mathematics Conference, Brussels, Belgium.

  • Decomposition of profit and losses. (2023, Oct.)
    DGVFM-Workshop, Loccum, Germany.

  • P&L attribution in dynamic time. (2023, Oct.)
    Munich Risk and Insurance Days 2023, Munich, Germany.

  • How to handle the COS method for option pricing. (2023, Sept.)
    DMV annual meeting 2023, Ilmenau, Germany.

  • How to handle the COS method for option pricing. (2023, June)
    11th AMaMeF Conference, Bielefeld, Germany.

  • Sequential decompositions at their limit. (2023, May)
    Mathematical Finance and Stochastics: A Conference in Honor of David Nualart, San Sebastián, Spain.

  • Sequential decompositions at their limit. (2023, Apr.)
    Belgian Financial Research Forum 2023, Brussels, Belgium.

  • Profit and loss attribution by sequential decompositions. (2023, Mar.)
    GPSD 2023 Conference (German probability and statistics days), Essen, Germany.

  • Precise option pricing by the COS method–How to choose the truncation range. (2022, Oct.)
    8th Workshop on Risk Management and Insurance Research, Barcelona, Spain.

  • Representation of distortion risk measures and applications. (2022, Aug.)
    European Actuarial Journal Conference, Tartu, Estonia.

  • American and exotic options in a market with frictions. (2022, May.)
    Dynamic Assessment Indices, workshop at IMSI, Chicago, USA.

  • Some premium principles in actuarial science. (2021, Oct.)
    DGVFM-Workshop, online, Germany.

  • Representation of distortion risk measures and applications. (2019, Feb.)
    Actuarial and Financial Mathematics Conference, Brussels, Belgium.

  • Distortion functions and applications in insurance science and two price models. (2018, Nov.)
    Statistics Seminar, joint series Mathematics Department & ORSTAT, KU Leuven, Belgium.

  • Conic finance and earning announcements. (2018, Apr.)
    Mathematical and Statistical Methods for Actuarial Sciences and Finance (Conference MAF), Madrid, Spain.

    • Seminar talks

  • London Math-Finance seminar, London, UK, March 12, 2026:
    Dynamic Shapley-Shubik decomposition and applications
    Invited by Purba Das.

  • Peter Carr Seminar, Università di Bologna, Italy, June 27, 2025:
    How to find the cumulative distribution function, the quantile function and the price of a European option given the characteristic function.
    Invited by Umberto Cherubini.

  • Oberseminar, Universität Stuttgart, Germany, April 15, 2025:
    Estimation of the CDF from the characteristic function and applications.
    Invited by Marco Oesting.

  • Oberseminar, Heinrich-Heine-Universität Düsseldorf, Germany, April 10, 2025:
    From the characteristic function to the cumulative distribution function, the quantile function and the price of a European option.
    Invited by Nils Detering.

  • FWM-Orientierungsmodul, TU Braunschweig, Germany, November 30, 2023:
    Profit and loss attribution in dynamic time.
    Invited by Dirk Langemann.

  • Oberseminar, Heinrich-Heine-Universität Düsseldorf, Germany, October 30, 2024:
    Limiting Shapley decompositions.
    Invited by Nils Detering.

  • Oberseminar, Christian-Albrechts-Universität zu Kiel, Germany, February 2, 2023:
    Sequential decompositions at their limit.
    Invited by Jan Kallsen.

    • Teaching

  • Supervised learning
  • Financial Mathematics
  • Stochastic Analysis

    • Impressum & Contact:

    Gero Junike
    Ludwig-Maximilians-Universität München
    Theresienstr. 39
    80333 München, Germany

    Office hours: On appointment
    Office: B226
    Phone: +49 (0)89 2180-4628
    E-Mail: gero.junike_at_math.lmu.de
    ORCID: 0000-0001-8686-2661
    Scopus: 57203924532
    zbMATH: junike.gero
    arxiv: junike_g_1


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