Cornelis W. Oosterlee

Center for Mathematics and Computer Science (CWI)

P.O. Box 94079

Amsterdam, NL-1090 GB

Netherlands

  • Center for Mathematics and Computer Science (CWI)

SCHOLARLY PAPERS

53

DOWNLOADS
Rank 2,470

SSRN RANKINGS

Top 2,470

in Total Papers Downloads

18,322

SSRN CITATIONS
Rank 5,886

SSRN RANKINGS

Top 5,886

in Total Papers Citations

116

CROSSREF CITATIONS

110

Scholarly Papers (53)

Actions:
Email selected abstracts
1.

On the Heston Model with Stochastic Interest Rates

SIAM Journal on Financial Mathematics 2, 255–286, 2011
Number of pages: 25 Posted: 15 Apr 2009 Last Revised: 06 Aug 2014
Lech A. Grzelak and Cornelis W. Oosterlee
Delft University of Technology and Center for Mathematics and Computer Science (CWI)
Downloads 1,863 (11,272)
Citation 5

Abstract:

Loading...

Heston-Hull-White, Heston-Cox-Ingersoll-Ross, equity-interest rate hybrid products, affine jump diffusion processes

2.

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 1,294 (19,854)
Citation 17

Abstract:

Loading...

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

3.

The Stochastic Collocation Monte Carlo Sampler: Highly Efficient Sampling from 'Expensive' Distributions

Quantitative Finance, 2018, Forthcoming
Number of pages: 25 Posted: 24 Nov 2014 Last Revised: 13 May 2018
Lech A. Grzelak, Jeroen Witteveen, Maria Suarez-Taboada and Cornelis W. Oosterlee
Delft University of Technology, Center for Mathematics and Computer Science (CWI), University of Coruña and Center for Mathematics and Computer Science (CWI)
Downloads 1,121 (24,557)
Citation 8

Abstract:

Loading...

Exact Sampling, Heston, Squared Bessel, SABR, Stochastic Collocation, Lagrange Interpolation, Monte Carlo

4.

A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options Under Levy Processes

Number of pages: 23 Posted: 28 Feb 2007
Roger Lord, Fang Fang, Frank Bervoets and Cornelis W. Oosterlee
Cardano Risk Management, Delft University of Technology, Rabobank International, London Branch and Center for Mathematics and Computer Science (CWI)
Downloads 1,002 (28,900)
Citation 5

Abstract:

Loading...

Option pricing , Bermudan options, American options, convolution, Lévy processes, Fast Fourier Transform

5.

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 866 (35,470)
Citation 2

Abstract:

Loading...

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

6.

Extension of Stochastic Volatility Equity Models with Hull-White Interest Rate Process

Quantitative Finance, 12, p.89–105, 2012
Number of pages: 26 Posted: 17 Feb 2009 Last Revised: 06 Aug 2014
Lech A. Grzelak, Cornelis W. Oosterlee and Sacha van Weeren
Delft University of Technology, Center for Mathematics and Computer Science (CWI) and Independent
Downloads 832 (37,453)
Citation 7

Abstract:

Loading...

Schobel-Zhu-Hull-White, Heston-Hull-White, stochastic volatility, hybrid

7.

From Arbitrage to Arbitrage-Free Implied Volatilities

Downloads 795 ( 39,908)
Citation 5

From Arbitrage to Arbitrage-Free Implied Volatilities

Journal of Computational Finance 20(3), 1-19, 2016
Number of pages: 12 Posted: 24 Nov 2014 Last Revised: 05 Jul 2016
Lech A. Grzelak and Cornelis W. Oosterlee
Delft University of Technology and Center for Mathematics and Computer Science (CWI)
Downloads 795 (39,354)

Abstract:

Loading...

