Cornelis W. Oosterlee

Utrecht University - Faculty of Science

Vredenburg 138

Utrecht, 3511 BG

Netherlands

SCHOLARLY PAPERS

54

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116

CROSSREF CITATIONS

110

Scholarly Papers (54)

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 Utrecht University - Faculty of Science
Downloads 1,960 (12,296)
Citation 5

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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 Utrecht University - Faculty of Science
Downloads 1,595 (16,992)
Citation 17

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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
Delft University of Technology, Center for Mathematics and Computer Science (CWI), University of Coruña and Utrecht University - Faculty of Science
Downloads 1,253 (24,344)
Citation 8

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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, FF Quant Advisory, Rabobank International, London Branch and Utrecht University - Faculty of Science
Downloads 1,038 (31,932)
Citation 12

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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 Utrecht University - Faculty of Science
Downloads 986 (34,393)
Citation 2

Abstract:

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

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 Utrecht University - Faculty of Science
Downloads 875 (40,112)

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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 Utrecht University - Faculty of Science
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Citation 4
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arbitrage-free density, collocation method, orthogonal projection, arbitrage-free volatility, SCMC sampler, implied volatility parameterization

7.

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, Utrecht University - Faculty of Science and Independent
Downloads 851 (42,162)
Citation 7

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

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 Utrecht University - Faculty of Science
Downloads 803 (45,578)
Citation 3

Abstract:

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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 Utrecht University - Faculty of Science
Downloads 673 (57,564)
Citation 9

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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, Utrecht University - Faculty of Science and Independent
Downloads 671 (57,777)
Citation 2

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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 Utrecht University - Faculty of Science
Downloads 580 (69,687)

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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 Utrecht University - Faculty of Science
Downloads 526 (78,819)
Citation 2

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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 Utrecht University - Faculty of Science
Downloads 521 (79,556)
Citation 12

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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 Utrecht University - Faculty of Science
Downloads 505 (82,687)
Citation 2

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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 Utrecht University - Faculty of Science
Downloads 449 (95,174)
Citation 4

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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 Utrecht University - Faculty of Science
Downloads 427 (100,874)

Abstract:

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

17.

An alarm system for market crashes using quantum majorization

Number of pages: 26 Posted: 02 Feb 2022 Last Revised: 05 Aug 2022
Netherlands Organisation for Scientific Research - Centrum Wiskunde & Informatica, Utrecht University, ZHAW School of Management and Law and Utrecht University - Faculty of Science
Downloads 422 (102,290)

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

18.

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 Utrecht University - Faculty of Science
Downloads 379 (115,660)
Citation 3

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

19.

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 Utrecht University - Faculty of Science
Downloads 329 (135,123)
Citation 3

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

20.

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 Utrecht University - Faculty of Science
Downloads 323 (137,779)
Citation 9

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

21.

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 Utrecht University - Faculty of Science
Downloads 319 (139,997)

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

22.

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 Utrecht University - Faculty of Science
Downloads 313 (142,351)
Citation 4

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

23.

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 Utrecht University - Faculty of Science
Downloads 272 (164,509)
Citation 1

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

24.

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 Utrecht University - Faculty of Science
Downloads 260 (172,220)
Citation 2

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

25.

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 Utrecht University - Faculty of Science
Downloads 236 (189,149)
Citation 1

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

26.

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 Utrecht University - Faculty of Science
Downloads 230 (193,783)
Citation 4

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

27.

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 Utrecht University - Faculty of Science
Downloads 230 (193,783)
Citation 5

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

28.

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 Utrecht University - Faculty of Science
Downloads 209 (211,959)
Citation 2

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

29.

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 Utrecht University - Faculty of Science
Downloads 206 (214,831)

Abstract:

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

30.

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 Utrecht University - Faculty of Science
Downloads 189 (231,961)

Abstract:

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

31.

