C.W. Oosterlee : rechercher sur Z-Library

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1

THE HESTON STOCHASTIC-LOCAL VOLATILITY MODEL: EFFICIENT MONTE CARLO SIMULATION

VAN DER STOEP, ANTHONIE W., GRZELAK, LECH A., OOSTERLEE, CORNELIS W.

Journal:

International Journal of Theoretical and Applied Finance

Année:

2014

Langue:

english

Fichier:

PDF, 1.59 MB

english, 2014

2

A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions

Fang, F., Oosterlee, C. W.

Journal:

SIAM Journal on Scientific Computing

Année:

2009

Langue:

english

Fichier:

PDF, 340 KB

english, 2009

3

A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under Lévy Processes

Lord, R., Fang, F., Bervoets, F., Oosterlee, C. W.

Journal:

SIAM Journal on Scientific Computing

Année:

2008

Langue:

english

Fichier:

PDF, 427 KB

english, 2008

4

On the Heston Model with Stochastic Interest Rates

Grzelak, Lech A., Oosterlee, Cornelis W.

Journal:

SIAM Journal on Financial Mathematics

Année:

2011

Langue:

english

Fichier:

PDF, 572 KB

english, 2011

5

The stochastic collocation Monte Carlo sampler: highly efficient sampling from ‘expensive’ distributions

Grzelak, L. A., Witteveen, J. A. S., Suárez-Taboada, M., Oosterlee, C. W.

Journal:

Quantitative Finance

Année:

2018

Langue:

english

Fichier:

PDF, 748 KB

english, 2018

6

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

Grzelak, Lech A., Oosterlee, Cornelis W.

Journal:

Applied Mathematical Finance

Année:

2012

Langue:

english

Fichier:

PDF, 405 KB

english, 2012

7

A LOW-BIAS SIMULATION SCHEME FOR THE SABR STOCHASTIC VOLATILITY MODEL

CHEN, BIN, OOSTERLEE, CORNELIS W., VAN DER WEIDE, HANS

Journal:

International Journal of Theoretical and Applied Finance

Année:

2012

Langue:

english

Fichier:

PDF, 470 KB

english, 2012

8

Multi-period mean-variance portfolio optimization based on monte-carlo simulation

Cong, F., Oosterlee, C.W.

Journal:

Journal of Economic Dynamics and Control

Année:

2016

Langue:

english

Fichier:

PDF, 624 KB

english, 2016

9

On a one time-step Monte Carlo simulation approach of the SABR model: Application to European options

Leitao, Álvaro, Grzelak, Lech A., Oosterlee, Cornelis W.

Journal:

Applied Mathematics and Computation

Année:

2017

Langue:

english

Fichier:

PDF, 1.73 MB

english, 2017

10

Pricing Options and Computing Implied Volatilities using Neural Networks

Liu, Shuaiqiang, Oosterlee, Cornelis, Bohte, Sander

Journal:

Année:

2019

Langue:

english

Fichier:

PDF, 981 KB

english, 2019

11

Computation of risk contribution in the Vasicek portfolio credit loss model

Xinzheng Huang, Cornelis W. Oosterlee

Journal:

Année:

2007

Langue:

english

Fichier:

PDF, 77 KB

english, 2007

12

Extension of stochastic volatility equity models with the Hull–White interest rate process

Grzelak, Lech A., Oosterlee, Cornelis W., Van Weeren, Sacha

Journal:

Quantitative Finance

Année:

2012

Langue:

english

Fichier:

PDF, 333 KB

english, 2012

13

A Fourier-Based Valuation Method for Bermudan and Barrier Options under Heston's Model

Fang, Fang, Oosterlee, Cornelis W.

Journal:

SIAM Journal on Financial Mathematics

Année:

2011

Langue:

english

Fichier:

PDF, 384 KB

english, 2011

14

Efficient VaR and Expected Shortfall computations for nonlinear portfolios within the delta-gamma approach

Ortiz-Gracia, Luis, Oosterlee, Cornelis W.

Journal:

Applied Mathematics and Computation

Année:

2014

Langue:

english

Fichier:

PDF, 781 KB

english, 2014

15

EFFICIENT COMPUTATION OF EXPOSURE PROFILES FOR COUNTERPARTY CREDIT RISK

DE GRAAF, CORNELIS S. L., FENG, QIAN, KANDHAI, DRONA, OOSTERLEE, CORNELIS W.

Journal:

International Journal of Theoretical and Applied Finance

Année:

2014

Langue:

english

Fichier:

PDF, 689 KB

english, 2014

16

Computational methods for PDEs in finance

Toivanen, Jari, Oosterlee, Cornelis W., Zhu, Song-Ping

Journal:

International Journal of Computer Mathematics

Année:

2012

Langue:

english

Fichier:

PDF, 50 KB

english, 2012

17

On an efficient multiple time step Monte Carlo simulation of the SABR model

Leitao, Álvaro, Grzelak, Lech A., Oosterlee, Cornelis W.

Journal:

Quantitative Finance

Année:

2017

Langue:

english

Fichier:

PDF, 800 KB

english, 2017

18

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

Grzelak, Lech A., Oosterlee, Cornelis W.

Journal:

SSRN Electronic Journal

Année:

2010

Langue:

english

Fichier:

PDF, 461 KB

english, 2010

19

An Arbitrage-Free Hagan Implied Density via the Stochastic Collocation Method

Grzelak, Lech A., Oosterlee, Cornelis W.

Journal:

SSRN Electronic Journal

Année:

2014

Langue:

english

Fichier:

PDF, 419 KB

english, 2014

20

An SGBM-XVA demonstrator: a scalable Python tool for pricing XVA

Chau, Ki Wai, Tang, Jok, Oosterlee, Cornelis W.

Journal:

Journal of Mathematics in Industry

Année:

2020

Fichier:

PDF, 1.57 MB

2020

21

Numerical valuation of options with jumps in the underlying

Ariel Almendral, Cornelis W. Oosterlee

Journal:

Applied Numerical Mathematics

Année:

2005

Langue:

english

Fichier:

PDF, 184 KB

english, 2005

22

Process Automation of The Hague Sewage-Treatment Plant

G. J. OOSTERLEE

Journal:

Water and Environment Journal

Année:

1991

Langue:

english

Fichier:

PDF, 886 KB

english, 1991

23

Two-Dimensional Fourier Cosine Series Expansion Method for Pricing Financial Options

Ruijter, M. J., Oosterlee, C. W.

Journal:

SIAM Journal on Scientific Computing

Année:

2012

Langue:

english

Fichier:

PDF, 1.07 MB

english, 2012

24

Saddlepoint Approximations for Expectations and an Application to CDO Pricing

Huang, Xinzheng, Oosterlee, Cornelis W.

Journal:

SIAM Journal on Financial Mathematics

Année:

2011

Langue:

english

Fichier:

PDF, 327 KB

english, 2011

25

Efficient Pricing of European-Style Asian Options under Exponential Lévy Processes Based on Fourier Cosine Expansions

Zhang, B., Oosterlee, C. W.

Journal:

SIAM Journal on Financial Mathematics

Année:

2013

Langue:

english

Fichier:

PDF, 374 KB

english, 2013

26

Pricing high-dimensional Bermudan options using the stochastic grid method

Jain, Shashi, Oosterlee, Cornelis W.

Journal:

International Journal of Computer Mathematics

Année:

2012

Langue:

english

Fichier:

PDF, 515 KB

english, 2012

27

ANALYTICAL APPROXIMATION TO CONSTANT MATURITY SWAP CONVEXITY CORRECTIONS IN A MULTI-FACTOR SABR MODEL

CHEN, BIN, OOSTERLEE, CORNELIS W., VAN WEEREN, SACHA

Journal:

International Journal of Theoretical and Applied Finance

Année:

2010

Langue:

english

Fichier:

PDF, 405 KB

english, 2010

28

The Stochastic Grid Bundling Method: Efficient pricing of Bermudan options and their Greeks

Jain, Shashi, Oosterlee, Cornelis W.

Journal:

Applied Mathematics and Computation

Année:

2015

Langue:

english

Fichier:

PDF, 1.32 MB

english, 2015

29

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

Karlsson, Patrik, Jain, Shashi, Oosterlee, Cornelis W.

Journal:

Applied Mathematical Finance

Année:

2016

Langue:

english

Fichier:

PDF, 1.97 MB

english, 2016

30

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

Chen, Bin, Grzelak, Lech A., Oosterlee, Cornelis W.

Journal:

SSRN Electronic Journal

Année:

2011

Langue:

english

Fichier:

PDF, 1.23 MB

english, 2011

31

A Novel Monte Carlo Approach to Hybrid Local Volatility Models

van der Stoep, Anthonie Willem, Grzelak, Lech A., Oosterlee, Cornelis W.

Journal:

SSRN Electronic Journal

Année:

2016

Langue:

english

Fichier:

PDF, 3.56 MB

english, 2016

32

A neural network-based framework for financial model calibration

Liu, Shuaiqiang, Borovykh, Anastasia, Grzelak, Lech A., Oosterlee, Cornelis W.

Journal:

Journal of Mathematics in Industry

Année:

2019

Fichier:

PDF, 2.24 MB

2019

33

A computational approach to hedging Credit Valuation Adjustment in a jump-diffusion setting

van der Zwaard, Thomas, Grzelak, Lech A., Oosterlee, Cornelis W.

