Oosterlee, Cornelis W. : rechercher sur Z-Library

Journal:

Année:

2011

Langue:

english

Fichier:

PDF, 572 KB

english, 2011

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

Applied Mathematical Finance

Journal:

Année:

2012

Langue:

english

Fichier:

PDF, 405 KB

english, 2012

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

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:

Xinzheng Huang, Cornelis W. Oosterlee

Année:

2017

Langue:

english

Fichier:

PDF, 1.73 MB

english, 2017

Computation of risk contribution in the Vasicek portfolio credit loss model

Journal:

PAMM

Année:

2007

Langue:

english

Fichier:

PDF, 77 KB

english, 2007

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

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

Journal:

Fang, Fang, Oosterlee, Cornelis W.

Année:

2012

Langue:

english

Fichier:

PDF, 333 KB

english, 2012

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

Journal:

Année:

2011

Langue:

english

Fichier:

PDF, 384 KB

english, 2011

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

Journal:

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

Année:

2014

Langue:

english

Fichier:

PDF, 781 KB

english, 2014

EFFICIENT COMPUTATION OF EXPOSURE PROFILES FOR COUNTERPARTY CREDIT RISK

Journal:

International Journal of Theoretical and Applied Finance

Année:

2014

Langue:

english

Fichier:

PDF, 689 KB

english, 2014

Computational methods for PDEs in finance

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

Journal:

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

Année:

2012

Langue:

english

Fichier:

PDF, 50 KB

english, 2012

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

Journal:

Année:

2017

Langue:

english

Fichier:

PDF, 800 KB

english, 2017

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

Journal:

Liu, Shuaiqiang, Oosterlee, Cornelis, Bohte, Sander

Année:

2010

Langue:

english

Fichier:

PDF, 461 KB

english, 2010

Pricing Options and Computing Implied Volatilities using Neural Networks

Journal:

Risks

Année:

2019

Langue:

english

Fichier:

PDF, 981 KB

english, 2019

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

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

Saddlepoint Approximations for Expectations and an Application to CDO Pricing

Huang, Xinzheng, Oosterlee, Cornelis W.

Journal:

Jain, Shashi, Oosterlee, Cornelis W.

Année:

2011

Langue:

english

Fichier:

PDF, 327 KB

english, 2011

Pricing high-dimensional Bermudan options using the stochastic grid method

Journal:

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

Année:

2012

Langue:

english

Fichier:

PDF, 515 KB

english, 2012

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

Journal:

International Journal of Theoretical and Applied Finance

Année:

2010

Langue:

english

Fichier:

PDF, 405 KB

english, 2010

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

Jain, Shashi, Oosterlee, Cornelis W.

Journal:

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

Année:

2015

Langue:

english

Fichier:

PDF, 1.32 MB

english, 2015

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

Journal:

Applied Mathematical Finance

Année:

2016

Langue:

english

Fichier:

PDF, 1.97 MB

english, 2016

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:

Année:

2011

Langue:

english

Fichier:

PDF, 1.23 MB

english, 2011

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

Journal:

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

Année:

2014

Langue:

english

Fichier:

PDF, 419 KB

english, 2014

A Novel Monte Carlo Approach to Hybrid Local Volatility Models

Journal:

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

Année:

2016

Langue:

english

Fichier:

PDF, 3.56 MB

english, 2016

A neural network-based framework for financial model calibration

Journal:

Journal of Mathematics in Industry

Année:

2019

Fichier:

PDF, 2.24 MB

2019

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

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

Journal:

Almendral, Ariel, Oosterlee, Cornelis W.

Année:

2021

Fichier:

PDF, 3.43 MB

2021

On American Options Under the Variance Gamma Process

Journal:

Applied Mathematical Finance

Année:

2007

Langue:

english

Fichier:

PDF, 564 KB

english, 2007

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

A Full Multigrid Method for Linear Complementarity Problems arising from Elastic Normal Contact Problems

Zhao, Jing, Vollebregt, Edwin A.H., Oosterlee, Cornelis W.