Arbitrage-free Hagan’s density, Collocation Method, Orthogonal Projection

From Arbitrage to Arbitrage-Free Implied Volatilities

Journal of Computational Finance, Forthcoming
Number of pages: 19 Posted: 05 Jul 2016
Lech A. Grzelak and Cornelis W. Oosterlee
Delft University of Technology and Center for Mathematics and Computer Science (CWI)
Downloads 0
Citation 4
  • Add to Cart

Abstract:

Loading...

arbitrage-free density, collocation method, orthogonal projection, arbitrage-free volatility, SCMC sampler, implied volatility parameterization

8.

Incorporating an Interest Rate Smile in an Equity Local Volatility Model

Number of pages: 22 Posted: 06 Nov 2008 Last Revised: 20 Oct 2010
Lech A. Grzelak, Natalia Borovykh, Sacha van Weeren and Cornelis W. Oosterlee
Delft University of Technology, affiliation not provided to SSRN, Independent and Center for Mathematics and Computer Science (CWI)
Downloads 780 (40,977)
Citation 3

Abstract:

Loading...

Local Volatility with Stochastic Interest Rates, Hybrid Model, Stochastic Volatility, Libor Market Model, Volatility Smiles

9.

An Equity-Interest Rate Hybrid Model with Stochastic Volatility and the Interest Rate Smile

The Journal of Computational Finance (1–33) Volume 15/Number 4, Summer 2012
Number of pages: 24 Posted: 31 Jan 2010 Last Revised: 11 Nov 2014
Lech A. Grzelak and Cornelis W. Oosterlee
Delft University of Technology and Center for Mathematics and Computer Science (CWI)
Downloads 635 (53,853)
Citation 9

Abstract:

Loading...

Hybrid Models, Heston Equity Model, Libor Market Model with Stochastic Volatility, Displaced Diffusion, Affine Diffusion, Fast Calibration

10.

The Affine Heston Model with Correlated Gaussian Interest Rates for Pricing Hybrid Derivatives

Quantitative Finance, 11:11, 1647-1663, 2011
Number of pages: 23 Posted: 17 Jul 2009 Last Revised: 21 Oct 2014
Lech A. Grzelak, Cornelis W. Oosterlee and Sacha van Weeren
Delft University of Technology, Center for Mathematics and Computer Science (CWI) and Independent
Downloads 633 (54,074)
Citation 2

Abstract:

Loading...

Hybrid, Heston-Gaussian Multi-Factor Model (H-Gn), Affine Diffusion, Stochastic Volatility

11.

Calibration and Monte Carlo Pricing of the SABR-Hull-White Model for Long-Maturity Equity Derivatives

The Journal of Computational Finance (79–113) Volume 15/Number 4, Summer 2012
Number of pages: 24 Posted: 25 Feb 2011 Last Revised: 11 Nov 2014
Bin Chen, Lech A. Grzelak and Cornelis W. Oosterlee
Center for Mathematics and Computer Science (CWI), Delft University of Technology and Center for Mathematics and Computer Science (CWI)
Downloads 534 (66,998)

Abstract:

Loading...

hybrid SABR-HW model, calibration, model approximation, weighted Monte Carlo method

12.

From Concentration Profiles to Concentration Maps. New Tools for the Study of Loss Distributions.

Number of pages: 34 Posted: 13 Oct 2016 Last Revised: 01 Dec 2017
Andrea Fontanari, Pasquale Cirillo and Cornelis W. Oosterlee
Delft University of Technology - Delft Institute of Applied Mathematics (DIAM), ZHAW School of Management and Law and Center for Mathematics and Computer Science (CWI)
Downloads 492 (74,166)
Citation 2

Abstract:

Loading...

concentration profile, concentration map, Gini index, Lorenz curve, CAES, ES, VaR

13.

On Cross-Currency Models with Stochastic Volatility and Correlated Interest Rates

Applied Mathematical Finance Volume19, Issue 1, 2012
Number of pages: 26 Posted: 03 Jun 2010 Last Revised: 21 Oct 2014
Lech A. Grzelak and Cornelis W. Oosterlee
Delft University of Technology and Center for Mathematics and Computer Science (CWI)
Downloads 492 (74,166)
Citation 12

Abstract:

Loading...