Journal:

Applied Mathematics and Computation

Année:

2021

Fichier:

PDF, 3.43 MB

2021

34

Invariant discretization of the incompressible Navier-Stokes equations in boundary fitted co-ordinates

A. Segal, P. Wesseling, J. Van Kan, C. W. Oosterlee, K. Kassels

Journal:

International Journal for Numerical Methods in Fluids

Année:

1992

Langue:

english

Fichier:

PDF, 686 KB

english, 1992

35

A Robust Multigrid Method for a Discretization of the Incompressible Navier-Stokes Equations in General Coordinates

C.W. Oosterlee, P. Wesseling

Journal:

IMPACT of Computing in Science and Engineering

Année:

1993

Fichier:

PDF, 798 KB

1993

36

An efficient multigrid solver for a reformulated version of the poroelasticity system

F.J. Gaspar, F.J. Lisbona, C.W. Oosterlee, P.N. Vabishchevich

Journal:

Computer Methods in Applied Mechanics and Engineering

Année:

2007

Langue:

english

Fichier:

PDF, 545 KB

english, 2007

37

Pricing early-exercise and discrete barrier options by fourier-cosine series expansions

F. Fang, C. W. Oosterlee

Journal:

Numerische Mathematik

Année:

2009

Langue:

english

Fichier:

PDF, 686 KB

english, 2009

38

Efficient pricing of commodity options with early-exercise under the Ornstein–Uhlenbeck process

B. Zhang, L.A. Grzelak, C.W. Oosterlee

Journal:

Applied Numerical Mathematics

Année:

2012

Langue:

english

Fichier:

PDF, 805 KB

english, 2012

39

GPU implementation of a Helmholtz Krylov solver preconditioned by a shifted Laplace multigrid method

H. Knibbe, C.W. Oosterlee, C. Vuik

Journal:

Journal of Computational and Applied Mathematics

Année:

2011

Langue:

english

Fichier:

PDF, 564 KB

english, 2011

40

SESSION 1: Influences Génétiques et Environnementales sur les Mécanismes de Défense

CC Oosterlee, T Almlid

Journal:

Genetics Selection Evolution

Année:

1982

Langue:

english

Fichier:

PDF, 93 KB

english, 1982

41

[IEEE Distributed Processing (IPDPS) - Rome, Italy (2009.05.23-2009.05.29)] 2009 IEEE International Symposium on Parallel & Distributed Processing - Option pricing with COS method on graphics processing units

Bowen Zhang,, Oosterlee, Cornelis W.

Année:

2009

Langue:

english

Fichier:

PDF, 183 KB

english, 2009

42

An Evaluation of Parallel Multigrid as a Solver and a Preconditioner for Singularly Perturbed Problems

Oosterlee, C. W., Washio, T.

Journal:

SIAM Journal on Scientific Computing

Année:

1998

Langue:

english

Fichier:

PDF, 1.69 MB

english, 1998

43

A Novel Multigrid Based Preconditioner For Heterogeneous Helmholtz Problems

Erlangga, Y. A., Oosterlee, C. W., Vuik, C.

Journal:

SIAM Journal on Scientific Computing

Année:

2006

Langue:

english

Fichier:

PDF, 3.75 MB

english, 2006

44

Multigrid for High-Dimensional Elliptic Partial Differential Equations on Non-equidistant Grids

Zubair, H. bin, Oosterlee, C. W., Wienands, R.

Journal:

SIAM Journal on Scientific Computing

Année:

2007

Langue:

english

Fichier:

PDF, 676 KB

english, 2007

45

Role of plants in metal cycling in a tidal wetland: Implications for phytoremidiation

Teuchies, Johannes, Jacobs, Sander, Oosterlee, Lotte, Bervoets, Lieven, Meire, Patrick

Journal:

Science of The Total Environment

Année:

2013

Langue:

english

Fichier:

PDF, 539 KB

english, 2013

46

Valuing modular nuclear power plants in finite time decision horizon

Jain, Shashi, Roelofs, Ferry, Oosterlee, Cornelis W.

Journal:

Energy Economics

Année:

2013

Langue:

english

Fichier:

PDF, 1.31 MB

english, 2013

47

On American Options Under the Variance Gamma Process

Almendral, Ariel, Oosterlee, Cornelis W.

Journal:

Applied Mathematical Finance

Année:

2007

Langue:

english

Fichier:

PDF, 564 KB

english, 2007

48

Decision-support tool for assessing future nuclear reactor generation portfolios

Jain, Shashi, Roelofs, Ferry, Oosterlee, Cornelis W.

Journal:

Energy Economics

Année:

2014

Langue:

english

Fichier:

PDF, 3.04 MB

english, 2014

49

CENTRAL CATHETER PLACEMENT BY PUNCTURE OF EXPOSED SUBCLAVIAN VEIN

Oosterlee, J., Dudley, H.A.F.

Journal:

Année:

1980

Langue:

english

Fichier:

PDF, 254 KB

english, 1980

50

Analysis of an affine version of the Heston–Hull–White option pricing partial differential equation

Guo, Shimin, Grzelak, Lech A., Oosterlee, Cornelis W.

Journal:

Applied Numerical Mathematics

Année:

2013

Langue:

english

Fichier:

PDF, 734 KB

english, 2013