Journal:

Mathematical Modelling and Analysis

Année:

2014

Langue:

english

Fichier:

PDF, 1.69 MB

english, 2014

Robust Pricing of European Options with Wavelets and the Characteristic Function

SIAM Journal on Scientific Computing

Journal:

Année:

2013

Langue:

english

Fichier:

PDF, 443 KB

english, 2013

Efficient portfolio valuation incorporating liquidity risk

Tian, Yu, Rood, Ron, Oosterlee, Cornelis W.

Journal:

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

Année:

2013

Langue:

english

Fichier:

PDF, 440 KB

english, 2013

The affine Heston model with correlated Gaussian interest rates for pricing hybrid derivatives

Journal:

Leitao, Álvaro, Oosterlee, Cornelis W.

Année:

2011

Langue:

english

Fichier:

PDF, 418 KB

english, 2011

GPU acceleration of the stochastic grid bundling method for early-exercise options

Journal:

Année:

2015

Langue:

english

Fichier:

PDF, 820 KB

english, 2015

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

SIAM Journal on Scientific Computing

Journal:

Année:

2016

Langue:

english

Fichier:

PDF, 340 KB

english, 2016

Accurate and Robust Numerical Methods for the Dynamic Portfolio Management Problem

Cong, Fei, Oosterlee, Cornelis W.

Journal:

Computational Economics

Année:

2017

Langue:

english

Fichier:

PDF, 734 KB

english, 2017

THE TIME-DEPENDENT FX-SABR MODEL: EFFICIENT CALIBRATION BASED ON EFFECTIVE PARAMETERS

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

Journal:

International Journal of Theoretical and Applied Finance

Année:

2015

Langue:

english

Fichier:

PDF, 809 KB

english, 2015

On the data-driven COS method

Leitao, Álvaro, Oosterlee, Cornelis W., Ortiz-Gracia, Luis, Bohte, Sander M.

Journal:

Fontanari, Andrea, Cirillo, Pasquale, Oosterlee, Cornelis W.

Année:

2018

Langue:

english

Fichier:

PDF, 1.64 MB

english, 2018

From Concentration Profiles to Concentration Maps. New tools for the study of loss distributions

Journal:

Insurance: Mathematics and Economics

Année:

2017

Langue:

english

Fichier:

PDF, 1.62 MB

english, 2017

COMPUTING CREDIT VALUATION ADJUSTMENT FOR BERMUDAN OPTIONS WITH WRONG WAY RISK

FENG, QIAN, OOSTERLEE, CORNELIS W.

Journal:

International Journal of Theoretical and Applied Finance

Année:

2017

Langue:

english

Fichier:

PDF, 688 KB

english, 2017

Efficient Computation of Various Valuation Adjustments Under Local Lévy Models

Borovykh, Anastasia, Pascucci, Andrea, Oosterlee, Cornelis W.

Journal:

Fontanari, Andrea, Cirillo, Pasquale, Oosterlee, Cornelis W.

Année:

2018

Langue:

english

Fichier:

PDF, 479 KB

english, 2018

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

Journal:

Année:

2017

Langue:

english

Fichier:

PDF, 2.06 MB

english, 2017

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

Journal:

Grzelak, Lech A., Witteveen, Jeroen, Suarez-Taboada, Maria, Oosterlee, Cornelis W.

Année:

2015

Langue:

english

Fichier:

PDF, 533 KB

english, 2015

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

Journal:

Singor, Stefan N., Schols, Eric, Oosterlee, Cornelis W.

Année:

2014

Langue:

english

Fichier:

PDF, 609 KB

english, 2014

Approximation of insurance liability contracts using radial basis functions

Journal:

Fontanari, Andrea, Eliazar, Iddo, Cirillo, Pasquale, Oosterlee, Cornelis W.

Année:

2019

Langue:

english

Fichier:

PDF, 4.27 MB

english, 2019

Portfolio Risk and the Quantum Majorization of Correlation Matrices

Journal:

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

Année:

2019

Langue:

english

Fichier:

PDF, 1.63 MB

english, 2019

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

Journal: