Cornelis W. Oosterlee

发表

Two-Dimensional Shannon Wavelet Inverse Fourier Technique for Pricing European Options

Gemma Colldeforns-Papiol, Luis Ortiz-Gracia, Cornelis W. Oosterlee, 2016 .

A Fourier-Cosine Method for an Efficient Computation of Solutions to BSDEs

Cornelis W. Oosterlee, Marjon J. Ruijter, C. Oosterlee, 2013, SIAM J. Sci. Comput..

A geometric multigrid method based on L‐shaped coarsening for PDEs on stretched grids

Cornelis W. Oosterlee, Hisham Bin Zubair, Scott P. MacLachlan, 2010, Numer. Linear Algebra Appl..

Deep learning for CVA computations of large portfolios of financial derivatives

Cornelis W. Oosterlee, Kristoffer Andersson, C. Oosterlee, 2020, Appl. Math. Comput..

A Robust Parallel Solver for 3D Fluid Flow Problems Using a High-Level Communications Library

Hubert Ritzdorf, Cornelis W. Oosterlee, 1995, PARCO.

Modern Monte Carlo Methods and GPU Computing

Cornelis W. Oosterlee, Álvaro Leitao, 2017 .

Construction strategies and lifetime uncertainties for nuclear projects: A real option analysis

Cornelis W. Oosterlee, Shashi Jain, Ferry Roelofs, 2013 .

Generalisation in fully-connected neural networks for time series forecasting pdf

Sander M. Bohte, Cornelis W. Oosterlee, Anastasia Borovykh, 2019, ArXiv.

The CONV method for pricing options

Cornelis W. Oosterlee, Fang Fang, R. Lord, 2007 .

A neural network-based framework for financial model calibration

Cornelis W. Oosterlee, Shuaiqiang Liu, Anastasia Borovykh, 2019, Journal of Mathematics in Industry.

Machine Learning to Compute Implied Volatility from European/American Options Considering Dividend Yield

Cornelis W. Oosterlee, Shuaiqiang Liu, Anastasia Borovykh, 2020 .

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

Cornelis W. Oosterlee, Fang Fang, C. Oosterlee, 2011, SIAM J. Financial Math..

Closing the performance gap between an iterative frequency-domain solver and an explicit time-domain scheme for 3D migration on parallel architectures

Cornelis Vuik, Cornelis W. Oosterlee, Wim A. Mulder, 2014 .

Approximation of insurance liability contracts using radial basis functions

Cornelis W. Oosterlee, Stefan N. Singor, Eric Schols, 2019, Int. J. Comput. Math..

Monolithic multigrid method for the coupled Stokes flow and deformable porous medium system

Cornelis W. Oosterlee, Francisco José Gaspar, Carmen Rodrigo, 2018, J. Comput. Phys..

An efficient pricing algorithm for swing options based on fourier cosine expansions

Cornelis W. Oosterlee, Bo Zhang, C. Oosterlee, 2010 .

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

Cornelis W. Oosterlee, Álvaro Leitao, Lech A. Grzelak, 2017, Appl. Math. Comput..

A Fast Method for Pricing Early-Exercise Options with the FFT

Cornelis W. Oosterlee, Fang Fang, F. Bervoets, 2007, International Conference on Computational Science.

Greedy Tikhonov regularization for large linear ill-posed problems

Cornelis W. Oosterlee, Hisham Bin Zubair, C. C. W. Leentvaar, 2007, Int. J. Comput. Math..

Efficient Computation of Various Valuation Adjustments Under Local Lévy Models

Cornelis W. Oosterlee, Andrea Pascucci, Anastasia Borovykh, 2018, SIAM J. Financial Math..

Fast Pricing of Hybrid Derivative Products

Cornelis W. Oosterlee, Lech A. Grzelak, 2009, ERCIM News.

Dilated Convolutional Neural Networks for Time Series Forecasting

Sander M. Bohte, Cornelis W. Oosterlee, Anastasia Borovykh, 2018 .

On Calibration Neural Networks for extracting implied information from American options pdf

Cornelis W. Oosterlee, Shuaiqiang Liu, Anastasia Borovykh, 2020, ArXiv.