Foreign-exchange (FX), stochastic volatility, Heston model, stochastic interest rates, interest rate smile, forward characteristic function, hybrids, affne diffusion, effcient calibration

14.

Portfolio Risk and the Quantum Majorization of Correlation Matrices

Number of pages: 22 Posted: 12 Jan 2019 Last Revised: 10 Feb 2020
Andrea Fontanari, Iddo Eliazar, Pasquale Cirillo and Cornelis W. Oosterlee
Delft University of Technology - Delft Institute of Applied Mathematics (DIAM), affiliation not provided to SSRN, ZHAW School of Management and Law and Center for Mathematics and Computer Science (CWI)
Downloads 471 (78,160)
Citation 1

Abstract:

Loading...

quantum majorization, portfolio risk, risk measures, order

15.

Efficient Computation of Exposure Profiles for Counterparty Credit Risk

Number of pages: 22 Posted: 14 Feb 2014
Cornelis de Graaf, Qian Feng, Drona Kandhai and Cornelis W. Oosterlee
University of Amsterdam, Center for Mathematics and Computer Science (CWI), University of Amsterdam and Center for Mathematics and Computer Science (CWI)
Downloads 418 (89,962)
Citation 4

Abstract:

Loading...

Expected Exposure, Potential Future Exposure, Bermudan options, Heston, numerical computation, finite differences, stochastic grid bundling method

16.

Efficient Computation of Exposure Profiles on Real-World and Risk-Neutral Scenarios for Bermudan Swaptions

Number of pages: 28 Posted: 07 Jun 2016 Last Revised: 04 Jul 2016
Qian Feng, Shashi Jain, Patrik Karlsson, Drona Kandhai and Cornelis W. Oosterlee
Center for Mathematics and Computer Science (CWI), Indian Institute of Science (IISc) - Deptartment of Management Studies, drkarlsson.com, University of Amsterdam and Center for Mathematics and Computer Science (CWI)
Downloads 402 (94,148)

Abstract:

Loading...

credit valuation adjustment, CVA, Bermudan swaption EE, PFE, risk-neutral measure, real-world measure

17.

On an Efficient Multiple Time-Step Monte Carlo Simulation of the SABR Model

Quantitative Finance 17(10): 1549-1565, 2017
Number of pages: 28 Posted: 17 Apr 2016 Last Revised: 28 Oct 2018
Alvaro Leitao Rodriguez, Lech A. Grzelak and Cornelis W. Oosterlee
University of Coruña - Department of Mathematics - M2NICA, Delft University of Technology and Center for Mathematics and Computer Science (CWI)
Downloads 365 (105,113)
Citation 3

Abstract:

Loading...

SABR model; Exact simulation; Monte Carlo methods; Copulas; Stochastic collocation; Fourier techniques; Exotic options

18.

The Stochastic Grid Bundling Method: Efficient Pricing of Bermudan Options and their Greeks

Number of pages: 32 Posted: 17 Jul 2013 Last Revised: 26 Oct 2014
Shashi Jain and Cornelis W. Oosterlee
Indian Institute of Science (IISc) - Deptartment of Management Studies and Center for Mathematics and Computer Science (CWI)
Downloads 322 (120,752)
Citation 9

Abstract:

Loading...

Pricing American Options using Monte Carlo Methods, Greeks for Bermudan option, Monte Carlo methods for pricing Bermudan options

19.

Pricing High-Dimensional American Options Using the Stochastic Grid Method

Number of pages: 31 Posted: 12 Dec 2010 Last Revised: 21 Feb 2012
Shashi Jain and Cornelis W. Oosterlee
Indian Institute of Science (IISc) - Deptartment of Management Studies and Center for Mathematics and Computer Science (CWI)
Downloads 308 (126,623)

Abstract:

Loading...

American Options, High Dimensional, Stochastic Grid Method, Regression, Monte Carlo, SSAP, LSM, Bermudan, Gram Charlier

20.

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 302 (129,327)
Citation 3

Abstract:

Loading...

