Details about Cornelis W. Oosterlee

Access statistics for papers by Cornelis W. Oosterlee.

Last updated 2022-05-27. Update your information in the RePEc Author Service.

Short-id: poo16

Working Papers

2023

1. A new self-exciting jump-diffusion process for option pricing
   Papers, arXiv.org

2022

2. Relevance of Wrong-Way Risk in Funding Valuation Adjustments
   Papers, arXiv.org View citations (2)
3. Solution of integrals with fractional Brownian motion for different Hurst indices
   Papers, arXiv.org

2021

4. Monte Carlo Simulation of SDEs using GANs
   Papers, arXiv.org View citations (2)
5. Positive Stochastic Collocation for the Collocated Local Volatility Model
   Papers, arXiv.org
6. Pricing and Hedging Prepayment Risk in a Mortgage Portfolio
   Papers, arXiv.org
7. The Seven-League Scheme: Deep learning for large time step Monte Carlo simulations of stochastic differential equations
   Papers, arXiv.org View citations (1)
   See also Journal Article The Seven-League Scheme: Deep Learning for Large Time Step Monte Carlo Simulations of Stochastic Differential Equations, Risks, MDPI (2022) View citations (3) (2022)
8. Valuation of electricity storage contracts using the COS method
   Papers, arXiv.org View citations (1)
   See also Journal Article Valuation of electricity storage contracts using the COS method, Applied Mathematics and Computation, Elsevier (2021) View citations (1) (2021)

2020

9. A Computational Approach to Hedging Credit Valuation Adjustment in a Jump-Diffusion Setting
   Papers, arXiv.org
   See also Journal Article A computational approach to hedging Credit Valuation Adjustment in a jump-diffusion setting, Applied Mathematics and Computation, Elsevier (2021) View citations (3) (2021)
10. A deep learning approach for computations of exposure profiles for high-dimensional Bermudan options
    Papers, arXiv.org View citations (2)
    See also Journal Article A deep learning approach for computations of exposure profiles for high-dimensional Bermudan options, Applied Mathematics and Computation, Elsevier (2021) View citations (7) (2021)
11. Deep learning for CVA computations of large portfolios of financial derivatives
    Papers, arXiv.org
    See also Journal Article Deep learning for CVA computations of large portfolios of financial derivatives, Applied Mathematics and Computation, Elsevier (2021) View citations (4) (2021)
12. Financial option valuation by unsupervised learning with artificial neural networks
    Papers, arXiv.org
    See also Journal Article Financial Option Valuation by Unsupervised Learning with Artificial Neural Networks, Mathematics, MDPI (2020) (2020)
13. On Calibration Neural Networks for extracting implied information from American options
    Papers, arXiv.org View citations (2)
14. Rule-based Strategies for Dynamic Life Cycle Investment
    Papers, arXiv.org

2019

15. A neural network-based framework for financial model calibration
    Papers, arXiv.org View citations (34)
16. Efficient Computation of Various Valuation Adjustments Under Local L\'evy Models
    Papers, arXiv.org View citations (1)
17. Pricing options and computing implied volatilities using neural networks
    Papers, arXiv.org View citations (39)
    See also Journal Article Pricing Options and Computing Implied Volatilities using Neural Networks, Risks, MDPI (2019) View citations (34) (2019)

2016

18. On the wavelets-based SWIFT method for backward stochastic differential equations
    Papers, arXiv.org
19. Pricing Bermudan options under local L\'evy models with default
    Papers, arXiv.org View citations (1)

2014

20. Monte Carlo Calculation of Exposure Profiles and Greeks for Bermudan and Barrier Options under the Heston Hull-White Model
    Papers, arXiv.org View citations (1)
21. The social discount rate under a stochastic A2 scenario
    CPB Discussion Paper, CPB Netherlands Bureau for Economic Policy Analysis

2012

22. Two-dimensional Fourier cosine series expansion method for pricing financial options
    CPB Discussion Paper, CPB Netherlands Bureau for Economic Policy Analysis View citations (37)

2011

23. Actuariële wetenschappen en financiële wiskunde: op weg naar convergentie?
    Other publications TiSEM, Tilburg University, School of Economics and Management

2010

24. An Equity-Interest Rate Hybrid Model With Stochastic Volatility and the Interest Rate Smile
    MPRA Paper, University Library of Munich, Germany View citations (2)
25. On The Heston Model with Stochastic Interest Rates
    MPRA Paper, University Library of Munich, Germany View citations (49)
26. On cross-currency models with stochastic volatility and correlated interest rates
    MPRA Paper, University Library of Munich, Germany View citations (9)
    See also Journal Article On Cross-Currency Models with Stochastic Volatility and Correlated Interest Rates, Applied Mathematical Finance, Taylor & Francis Journals (2012) View citations (19) (2012)

