Anthonie van der Stoep

Rabobank

Dr. ir.

Netherlands

SCHOLARLY PAPERS

4

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1,917

CITATIONS
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Top 44,517

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10

Scholarly Papers (4)

1.

The Heston Stochastic-Local Volatility Model: Efficient Monte Carlo Simulation

International Journal of Theoretical and Applied Finance, Vol. 17, No. 7 (2014).
Number of pages: 25 Posted: 13 Jun 2013 Last Revised: 20 May 2018
Anthonie van der Stoep, Lech A. Grzelak and Cornelis W. Oosterlee
Rabobank, Delft University of Technology and Center for Mathematics and Computer Science (CWI)
Downloads 974 (22,321)
Citation 8

Abstract:

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Heston Stochastic-Local Volatility, HSLV, Stochastic Volatility, Local Volatility, Heston, Hybrid Models, Calibration, Monte Carlo

2.

The Time-Dependent FX-SABR Model: Efficient Calibration Based on Effective Parameters

International Journal of Theoretical and Applied Finance, Vol. 18, No. 6 (2015)
Number of pages: 30 Posted: 04 Oct 2014 Last Revised: 28 Sep 2015
Anthonie van der Stoep, Lech A. Grzelak and Cornelis W. Oosterlee
Rabobank, Delft University of Technology and Center for Mathematics and Computer Science (CWI)
Downloads 626 (41,167)
Citation 2

Abstract:

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Time-Dependent SABR, FX, Calibration, Effective Parameters, Local Volatility, Monte Carlo, Path-Dependent

3.

A Novel Monte Carlo Approach to Hybrid Local Volatility Models

Quantitative Finance, Vol. 17, No. 9 (September 2017)
Number of pages: 31 Posted: 21 Apr 2016 Last Revised: 28 Mar 2017
Anthonie van der Stoep, Lech A. Grzelak and Cornelis W. Oosterlee
Rabobank, Delft University of Technology and Center for Mathematics and Computer Science (CWI)
Downloads 253 (120,013)
Citation 1

Abstract:

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Local volatility, Monte Carlo, hybrid, stochastic volatility, stochastic local volatility, stochastic interest rates, stochastic collocation, regression, SABR, Heston, Hull-White

4.

Collocating Local Volatility: A Competitive Alternative to Stochastic Local Volatility Models

Number of pages: 31 Posted: 09 Oct 2018
Anthonie van der Stoep, Lech A. Grzelak and Cornelis W. Oosterlee
Rabobank, Delft University of Technology and Center for Mathematics and Computer Science (CWI)
Downloads 64 (343,318)

Abstract:

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Collocating Local Volatility, stochastic local volatility, Monte Carlo, stochastic collocation, calibration, forward volatility, barrier options