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

21.

Counterparty Credit Exposures for Interest Rate Derivatives Using the Stochastic Grid Bundling Method

Number of pages: 26 Posted: 14 Dec 2014 Last Revised: 01 Apr 2016
Patrik Karlsson, Shashi Jain and Cornelis W. Oosterlee
drkarlsson.com, Indian Institute of Science (IISc) - Deptartment of Management Studies and Center for Mathematics and Computer Science (CWI)
Downloads 284 (137,893)
Citation 4

Abstract:

Loading...

Bermudan Swaptions, Credit Value Adjustment (CVA), Monte Carlo Simulation, Stochastic Grid Bundling Method (SGBM), XVA

22.

A Projected Algebraic Multigrid Method for Linear Complementarity Problems

Number of pages: 18 Posted: 14 Jan 2011 Last Revised: 06 Apr 2011
Jari Toivanen and Cornelis W. Oosterlee
University of Jyväskylä - Department of Mathematical Information Technology and Center for Mathematics and Computer Science (CWI)
Downloads 267 (147,007)
Citation 1

Abstract:

Loading...

linear complementarity problem, obstacle problem, iterative method, multigrid method, black-box method, American option

23.

Calculation of Exposure Profiles and Sensitivities of Options under the Heston and the Heston Hull-White Models

FIC: Recent Progress and Modern Challenges in Applied Mathematics, Modeling and Computational Science, 2015
Number of pages: 25 Posted: 16 Sep 2014 Last Revised: 07 Jun 2016
Qian Feng and Cornelis W. Oosterlee
Center for Mathematics and Computer Science (CWI) and Center for Mathematics and Computer Science (CWI)
Downloads 235 (166,699)
Citation 2

Abstract:

Loading...

Credit valuation adjustment (CVA), exposure profiles, stochastic interest rate, stochastic volatility, European, Bermudan and barrier options, sensitivities, Monte Carlo simulation, least squares, bundling

24.

Efficient VAR and Expected Shortfall Computations for Nonlinear Portfolios within the Delta-Gamma Approach

Number of pages: 24 Posted: 29 Aug 2013 Last Revised: 23 Jun 2014
Luis Ortiz-Gracia and Cornelis W. Oosterlee
University of Barcelona and Center for Mathematics and Computer Science (CWI)
Downloads 227 (172,317)
Citation 5

Abstract:

Loading...

Market risk, delta-gamma approximation, Value-at-Risk, Expected Shortfall, Fourier transform, Haar wavelets

25.

A Highly Efficient Shannon Wavelet Inverse Fourier Technique for Pricing European Options

Number of pages: 23 Posted: 28 Mar 2015 Last Revised: 29 Mar 2015
Luis Ortiz-Gracia and Cornelis W. Oosterlee
University of Barcelona and Center for Mathematics and Computer Science (CWI)
Downloads 220 (177,506)
Citation 4

Abstract:

Loading...

Option pricing, European options, Shannon wavelets, sinus cardinal function, Fourier transform inversion

26.

Lorenz-Generated Bivariate Archimedean Copulas

Number of pages: 22 Posted: 07 Jun 2019 Last Revised: 26 Jun 2020
Andrea Fontanari, Pasquale Cirillo and Cornelis W. Oosterlee
Delft University of Technology - Delft Institute of Applied Mathematics (DIAM), ZHAW School of Management and Law and Center for Mathematics and Computer Science (CWI)
Downloads 195 (198,421)

Abstract:

Loading...

Copula, Lorenz Curve, Lorenz Copula, Kendall's tau, Generator

27.

Rolling Adjoints : Fast Greeks Along Monte Carlo Scenarios for Early-Exercise Options

Number of pages: 30 Posted: 29 Dec 2017
Shashi Jain, Alvaro Leitao Rodriguez and Cornelis W. Oosterlee
Indian Institute of Science (IISc) - Deptartment of Management Studies, University of Coruña - Department of Mathematics - M2NICA and Center for Mathematics and Computer Science (CWI)
Downloads 194 (199,310)
Citation 2

Abstract:

Loading...