Convergence for Increasing Numbers of Blocks

Cornelis W. Oosterlee, S. Leicher, B. Steckel, 1999 .

A Genetic Search for Optimal Multigrid Components Within a Fourier Analysis Setting

Cornelis W. Oosterlee, Roman Wienands, C. Oosterlee, 2002, SIAM J. Sci. Comput..

Pricing high-dimensional Bermudan options using the stochastic grid method

Cornelis W. Oosterlee, Shashi Jain, C. Oosterlee, 2012, Int. J. Comput. Math..

Closing the performance gap for 3-D migration with an iterative frequency-domain solver and an explicit time-domain scheme on parallel architectures

Cornelis Vuik, Cornelis W. Oosterlee, Wim A. Mulder, 2014 .

Fast solvers for simulation, inversion, and control of wave propagation problems

Cornelis W. Oosterlee, Alfio Borzì, 2013, Numer. Linear Algebra Appl..

Pricing options and computing implied volatilities using neural networks pdf

Sander M. Bohte, Cornelis W. Oosterlee, Shuaiqiang Liu, 2019, Risks.

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

Cornelis W. Oosterlee, Álvaro Leitao, C. Oosterlee, 2014, Int. J. Comput. Math..

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

Cornelis W. Oosterlee, Hisham Bin Zubair, Roman Wienands, 2007, SIAM J. Sci. Comput..

Parallel Multigrid Reesults for Euler Equations and Grid Partitioning into a Large Number of Blocks

Hubert Ritzdorf, Anton Schüller, Barbara Steckel, 1994, HPCN.

Flexible Multiple Semicoarsening for Three-Dimensional Singularly Perturbed Problems

Takashi Washio, Cornelis W. Oosterlee, C. Oosterlee, 1998, SIAM J. Sci. Comput..

Uzawa Smoother in Multigrid for the Coupled Porous Medium and Stokes Flow System

Cornelis W. Oosterlee, Francisco José Gaspar, Carmen Rodrigo, 2017, SIAM J. Sci. Comput..

Krylov Subspace Acceleration of Nonlinear Multigrid with Application to Recirculating Flows

Cornelis W. Oosterlee, Takumi Washio, C. Oosterlee, 1999, SIAM J. Sci. Comput..

On the Heston Model with Stochastic Interest Rates

Cornelis W. Oosterlee, Lech A. Grzelak, C. Oosterlee, 2010, SIAM J. Financial Math..

On high-order schemes for tempered fractional partial differential equations pdf

Cornelis W. Oosterlee, Linlin Bu, C. Oosterlee, 2020, Applied Numerical Mathematics.

A Simple and Efficient Segregated Smoother for the Discrete Stokes Equations

Yvan Notay, Cornelis W. Oosterlee, Francisco José Gaspar, 2014, SIAM J. Sci. Comput..

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

Cornelis W. Oosterlee, Fang Fang, C. Oosterlee, 2008, SIAM J. Sci. Comput..

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

Luis Ortiz-Gracia, Cornelis W. Oosterlee, 2014, Appl. Math. Comput..

Generalization in fully-connected neural networks for time series forecasting

Cornelis W. Oosterlee, Anastasia Borovykh, Sander M. Bohté, 2019, J. Comput. Sci..

BENCHOP – SLV: the BENCHmarking project in Option Pricing – Stochastic and Local Volatility problems

Elisabeth Larsson, Cornelis W. Oosterlee, Álvaro Leitao, 2018, Int. J. Comput. Math..

On the Fourier cosine series expansion method for stochastic control problems

Cornelis W. Oosterlee, Marjon J. Ruijter, R. F. T. Aalbers, 2013, Numer. Linear Algebra Appl..

Real Applications on the New Parallel System NEC Cenju-3

Hubert Ritzdorf, Takashi Washio, Cornelis W. Oosterlee, 1996, Parallel Comput..

Computational methods for PDEs in finance

Song-Ping Zhu, Cornelis W. Oosterlee, Jari Toivanen, 2012, Int. J. Comput. Math..

