Anthonie van der Stoep

Rabobank

Dr. ir.

Netherlands

SCHOLARLY PAPERS

4

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2,049

SSRN CITATIONS
Rank 42,895

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Top 42,895

in Total Papers Citations

6

CROSSREF CITATIONS

7

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 1,029 (21,956)
Citation 10

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 677 (39,568)
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 266 (120,634)
Citation 2

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 Volatility: A Competitive Alternative to Stochastic Local Volatility Models

Number of pages: 33 Posted: 09 Oct 2018 Last Revised: 21 Feb 2020
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 77 (327,155)

Abstract:

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