2008

27. A NOVEL PRICING METHOD FOR EUROPEAN OPTIONS BASED ON FOURIER-COSINE SERIES EXPANSIONS
    MPRA Paper, University Library of Munich, Germany View citations (166)
    Also in MPRA Paper, University Library of Munich, Germany (2008) View citations (166)
28. Pricing Early-Exercise and Discrete Barrier Options by Fourier-Cosine Series Expansions
    MPRA Paper, University Library of Munich, Germany View citations (20)

2007

29. A fast and accurate FFT-based method for pricing early-exercise options under Lévy processes
    MPRA Paper, University Library of Munich, Germany View citations (50)

Journal Articles

2022

1. The Seven-League Scheme: Deep Learning for Large Time Step Monte Carlo Simulations of Stochastic Differential Equations
   Risks, 2022, 10, (3), 1-27 View citations (3)
   See also Working Paper The Seven-League Scheme: Deep learning for large time step Monte Carlo simulations of stochastic differential equations, Papers (2021) View citations (1) (2021)

2021

2. A computational approach to hedging Credit Valuation Adjustment in a jump-diffusion setting
   Applied Mathematics and Computation, 2021, 391, (C) View citations (3)
   See also Working Paper A Computational Approach to Hedging Credit Valuation Adjustment in a Jump-Diffusion Setting, Papers (2020) (2020)
3. A deep learning approach for computations of exposure profiles for high-dimensional Bermudan options
   Applied Mathematics and Computation, 2021, 408, (C) View citations (7)
   See also Working Paper A deep learning approach for computations of exposure profiles for high-dimensional Bermudan options, Papers (2020) View citations (2) (2020)
4. Corrigendum to ``Total value adjustment for a stochastic volatility model. A comparison with the Black–Scholes model''
   Applied Mathematics and Computation, 2021, 406, (C) View citations (3)
5. Deep learning for CVA computations of large portfolios of financial derivatives
   Applied Mathematics and Computation, 2021, 409, (C) View citations (4)
   See also Working Paper Deep learning for CVA computations of large portfolios of financial derivatives, Papers (2020) (2020)
6. Total value adjustment for a stochastic volatility model. A comparison with the Black–Scholes model
   Applied Mathematics and Computation, 2021, 391, (C) View citations (3)
7. Valuation of electricity storage contracts using the COS method
   Applied Mathematics and Computation, 2021, 410, (C) View citations (1)
   See also Working Paper Valuation of electricity storage contracts using the COS method, Papers (2021) View citations (1) (2021)

2020

8. COLLOCATING VOLATILITY: A COMPETITIVE ALTERNATIVE TO STOCHASTIC LOCAL VOLATILITY MODELS
   International Journal of Theoretical and Applied Finance (IJTAF), 2020, 23, (06), 1-42 View citations (2)
9. Financial Option Valuation by Unsupervised Learning with Artificial Neural Networks
   Mathematics, 2020, 9, (1), 1-20
   See also Working Paper Financial option valuation by unsupervised learning with artificial neural networks, Papers (2020) (2020)
10. Lorenz-generated bivariate Archimedean copulas
    Dependence Modeling, 2020, 8, (1), 186-209

2019

11. Model-Free Stochastic Collocation for an Arbitrage-Free Implied Volatility, Part II
    Risks, 2019, 7, (1), 1-21 View citations (1)
    Also in Decisions in Economics and Finance, 2019, 42, (2), 679-714 (2019) View citations (2)
12. Pricing Options and Computing Implied Volatilities using Neural Networks
    Risks, 2019, 7, (1), 1-22 View citations (34)
    See also Working Paper Pricing options and computing implied volatilities using neural networks, Papers (2019) View citations (39) (2019)
13. The stochastic collocation Monte Carlo sampler: highly efficient sampling from ‘expensive’ distributions
    Quantitative Finance, 2019, 19, (2), 339-356 View citations (13)

2018

14. Between ℙ and ℚ: The ℙ ℚ Measure for Pricing in Asset Liability Management
    JRFM, 2018, 11, (4), 1-23 View citations (1)
15. From Concentration Profiles to Concentration Maps. New tools for the study of loss distributions
    Insurance: Mathematics and Economics, 2018, 78, (C), 13-29 View citations (4)
16. On the data-driven COS method
    Applied Mathematics and Computation, 2018, 317, (C), 68-84 View citations (9)