BENCHOP – The BENCHmarking project in option pricing†

Jonas Persson, Elisabeth Larsson, Cornelis W. Oosterlee, 2015, Int. J. Comput. Math..

Distributive smoothers in multigrid for problems with dominating grad–div operators

Jose L. Gracia, Cornelis W. Oosterlee, Francisco Javier Lisbona, 2008, Numer. Linear Algebra Appl..

Quantifying credit portfolio losses under multi-factor models

Gemma Colldeforns-Papiol, Luis Ortiz-Gracia, Cornelis W. Oosterlee, 2019, Int. J. Comput. Math..

Reduction of computing time for least-squares migration based on the Helmholtz equation by graphics processing units

Cornelis Vuik, Cornelis W. Oosterlee, H. Knibbe, 2015, Computational Geosciences.

FOURIER ANALYSIS OF GMRES ( m ) PRECONDITIONED BY MULTIGRID

Cornelis W. Oosterlee, Takumi Washio, Roman Wienands, 2000 .

Financial option valuation by unsupervised learning with artificial neural networks

Cornelis W. Oosterlee, Beatriz Salvador, Remco van der Meer, 2020 .

Conditional Time Series Forecasting with Convolutional Neural Networks

Sander Bohte, Cornelis W. Oosterlee, Anastasia Borovykh, 2017, 1703.04691.

Stochastic grid bundling method for backward stochastic differential equations

Cornelis W. Oosterlee, Ki Wai Chau, 2019, Int. J. Comput. Math..

On a GPU Acceleration of the Stochastic Grid Bundling Method

Cornelis W. Oosterlee, Álvaro Leitao, 2014 .

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

Cornelis W. Oosterlee, Ki Wai Chau, Jok Tang, 2020 .

A Novel Multigrid Based Preconditioner For Heterogeneous Helmholtz Problems

Cornelis Vuik, Cornelis W. Oosterlee, Yogi A. Erlangga, 2005, SIAM J. Sci. Comput..

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

Cornelis W. Oosterlee, P. Wesseling, 1993, IMPACT Comput. Sci. Eng..

A fast nonlinear conjugate gradient based method for 3D concentrated frictional contact problems

Jing Zhao, Cornelis W. Oosterlee, Edwin A. H. Vollebregt, 2015, J. Comput. Phys..

A systematic comparison of coupled and distributive smoothing in multigrid for the poroelasticity system

Cornelis W. Oosterlee, Francisco Javier Lisbona, Francisco José Gaspar, 2004, Numer. Linear Algebra Appl..

Pricing early-exercise and discrete barrier options by Shannon wavelet expansions

Luis Ortiz-Gracia, Cornelis W. Oosterlee, S. C. Maree, 2016 .

Fourier and wavelet option pricing methods

Luis Ortiz-Gracia, Cornelis W. Oosterlee, S. C. Maree, 2018 .

Adaptive Local Refinements

Klaus Stüben, Cornelis W. Oosterlee, H. M. Bleecke, 1999 .

Multigrid method for nonlinear poroelasticity equations

Cornelis W. Oosterlee, Francisco José Gaspar, Carmen Rodrigo, 2015, Comput. Vis. Sci..

Editorial on three special issues (Vol. 11, 1–3, 2008) of the journal Computing and Visualization in Science devoted to the 8th European Multigrid Conference (EMG)

Pieter Wesseling, Cornelis W. Oosterlee, Piet Hemker, 2008 .

Multigrid Schemes for Time-Dependent Incompressible Navier-Stokes Equations

Cornelis W. Oosterlee, P. Wesseling, 1993, IMPACT Comput. Sci. Eng..

Rolling Adjoints: Fast Greeks along Monte Carlo scenarios for early-exercise options

Cornelis W. Oosterlee, Álvaro Leitao, Shashi Jain, 2019, J. Comput. Sci..

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

Cornelis W. Oosterlee, Marjon J. Ruijter, C. Oosterlee, 2012, SIAM J. Sci. Comput..

Pricing Bermudan options under Merton jump-diffusion asset dynamics

Cornelis W. Oosterlee, Fei Cong, C. Oosterlee, 2015, Int. J. Comput. Math..