Greeks, Monte Carlo, MVA, Sensitivities Along Scenarios, Pathwise Greeks For American Options

28.

Collocating Volatility: A Competitive Alternative to Stochastic Local Volatility Models

International Journal of Theoretical and Applied Finance, Vol. 23, No. 6 (September 2020)
Number of pages: 33 Posted: 09 Oct 2018 Last Revised: 04 Sep 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 173 (220,384)
Citation 1

Abstract:

Loading...

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

29.

On a One Time-Step SABR Simulation Approach: Application to European Options

Applied Mathematics and Computation 293: 461-479, 2017
Number of pages: 25 Posted: 16 Apr 2016 Last Revised: 27 Oct 2018
Alvaro Leitao Rodriguez, Lech A. Grzelak and Cornelis W. Oosterlee
University of Coruña - Department of Mathematics - M2NICA, Delft University of Technology and Center for Mathematics and Computer Science (CWI)
Downloads 173 (220,384)

Abstract:

Loading...

Computational finance, Stochastic-local volatility models, SABR model, Copulas

30.

Fast and Accurate Exercise Policies for Bermudan Swaptions in Libor Market Model

Number of pages: 24 Posted: 27 May 2015 Last Revised: 01 Jun 2015
Patrik Karlsson, Shashi Jain and Cornelis W. Oosterlee
drkarlsson.com, Indian Institute of Science (IISc) - Deptartment of Management Studies and Center for Mathematics and Computer Science (CWI)
Downloads 167 (227,044)

Abstract:

Loading...

Applied mathematical finance; Bermudan swaptions; Computational finance; Derivative pricing models; Interest rate modelling; LIBOR Market Model

31.

Efficient Portfolio Valuation Incorporating Liquidity Risk

Quantitative Finance, Oct, 2013
Number of pages: 19 Posted: 27 Jan 2011 Last Revised: 28 Jan 2014
Yu Tian, Ron Rood and Cornelis W. Oosterlee
Monash University, Barclays and Center for Mathematics and Computer Science (CWI)
Downloads 167 (227,044)

Abstract:

Loading...

Liquidity Risk, Portfolio Valuation, Ladder MSDC, Liquidation Sequence, Exponential MSDC, Approximation

32.

Robust Pricing of European Options with Wavelets and the Characteristic Function

Number of pages: 27 Posted: 24 Jan 2013
Luis Ortiz-Gracia and Cornelis W. Oosterlee
University of Barcelona and Center for Mathematics and Computer Science (CWI)
Downloads 166 (228,234)
Citation 9

Abstract:

Loading...

option pricing, European options, Haar wavelets, B-Spline wavelets

33.

Fast Valuation and Calibration of Credit Default Swaps Under Levy Dynamics

Number of pages: 22 Posted: 22 Jun 2010
Fang Fang, Henrik Jönsson, Cornelis W. Oosterlee and Wim Schoutens
Delft University of Technology, European Institute for Statistics, Probability, Operations Research and their Applications (EURANDOM), Center for Mathematics and Computer Science (CWI) and KU Leuven - Department of Mathematics
Downloads 160 (235,492)
Citation 4

Abstract:

Loading...

Levy processes,Credit risk, Default probability, Credit Default Swaps, Fourier-cosine expansion

34.

A Quantum Majorization Alarm System for Market Crashes

Number of pages: 15
J Montana, Luis Souto Arias, Pasquale Cirillo and Cornelis W. Oosterlee
affiliation not provided to SSRN, Center for Mathematics and Computer Science (CWI), ZHAW School of Management and Law and Center for Mathematics and Computer Science (CWI)
Downloads 153

Abstract:

Loading...

Quantum majorization, correlation matrix, portfolio risk, forecasting, financial crash

35.

