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Details about Cornelis W. Oosterlee

Homepage:https://keesoosterlee.com
Workplace:CWI - Centrum voor Wiskunde en Informatica

Access statistics for papers by Cornelis W. Oosterlee.

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

Short-id: poo16


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Working Papers

2023

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

2022

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

2021

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

2020

  1. A Computational Approach to Hedging Credit Valuation Adjustment in a Jump-Diffusion Setting
    Papers, arXiv.org Downloads
    See also Journal Article A computational approach to hedging Credit Valuation Adjustment in a jump-diffusion setting, Applied Mathematics and Computation, Elsevier (2021) Downloads View citations (3) (2021)
  2. A deep learning approach for computations of exposure profiles for high-dimensional Bermudan options
    Papers, arXiv.org Downloads 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) Downloads View citations (6) (2021)
  3. Deep learning for CVA computations of large portfolios of financial derivatives
    Papers, arXiv.org Downloads
    See also Journal Article Deep learning for CVA computations of large portfolios of financial derivatives, Applied Mathematics and Computation, Elsevier (2021) Downloads View citations (3) (2021)
  4. Financial option valuation by unsupervised learning with artificial neural networks
    Papers, arXiv.org Downloads
    See also Journal Article Financial Option Valuation by Unsupervised Learning with Artificial Neural Networks, Mathematics, MDPI (2020) Downloads (2020)
  5. On Calibration Neural Networks for extracting implied information from American options
    Papers, arXiv.org Downloads View citations (2)
  6. Rule-based Strategies for Dynamic Life Cycle Investment
    Papers, arXiv.org Downloads

2019

  1. A neural network-based framework for financial model calibration
    Papers, arXiv.org Downloads View citations (34)
  2. Efficient Computation of Various Valuation Adjustments Under Local L\'evy Models
    Papers, arXiv.org Downloads View citations (1)
  3. Pricing options and computing implied volatilities using neural networks
    Papers, arXiv.org Downloads View citations (38)
    See also Journal Article Pricing Options and Computing Implied Volatilities using Neural Networks, Risks, MDPI (2019) Downloads View citations (34) (2019)

2016

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

2014

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

2012

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

2011

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

2010

  1. An Equity-Interest Rate Hybrid Model With Stochastic Volatility and the Interest Rate Smile
    MPRA Paper, University Library of Munich, Germany Downloads View citations (2)
  2. On The Heston Model with Stochastic Interest Rates
    MPRA Paper, University Library of Munich, Germany Downloads View citations (49)
  3. On cross-currency models with stochastic volatility and correlated interest rates
    MPRA Paper, University Library of Munich, Germany Downloads 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) Downloads View citations (19) (2012)

2008

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

2007

  1. A fast and accurate FFT-based method for pricing early-exercise options under Lévy processes
    MPRA Paper, University Library of Munich, Germany Downloads 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 Downloads 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) Downloads View citations (1) (2021)

2021

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

2020

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

2019

  1. Model-Free Stochastic Collocation for an Arbitrage-Free Implied Volatility, Part II
    Risks, 2019, 7, (1), 1-21 Downloads View citations (1)
    Also in Decisions in Economics and Finance, 2019, 42, (2), 679-714 (2019) Downloads View citations (2)
  2. Pricing Options and Computing Implied Volatilities using Neural Networks
    Risks, 2019, 7, (1), 1-22 Downloads View citations (34)
    See also Working Paper Pricing options and computing implied volatilities using neural networks, Papers (2019) Downloads View citations (38) (2019)
  3. The stochastic collocation Monte Carlo sampler: highly efficient sampling from ‘expensive’ distributions
    Quantitative Finance, 2019, 19, (2), 339-356 Downloads View citations (13)

2018

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

2017

  1. A novel Monte Carlo approach to hybrid local volatility models
    Quantitative Finance, 2017, 17, (9), 1347-1366 Downloads View citations (2)
  2. Accurate and Robust Numerical Methods for the Dynamic Portfolio Management Problem
    Computational Economics, 2017, 49, (3), 433-458 Downloads View citations (9)
  3. COMPUTING CREDIT VALUATION ADJUSTMENT FOR BERMUDAN OPTIONS WITH WRONG WAY RISK
    International Journal of Theoretical and Applied Finance (IJTAF), 2017, 20, (08), 1-31 Downloads View citations (1)
  4. 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 Downloads View citations (8)
  5. 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 Downloads View citations (4)
  6. On an efficient multiple time step Monte Carlo simulation of the SABR model
    Quantitative Finance, 2017, 17, (10), 1549-1565 Downloads View citations (7)
  7. On the modelling of nested risk-neutral stochastic processes with applications in insurance
    Applied Mathematical Finance, 2017, 24, (4), 302-336 Downloads View citations (1)

2016

  1. Counterparty Credit Exposures for Interest Rate Derivatives using the Stochastic Grid Bundling Method
    Applied Mathematical Finance, 2016, 23, (3), 175-196 Downloads View citations (10)
  2. Fast and accurate exercise policies for Bermudan swaptions in the LIBOR market model
    International Journal of Financial Engineering (IJFE), 2016, 03, (01), 1-22 Downloads View citations (1)
  3. Multi-period mean–variance portfolio optimization based on Monte-Carlo simulation
    Journal of Economic Dynamics and Control, 2016, 64, (C), 23-38 Downloads View citations (20)
  4. 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 Downloads View citations (8)

2015

  1. 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 Downloads View citations (1)
  2. The Stochastic Grid Bundling Method: Efficient pricing of Bermudan options and their Greeks
    Applied Mathematics and Computation, 2015, 269, (C), 412-431 Downloads View citations (36)

2014

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

2013

  1. Efficient portfolio valuation incorporating liquidity risk
    Quantitative Finance, 2013, 13, (10), 1575-1586 Downloads View citations (4)
  2. Pricing inflation products with stochastic volatility and stochastic interest rates
    Insurance: Mathematics and Economics, 2013, 52, (2), 286-299 Downloads View citations (9)
  3. Valuing modular nuclear power plants in finite time decision horizon
    Energy Economics, 2013, 36, (C), 625-636 Downloads View citations (7)

2012

  1. A LOW-BIAS SIMULATION SCHEME FOR THE SABR STOCHASTIC VOLATILITY MODEL
    International Journal of Theoretical and Applied Finance (IJTAF), 2012, 15, (02), 1-37 Downloads View citations (14)
  2. Extension of stochastic volatility equity models with the Hull--White interest rate process
    Quantitative Finance, 2012, 12, (1), 89-105 Downloads View citations (23)
  3. On Cross-Currency Models with Stochastic Volatility and Correlated Interest Rates
    Applied Mathematical Finance, 2012, 19, (1), 1-35 Downloads View citations (19)
    See also Working Paper On cross-currency models with stochastic volatility and correlated interest rates, MPRA Paper (2010) Downloads View citations (9) (2010)

2011

  1. The affine Heston model with correlated Gaussian interest rates for pricing hybrid derivatives
    Quantitative Finance, 2011, 11, (11), 1647-1663 Downloads View citations (10)

2010

  1. 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 Downloads

2007

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