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

Luis Ortiz-Gracia, Cornelis W. Oosterlee, C. Oosterlee, 2015, SIAM J. Sci. Comput..

Acceleration of option pricing technique on graphics processing units

Cornelis W. Oosterlee, Bowen Zhang, 2014, Concurr. Comput. Pract. Exp..

European and American Options Valuation by Unsupervised Learning with Artificial Neural Networks

Cornelis W. Oosterlee, Beatriz Salvador, Remco van der Meer, 2020 .

An ENO-Based Method for Second-Order Equations and Application to the Control of Dike Levels

Cornelis W. Oosterlee, S. P. van der Pijl, C. Oosterlee, 2012, J. Sci. Comput..

Saddlepoint Approximations for Expectations and an Application to CDO Pricing

Cornelis W. Oosterlee, Xinzheng Huang, C. Oosterlee, 2011, SIAM J. Financial Math..

Exploration of a Cosine Expansion Lattice Scheme pdf

Cornelis W. Oosterlee, Ki Wai Chau, 2019, ArXiv.

An Efficient Multigrid Solver based on Distributive Smoothing for Poroelasticity Equations

Cornelis W. Oosterlee, Francisco Javier Lisbona, Francisco José Gaspar, 2004, Computing.

Multigrid with FFT smoother for a simplified 2D frictional contact problem

Jing Zhao, Cornelis W. Oosterlee, Edwin A. H. Vollebregt, 2014, Numer. Linear Algebra Appl..

Robust Pricing of European Options with Wavelets and the Characteristic Function

Luis Ortiz-Gracia, Cornelis W. Oosterlee, C. Oosterlee, 2013, SIAM J. Sci. Comput..

A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under L[e-acute]vy Processes

Cornelis W. Oosterlee, Fang Fang, F. Bervoets, 2008, SIAM J. Sci. Comput..

Reduced Order Modeling for Parameterized Time-Dependent PDEs using Spatially and Memory Aware Deep Learning pdf

Cornelis W. Oosterlee, Sander M. Bohté, Nikolaj Takata Mücke, 2020, J. Comput. Sci..

Adaptive integration for multi-factor portfolio credit loss models

Cornelis W. Oosterlee, Xinzheng Huang, 2009, J. Comput. Appl. Math..

The Acceleration of Multigrid Convergence by Recombination Techniques

Cornelis W. Oosterlee, Takumi Washio, Francisco J. Gaspar, 2000 .

A multigrid multilevel Monte Carlo method for transport in the Darcy-Stokes system

Prashant Kumar, Cornelis W. Oosterlee, Francisco José Gaspar, 2018, J. Comput. Phys..

Option pricing with COS method on graphics processing units

Cornelis W. Oosterlee, Bowen Zhang, 2009, 2009 IEEE International Symposium on Parallel & Distributed Processing.

A multigrid‐based shifted Laplacian preconditioner for a fourth‐order Helmholtz discretization

Cornelis W. Oosterlee, Scott P. MacLachlan, N. Umetani, 2009, Numer. Linear Algebra Appl..

A fast and accurate FFT-based method for pricing early exercise options

Cornelis W. Oosterlee, 2007 .

Accuracy Measures and Fourier Analysis for the Full Multigrid Algorithm

Irad Yavneh, Cornelis W. Oosterlee, Francisco José Gaspar, 2010, SIAM J. Sci. Comput..

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

Cornelis W. Oosterlee, Fang Fang, C. Oosterlee, 2009, Numerische Mathematik.

Valuing modular nuclear power plants in finite time decision horizon

Cornelis W. Oosterlee, Shashi Jain, Ferry Roelofs, 2013 .

Fast Valuation and Calibration of Credit Default Swaps Under Levy Dynamics

Cornelis W. Oosterlee, Wim Schoutens, Henrik Jönsson, 2009 .

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

Cornelis W. Oosterlee, Bowen Zhang, C. Oosterlee, 2013, SIAM J. Financial Math..

On Three-Grid Fourier Analysis for Multigrid

Cornelis W. Oosterlee, Roman Wienands, C. Oosterlee, 2001, SIAM J. Sci. Comput..