On the Data-Driven COS Method

Applied Mathematics and Computation 317: 68-84, 2018
Number of pages: 26 Posted: 16 Feb 2017 Last Revised: 28 Oct 2018
Alvaro Leitao Rodriguez, Cornelis W. Oosterlee, Luis Ortiz-Gracia and Sander Bohte
University of Coruña - Department of Mathematics - M2NICA, Center for Mathematics and Computer Science (CWI), University of Barcelona and Center for Mathematics and Computer Science (CWI)
Downloads 147 (252,466)
Citation 4

Abstract:

Loading...

Fourier, Density estimation, Statistical Learning theory, Greeks

36.

Wrong Way Risk Modeling and Computation in Credit Valuation Adjustment for European and Bermudan Options

Number of pages: 33 Posted: 17 Oct 2016
Qian Feng and Cornelis W. Oosterlee
Center for Mathematics and Computer Science (CWI) and Center for Mathematics and Computer Science (CWI)
Downloads 136 (268,668)

Abstract:

Loading...

Credit Valuation Adjustment (CVA), Wrong Way Risk (WWR) Modeling, Efficient Algorithms, Bermudan Options

37.

Two-Dimensional Shannon Wavelet Inverse Fourier Technique for Pricing European Options

Number of pages: 27 Posted: 02 Jun 2016 Last Revised: 28 Aug 2017
Gemma Colldeforns-Papiol, Luis Ortiz-Gracia and Cornelis W. Oosterlee
Centre de Recerca Matemàtica, University of Barcelona and Center for Mathematics and Computer Science (CWI)
Downloads 131 (276,330)
Citation 5

Abstract:

Loading...

Option pricing, European options, two-color rainbow options, basket options, spread options, Lévy process, Shannon wavelets, cardinal sine function, Fourier transform inversion

38.

Numerical Fourier Method and Second-Order Taylor Scheme for Backward SDEs in Finance

Number of pages: 29 Posted: 07 Nov 2014
Marjon Ruijter and Cornelis W. Oosterlee
Center for Mathematics and Computer Science (CWI) and Center for Mathematics and Computer Science (CWI)
Downloads 129 (279,506)
Citation 3

Abstract:

Loading...

Fourier-cosine expansion method, European and Bermudan options, CEV process, CIR process, local volatility, characteristic function, backward stochastic differential equations, Milstein scheme, Order 2.0 weak Taylor scheme

39.

Pricing Early-Exercise and Discrete Barrier Options by Shannon Wavelet Expansions

Number of pages: 33 Posted: 20 Dec 2015 Last Revised: 16 Aug 2016
Stefanus Maree, Stefanus Maree, Luis Ortiz-Gracia and Cornelis W. Oosterlee
Center for Mathematics and Computer Science (CWI)University of Amsterdam - University Medical Center, University of Barcelona and Center for Mathematics and Computer Science (CWI)
Downloads 121 (293,059)
Citation 5

Abstract:

Loading...

Shannon wavelets; Bermudan options; barrier options

40.

ABOUT THE ESTIMATION OF REINFORCED URN PROCESSES UNDER LEFT-TRUNCATION AND RIGHT-CENSORING

Number of pages: 26 Posted: 03 Jun 2020 Last Revised: 29 Nov 2021
Luis Souto Arias, Pasquale Cirillo and Cornelis W. Oosterlee
Center for Mathematics and Computer Science (CWI), ZHAW School of Management and Law and Center for Mathematics and Computer Science (CWI)
Downloads 111 (313,517)

Abstract:

Loading...

Urn Process, Expectation-Maximization, Expectation-Reinforcement, Left-truncation, Right-Censoring

41.

Accurate and Robust Numerical Methods for the Dynamic Portfolio Management Problem

doi:10.1007/s10614-016-9569-0
Number of pages: 22 Posted: 11 Feb 2015 Last Revised: 27 Oct 2016
Fei Cong and Cornelis W. Oosterlee
Delft University of Technology - Delft Institute of Applied Mathematics (DIAM) and Center for Mathematics and Computer Science (CWI)
Downloads 107 (319,495)
Citation 2

Abstract:

Loading...

dynamic portfolio management; simulation method; least-square regression; Taylor expansion; Fourier cosine expansion method

42.