2017

17. A novel Monte Carlo approach to hybrid local volatility models
    Quantitative Finance, 2017, 17, (9), 1347-1366 View citations (2)
18. Accurate and Robust Numerical Methods for the Dynamic Portfolio Management Problem
    Computational Economics, 2017, 49, (3), 433-458 View citations (9)
19. COMPUTING CREDIT VALUATION ADJUSTMENT FOR BERMUDAN OPTIONS WITH WRONG WAY RISK
    International Journal of Theoretical and Applied Finance (IJTAF), 2017, 20, (08), 1-31 View citations (1)
20. ON ROBUST MULTI-PERIOD PRE-COMMITMENT AND TIME-CONSISTENT MEAN-VARIANCE PORTFOLIO OPTIMIZATION
    International Journal of Theoretical and Applied Finance (IJTAF), 2017, 20, (07), 1-26 View citations (8)
21. On a one time-step Monte Carlo simulation approach of the SABR model: Application to European options
    Applied Mathematics and Computation, 2017, 293, (C), 461-479 View citations (4)
22. On an efficient multiple time step Monte Carlo simulation of the SABR model
    Quantitative Finance, 2017, 17, (10), 1549-1565 View citations (7)
23. On the modelling of nested risk-neutral stochastic processes with applications in insurance
    Applied Mathematical Finance, 2017, 24, (4), 302-336 View citations (1)

2016

24. Counterparty Credit Exposures for Interest Rate Derivatives using the Stochastic Grid Bundling Method
    Applied Mathematical Finance, 2016, 23, (3), 175-196 View citations (10)
25. Fast and accurate exercise policies for Bermudan swaptions in the LIBOR market model
    International Journal of Financial Engineering (IJFE), 2016, 03, (01), 1-22 View citations (1)
26. Multi-period mean–variance portfolio optimization based on Monte-Carlo simulation
    Journal of Economic Dynamics and Control, 2016, 64, (C), 23-38 View citations (20)
27. On pre-commitment aspects of a time-consistent strategy for a mean-variance investor
    Journal of Economic Dynamics and Control, 2016, 70, (C), 178-193 View citations (8)

2015

28. THE TIME-DEPENDENT FX-SABR MODEL: EFFICIENT CALIBRATION BASED ON EFFECTIVE PARAMETERS
    International Journal of Theoretical and Applied Finance (IJTAF), 2015, 18, (06), 1-38 View citations (1)
29. The Stochastic Grid Bundling Method: Efficient pricing of Bermudan options and their Greeks
    Applied Mathematics and Computation, 2015, 269, (C), 412-431 View citations (36)

2014

30. Decision-support tool for assessing future nuclear reactor generation portfolios
    Energy Economics, 2014, 44, (C), 99-112 View citations (8)
31. EFFICIENT COMPUTATION OF EXPOSURE PROFILES FOR COUNTERPARTY CREDIT RISK
    International Journal of Theoretical and Applied Finance (IJTAF), 2014, 17, (04), 1-23 View citations (14)
32. THE HESTON STOCHASTIC-LOCAL VOLATILITY MODEL: EFFICIENT MONTE CARLO SIMULATION
    International Journal of Theoretical and Applied Finance (IJTAF), 2014, 17, (07), 1-30 View citations (20)

2013

33. Efficient portfolio valuation incorporating liquidity risk
    Quantitative Finance, 2013, 13, (10), 1575-1586 View citations (4)
34. Pricing inflation products with stochastic volatility and stochastic interest rates
    Insurance: Mathematics and Economics, 2013, 52, (2), 286-299 View citations (10)
35. Valuing modular nuclear power plants in finite time decision horizon
    Energy Economics, 2013, 36, (C), 625-636 View citations (7)

2012

36. A LOW-BIAS SIMULATION SCHEME FOR THE SABR STOCHASTIC VOLATILITY MODEL
    International Journal of Theoretical and Applied Finance (IJTAF), 2012, 15, (02), 1-37 View citations (14)
37. Extension of stochastic volatility equity models with the Hull--White interest rate process
    Quantitative Finance, 2012, 12, (1), 89-105 View citations (25)
38. On Cross-Currency Models with Stochastic Volatility and Correlated Interest Rates
    Applied Mathematical Finance, 2012, 19, (1), 1-35 View citations (19)
    See also Working Paper On cross-currency models with stochastic volatility and correlated interest rates, MPRA Paper (2010) View citations (9) (2010)

2011

39. The affine Heston model with correlated Gaussian interest rates for pricing hybrid derivatives
    Quantitative Finance, 2011, 11, (11), 1647-1663 View citations (11)

2010

40. ANALYTICAL APPROXIMATION TO CONSTANT MATURITY SWAP CONVEXITY CORRECTIONS IN A MULTI-FACTOR SABR MODEL
    International Journal of Theoretical and Applied Finance (IJTAF), 2010, 13, (07), 1019-1046

2007

41. On American Options Under the Variance Gamma Process
    Applied Mathematical Finance, 2007, 14, (2), 131-152 View citations (19)