The computation of multivariate expectations is a common task in various fields related to probability theory. This thesis aims to develop a generic and efficient solver for multivariate expectation problems, with a focus on its application in the field of quantitative finance, specifically for the quantification of Counterparty Credit Risk (CCR).

The proposed COS-CPD method utilizes the COS method to recover the exposure distribution by its Fourier-cosine series expansion, from which measures such as the PFE and EE can be obtained. The key insight is that the corresponding Fourier coefficients are readily available from the characteristic function, which can be solved using numerical integration methods. However, the efficiency of standard quadrature rules is limited to only a few risk factors, as the dimension of integration is determined by the number of risk factors involved.

To address this limitation, the COS-CPD method reduces the dimension of integration of the characteristic function through two steps. Firstly, the joint density function of the risk factors in the characteristic function is replaced by a dimension-reduced Fourier-cosine series expansion, which is obtained through CPD. With CPD, the computational complexity of computing the Fourier coefficient tensor is reduced to a linear growth with respect to the number of dimensions. Secondly, the portfolio is divided into segments that share the same risk factors. These two steps reduces the evaluation of the characteristic function to the calculation of only one- and two-dimensional integrals, which are solved by the Clenshaw-Curtis quadrature rule. As a result, the COS-CPD method is suitable for portfolios with more than three risk factors.

Numerical comparisons of the COS-CPD method and Monte Carlo (MC) method are made for netting-set PFE and EE profiles of multiple derivative portfolios up to five risk factors. For similar accuracy levels, the COS-CPD method greatly outperforms the Monte Carlo method in computation time. This difference increases for larger portfolios, which makes the COS-CPD method a much more efficient alternative for the MC method, especially for large portfolios.

Furthermore, the COS-CPD method is applied in the context of multi-asset option pricing. A six-dimensional basket option is considered, and the results are compared to a recently developed sparse grid method. The comparison shows that the COS-CPD method outperforms the sparse grid method in both accuracy and computation time. Moreover, the COS-CPD method allows the computation of the option value for multiple strike prices simultaneously, with no significant additional computational cost.

A wide range of practical problems involve computing multi-dimensional integrations. However, in most cases, it is hard to find analytical solutions to these multi-dimensional integrations. Their numerical solutions always suffer from the `curse of dimension', which means the computational complexity grows exponentially with respect to the dimension.

There is an existing approach that approximates multivariate functions by a tensor of truncated multi-dimensional Fourier series coefficients, and uses the Stochastic Gradient Descent method to solve the lower-rank CPD model, which is used to reduce the computational complexity of the coefficient tensor. In contrast to this work, this thesis project extends its application to solve multi-dimensional integrations, utilizing the Fourier-cosine series expansion to represent the integrand. This project also replaces the SGD method with the Conjugate Gradient method, which improves the function matching accuracy significantly and also has great integration accuracy. The computational cost is reduced regardingly as well.

This thesis also tests an expectation operator related to the COS method, which can be used to compute the expectation of functions of several random variables with much less computational complexity. This method filters out insignificant Fourier-cosine basis functions of the marginal distribution functions, and uses the selected `principal' basis functions to compute Fourier-cosine coefficients of the joint density function by the high-dimensional COS method. The test results show that more than half of the Fourier-cosine series terms can be dropped per dimension while the expectation accuracy is kept, and the correlation does not influence the expectation accuracy significantly for target functions of normally distributed random variables.