Efficient Computation of Various Valuation Adjustments Under Local Lévy Models

Number of pages: 25 Posted: 18 Oct 2016 Last Revised: 20 Aug 2018
Anastasia Borovykh, Andrea Pascucci and Cornelis W. Oosterlee
University of Bologna - Department of Mathematics, University of Bologna - Department of Mathematics and Center for Mathematics and Computer Science (CWI)
Downloads 101 (334,163)
Citation 1

Abstract:

Loading...

Fast Fourier Transform, CVA, XVA, BSDE, Characteristic Function

43.

A Fourier-Cosine Method for an Efficient Computation of Solutions to BSDEs

Number of pages: 30 Posted: 16 Mar 2013
Marjon Ruijter and Cornelis W. Oosterlee
Center for Mathematics and Computer Science (CWI) and Center for Mathematics and Computer Science (CWI)
Downloads 99 (336,386)
Citation 3

Abstract:

Loading...

Backward stochastic differential equations, Fourier cosine expansion method, European options, market imperfections, jump-diffusion process, utility indifference pricing

44.

Pricing Bermudan Options Under Merton Jump-Diffusion Asset Dynamics

International Journal of Computer Mathematics, Forthcoming
Number of pages: 27 Posted: 31 Jan 2015
Fei Cong and Cornelis W. Oosterlee
Delft University of Technology - Delft Institute of Applied Mathematics (DIAM) and Center for Mathematics and Computer Science (CWI)
Downloads 97 (340,793)
Citation 3

Abstract:

Loading...

Monte Carlo simulation, least-squares regression, jump-diffusion process, Bermudan option, high-dimensional problem

45.

Efficient Numerical Fourier Methods for Coupled Forward-Backward SDEs

Number of pages: 27 Posted: 25 Jun 2015
Thomas Huijskens, Marjon Ruijter and Cornelis W. Oosterlee
University of Oxford, Center for Mathematics and Computer Science (CWI) and Center for Mathematics and Computer Science (CWI)
Downloads 91 (354,880)

Abstract:

Loading...

Fourier-cosine expansion method, characteristic function, coupled forward-backward stochastic differential equations, Richardson extrapolation, second-order convergence, cross-hedging

46.

Pricing Bermudan Options Under Local Lévy Models with Default

Number of pages: 26 Posted: 29 Apr 2016
Anastasia Borovykh, Andrea Pascucci and Cornelis W. Oosterlee
University of Bologna - Department of Mathematics, University of Bologna - Department of Mathematics and Center for Mathematics and Computer Science (CWI)
Downloads 84 (372,839)
Citation 2

Abstract:

Loading...

Bermudan option, local Lévy model, defaultable asset, asymptotic expansion, Fourier-cosine expansion

47.

Quantifying Credit Portfolio Losses Under Multi-Factor Models

Number of pages: 20 Posted: 30 Nov 2017
Gemma Colldeforns-Papiol, Luis Ortiz-Gracia and Cornelis W. Oosterlee
Centre de Recerca Matemàtica, University of Barcelona and Center for Mathematics and Computer Science (CWI)
Downloads 78 (389,401)

Abstract:

Loading...

Credit risk, Value-at-Risk, Expected Shortfall, Multi-factor models, Gaussian copula, t-copula, Fourier transform inversion, Haar wavelets

48.

GPU Acceleration of the Stochastic Grid Bundling Method for Early-Exercise Options

International Journal of Computer Mathematics 92(12): 2433–2454, 2015
Number of pages: 25 Posted: 12 Feb 2016 Last Revised: 27 Oct 2018
Alvaro Leitao Rodriguez and Cornelis W. Oosterlee
University of Coruña - Department of Mathematics - M2NICA and Center for Mathematics and Computer Science (CWI)
Downloads 63 (436,902)
Citation 3

Abstract:

Loading...

