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
Jump to Journal Articles
Working Papers
2023
- A new self-exciting jump-diffusion process for option pricing
Papers, arXiv.org
2022
- Relevance of Wrong-Way Risk in Funding Valuation Adjustments
Papers, arXiv.org View citations (2)
- Solution of integrals with fractional Brownian motion for different Hurst indices
Papers, arXiv.org
2021
- Monte Carlo Simulation of SDEs using GANs
Papers, arXiv.org View citations (2)
- Positive Stochastic Collocation for the Collocated Local Volatility Model
Papers, arXiv.org
- Pricing and Hedging Prepayment Risk in a Mortgage Portfolio
Papers, arXiv.org
- 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)
- 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
- 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)
- 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 (6) (2021)
- 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 (3) (2021)
- 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)
- On Calibration Neural Networks for extracting implied information from American options
Papers, arXiv.org View citations (2)
- Rule-based Strategies for Dynamic Life Cycle Investment
Papers, arXiv.org
2019
- A neural network-based framework for financial model calibration
Papers, arXiv.org View citations (34)
- Efficient Computation of Various Valuation Adjustments Under Local L\'evy Models
Papers, arXiv.org View citations (1)
- Pricing options and computing implied volatilities using neural networks
Papers, arXiv.org View citations (38)
See also Journal Article Pricing Options and Computing Implied Volatilities using Neural Networks, Risks, MDPI (2019) View citations (34) (2019)
2016
- On the wavelets-based SWIFT method for backward stochastic differential equations
Papers, arXiv.org
- Pricing Bermudan options under local L\'evy models with default
Papers, arXiv.org View citations (1)
2014
- 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)
- The social discount rate under a stochastic A2 scenario
CPB Discussion Paper, CPB Netherlands Bureau for Economic Policy Analysis
2012
- 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
- Actuariële wetenschappen en financiële wiskunde: op weg naar convergentie?
Other publications TiSEM, Tilburg University, School of Economics and Management
2010
- An Equity-Interest Rate Hybrid Model With Stochastic Volatility and the Interest Rate Smile
MPRA Paper, University Library of Munich, Germany View citations (2)
- On The Heston Model with Stochastic Interest Rates
MPRA Paper, University Library of Munich, Germany View citations (49)
- 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
- 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)
- Pricing Early-Exercise and Discrete Barrier Options by Fourier-Cosine Series Expansions
MPRA Paper, University Library of Munich, Germany View citations (20)
2007
- 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
- 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
- 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)
- A deep learning approach for computations of exposure profiles for high-dimensional Bermudan options
Applied Mathematics and Computation, 2021, 408, (C) View citations (6)
See also Working Paper A deep learning approach for computations of exposure profiles for high-dimensional Bermudan options, Papers (2020) View citations (2) (2020)
- 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)
- Deep learning for CVA computations of large portfolios of financial derivatives
Applied Mathematics and Computation, 2021, 409, (C) View citations (3)
See also Working Paper Deep learning for CVA computations of large portfolios of financial derivatives, Papers (2020) (2020)
- 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)
- 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
- 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 (1)
- 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)
- Lorenz-generated bivariate Archimedean copulas
Dependence Modeling, 2020, 8, (1), 186-209
2019
- 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)
- 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 (38) (2019)
- The stochastic collocation Monte Carlo sampler: highly efficient sampling from ‘expensive’ distributions
Quantitative Finance, 2019, 19, (2), 339-356 View citations (13)
2018
- Between ? and ?: The ? ? Measure for Pricing in Asset Liability Management
JRFM, 2018, 11, (4), 1-23 View citations (1)
- 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)
- On the data-driven COS method
Applied Mathematics and Computation, 2018, 317, (C), 68-84 View citations (9)
2017
- A novel Monte Carlo approach to hybrid local volatility models
Quantitative Finance, 2017, 17, (9), 1347-1366 View citations (2)
- Accurate and Robust Numerical Methods for the Dynamic Portfolio Management Problem
Computational Economics, 2017, 49, (3), 433-458 View citations (9)
- 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)
- 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)
- 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)
- On an efficient multiple time step Monte Carlo simulation of the SABR model
Quantitative Finance, 2017, 17, (10), 1549-1565 View citations (7)
- 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
- Counterparty Credit Exposures for Interest Rate Derivatives using the Stochastic Grid Bundling Method
Applied Mathematical Finance, 2016, 23, (3), 175-196 View citations (10)
- 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)
- 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)
- 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
- 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)
- 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
- Decision-support tool for assessing future nuclear reactor generation portfolios
Energy Economics, 2014, 44, (C), 99-112 View citations (8)
- 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)
- 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
- Efficient portfolio valuation incorporating liquidity risk
Quantitative Finance, 2013, 13, (10), 1575-1586 View citations (4)
- Pricing inflation products with stochastic volatility and stochastic interest rates
Insurance: Mathematics and Economics, 2013, 52, (2), 286-299 View citations (9)
- Valuing modular nuclear power plants in finite time decision horizon
Energy Economics, 2013, 36, (C), 625-636 View citations (7)
2012
- 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)
- Extension of stochastic volatility equity models with the Hull--White interest rate process
Quantitative Finance, 2012, 12, (1), 89-105 View citations (23)
- 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
- The affine Heston model with correlated Gaussian interest rates for pricing hybrid derivatives
Quantitative Finance, 2011, 11, (11), 1647-1663 View citations (10)
2010
- 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
- On American Options Under the Variance Gamma Process
Applied Mathematical Finance, 2007, 14, (2), 131-152 View citations (19)
|
The links between different versions of a paper are constructed automatically by matching on the titles.
Please contact if a link is incorrect.
Use this form
to add links between versions where the titles do not match.
|