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
FF Quant Advisory, European Institute for Statistics, Probability, Operations Research and their Applications (EURANDOM), Utrecht University - Faculty of Science and KU Leuven - Department of Mathematics
Downloads 180 (241,976)
Citation 4

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

32.

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 Utrecht University - Faculty of Science
Downloads 177 (245,523)

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

33.

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
University of Coruña - Department of Mathematics - M2NICA, Utrecht University - Faculty of Science, University of Barcelona and Center for Mathematics and Computer Science (CWI)
Downloads 176 (246,692)
Citation 4

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Fourier, Density estimation, Statistical Learning theory, Greeks

34.

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 Utrecht University - Faculty of Science
Downloads 175 (247,887)
Citation 9

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

35.

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 Utrecht University - Faculty of Science
Downloads 168 (256,576)

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

36.

Estimation of Reinforced Urn Processes Under Left-truncation and Right-censoring

Number of pages: 22 Posted: 03 Jun 2020 Last Revised: 20 Sep 2022
Luis Antonio Souto Arias, Pasquale Cirillo and Cornelis W. Oosterlee
Utrecht University, ZHAW School of Management and Law and Utrecht University - Faculty of Science
Downloads 153 (277,134)

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Reinforced Urn Process, Expectation-Maximization, Bivariate survival function, Left-truncation, Right-Censoring

37.

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 Utrecht University - Faculty of Science
Downloads 142 (294,288)

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

38.

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 Utrecht University - Faculty of Science
Downloads 135 (306,076)
Citation 5

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

39.

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 Utrecht University - Faculty of Science
Downloads 133 (309,582)
Citation 3

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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

40.

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 Utrecht University - Faculty of Science
Downloads 132 (311,397)
Citation 5

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Shannon wavelets; Bermudan options; barrier options

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 Utrecht University - Faculty of Science
Downloads 113 (348,338)
Citation 2

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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 Utrecht University - Faculty of Science
Downloads 109 (357,108)
Citation 1

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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 Utrecht University - Faculty of Science
Downloads 106 (366,229)
Citation 3

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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 Utrecht University - Faculty of Science
Downloads 102 (373,322)
Citation 3

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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 Utrecht University - Faculty of Science
Downloads 100 (378,277)

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

46.

A New Self-Exciting Jump-Diffusion Process for Option Pricing

Number of pages: 23 Posted: 01 Jun 2022
Luis Antonio Souto Arias, Pasquale Cirillo and Cornelis W. Oosterlee
Utrecht University, ZHAW School of Management and Law and Utrecht University - Faculty of Science
Downloads 95 (390,777)

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options, self-exciting process, diffusion process, jump process, Hawkes, Bates, Heston

47.

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 Utrecht University - Faculty of Science
Downloads 92 (398,787)
Citation 2

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

48.

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 Utrecht University - Faculty of Science
Downloads 90 (404,354)

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

49.

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 Utrecht University - Faculty of Science
Downloads 70 (467,015)
Citation 3

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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)

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 Utrecht University - Faculty of Science
Downloads 67 (484,026)
Citation 7

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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 Utrecht University - Faculty of Science
Downloads 1 (978,853)
Citation 3
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Fourier Cosine Expansion Method, Spectral Filters, European Options, Variance Gamma, Portfolio Loss Distribution, Gibbs Phenomenon

51.

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 Utrecht University - Faculty of Science
Downloads 66 (481,486)
Citation 4

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

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 Utrecht University - Faculty of Science
Downloads 1 (936,511)
Citation 1
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convolutional neural network (CNN), financial time series, forecasting, deep learning, multivariate time series.

53.

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 Utrecht University - Faculty of Science
Downloads 0 (950,291)
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stochastic collocation, implied volatility, quantitative finance, Heston model, alternative direction implicit (ADI) scheme, Monte Carlo method.

54.

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 Utrecht University - Faculty of Science
Downloads 0 (950,291)
Citation 1
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credit valuation adjustment (CVA), credit exposure, potential future exposure (PFE), Bermudan swaption, risk-neutral measure, real-world measure