Computational finance; Early-exercise derivatives; Basket Bermudan options; High-dimensional pricing; Stochastic Grid Bundling Method (SGBM); Monte Carlo simulation; Least squares regression; High performance computing; Parallel programming; GPGPU; Compute Unified Device Architecture (CUDA)

49.

On Pre-Commitment Aspects of a Time-Consistent Strategy for a Mean-Variance Investor

Number of pages: 23 Posted: 01 Feb 2016 Last Revised: 19 Aug 2016
Fei Cong and Cornelis W. Oosterlee
Delft University of Technology - Delft Institute of Applied Mathematics (DIAM) and Center for Mathematics and Computer Science (CWI)
Downloads 62 (440,423)
Citation 4

Abstract:

Loading...

mean-variance optimization, constrained optimization, simulation method, least-square regression, time-consistency

50.

On the Application of Spectral Filters in a Fourier Option Pricing Technique

Downloads 57 (458,662)
Citation 18

On the Application of Spectral Filters in a Fourier Option Pricing Technique

Journal of Computational Finance, 2015
Number of pages: 24 Posted: 18 May 2013
Marjon Ruijter, Mark Versteegh and Cornelis W. Oosterlee
Center for Mathematics and Computer Science (CWI), Delft University of Technology and Center for Mathematics and Computer Science (CWI)
Downloads 56 (469,526)
Citation 7

Abstract:

Loading...

Fourier cosine expansion method, spectral filters, European options, Variance Gamma, portfolio loss distribution, Gibbs phenomenon

On the Application of Spectral Filters in a Fourier Option Pricing Technique

Journal of Computational Finance, Vol. 19, No. 1, Pages 75–106, 2015
Number of pages: 32 Posted: 15 Jun 2016
Marjon Ruijter, Mark Versteegh and Cornelis W. Oosterlee
Center for Mathematics and Computer Science (CWI), Delft University of Technology and Center for Mathematics and Computer Science (CWI)
Downloads 1 (839,074)
Citation 3
  • Add to Cart

Abstract:

Loading...

Fourier Cosine Expansion Method, Spectral Filters, European Options, Variance Gamma, Portfolio Loss Distribution, Gibbs Phenomenon

51.

Numerical Techniques for the Heston Collocated Volatility Model

Journal of Computational Finance, Vol. 24, No. 3
Number of pages: 52 Posted: 03 Feb 2021
Fabien Le Floc'h and Cornelis W. Oosterlee
Delft University of Technology and Center for Mathematics and Computer Science (CWI)
Downloads 0 (819,510)
  • Add to Cart

Abstract:

Loading...

stochastic collocation, implied volatility, quantitative finance, Heston model, alternative direction implicit (ADI) scheme, Monte Carlo method.

52.

Dilated Convolutional Neural Networks for Time Series Forecasting

Journal of Computational Finance, Forthcoming
Number of pages: 29 Posted: 26 Oct 2018
Anastasia Borovykh, Sander Bohte and Cornelis W. Oosterlee
Università di Bologna, Center for Mathematics and Computer Science (CWI) and Center for Mathematics and Computer Science (CWI)
Downloads 0 (819,510)
Citation 1
  • Add to Cart

Abstract:

Loading...

convolutional neural network (CNN), financial time series, forecasting, deep learning, multivariate time series.

53.

Efficient Computation of Exposure Profiles on Real-World and Risk-Neutral Scenarios for Bermudan Swaptions

Journal of Computational Finance, Forthcoming
Number of pages: 34 Posted: 13 Jul 2016
Qian Feng, Shashi Jain, Patrik Karlsson, Drona Kandhai and Cornelis W. Oosterlee
Center for Mathematics and Computer Science (CWI), Indian Institute of Science (IISc) - Deptartment of Management Studies, drkarlsson.com, University of Amsterdam and Center for Mathematics and Computer Science (CWI)
Downloads 0 (819,510)
Citation 1
  • Add to Cart

Abstract:

Loading...

credit valuation adjustment (CVA), credit exposure, potential future exposure (PFE), Bermudan swaption, risk-neutral measure, real-world measure