Multigrid Methods for the Stokes System

Cornelis W. Oosterlee, Francisco José Gaspar, 2006, Computing in Science & Engineering.

Benchmarking the FLOWer code on different parallel and vector machines

Cornelis W. Oosterlee, Bernhard Eisfeld, H. M. Bleecke, 1996 .

On Local Fourier Analysis of Multigrid Methods for PDEs with Jumping and Random Coefficients

Cornelis W. Oosterlee, Carmen Rodrigo, Prashant Kumar, 2018, SIAM J. Sci. Comput..

A Novel Monte Carlo Approach to Hybrid Local Volatility Models

Cornelis W. Oosterlee, Lech A. Grzelak, Anthonie Willem van der Stoep, 2016 .

Proceedings of the European Multigrid Conference

Pieter Wesseling, Cornelis W. Oosterlee, Barry Koren, 2006 .

The COS method for option valuation under the SABR dynamics

Cornelis W. Oosterlee, Z. van der Have, 2018, Int. J. Comput. Math..

The Seven-League Scheme: Deep learning for large time step Monte Carlo simulations of stochastic differential equations pdf

Cornelis W. Oosterlee, Shuaiqiang Liu, Lech A. Grzelak, 2020, ArXiv.

On the Data-Driven COS Method

Sander M. Bohte, Luis Ortiz-Gracia, Cornelis W. Oosterlee, 2017, Appl. Math. Comput..

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

Cornelis W. Oosterlee, Takumi Washio, C. Oosterlee, 1998, SIAM J. Sci. Comput..

Special issue in computing and visualization in science (CVS) related to the European Multigrid conference, EMG 2010

Cornelis W. Oosterlee, Alfio Borzì, 2011, Comput. Vis. Sci..

Computational and Applied

Cornelis W. Oosterlee, Maria J. Ruijter, T. P. Huijskens, 2015 .

Special issue in computing and visualization in science (CVS), related to the European multigrid conference, EMG 2010

Cornelis W. Oosterlee, Alfio Borzì, 2011, Comput. Vis. Sci..

Local Fourier analysis for multigrid with overlapping smoothers applied to systems of PDEs

Cornelis W. Oosterlee, Scott P. MacLachlan, S. MacLachlan, 2011, Numer. Linear Algebra Appl..

Algebraic Multigrid Solvers for Complex-Valued Matrices

Cornelis W. Oosterlee, Scott P. MacLachlan, S. MacLachlan, 2008, SIAM J. Sci. Comput..

Editorial

Cornelis W. Oosterlee, Jari Toivanen, Andrey Itkin, 2015, Int. J. Comput. Math..

Multigrid preconditioners for Bi-CGSTAB for the sparse-grid solution of high-dimensional anisotropic diffusion equation

Cornelis W. Oosterlee, bin H. Zubair, C.C.W. Leentvaar, 2007 .

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

Cornelis Vuik, Cornelis W. Oosterlee, H. Knibbe, 2011, J. Comput. Appl. Math..

Accurate Evaluation of European and American Options Under the CGMY Process

Cornelis W. Oosterlee, Ariel Almendral, C. Oosterlee, 2007, SIAM J. Sci. Comput..

A parallel multigrid-based preconditioner for the 3D heterogeneous high-frequency Helmholtz equation

Cornelis Vuik, Cornelis W. Oosterlee, Wim A. Mulder, 2007, J. Comput. Phys..

On coordinate transformation and grid stretching for sparse grid pricing of basket options

Cornelis W. Oosterlee, C.C.W. Leentvaar, C. Oosterlee, 2008 .

Multi-asset option pricing using a parallel Fourier-based technique

Cornelis W. Oosterlee, C.C.W. Leentvaar, C. Oosterlee, 2008 .

3D Helmholtz Krylov Solver Preconditioned by a Shifted Laplace Multigrid Method on Multi-GPUs

Cornelis Vuik, Cornelis W. Oosterlee, H. Knibbe, 2013 .

Improving Banks' Credit Risk Management

Cornelis W. Oosterlee, Xinzheng Huang, 2009, ERCIM News.

The Stochastic Grid Bundling Method: Efficient Pricing of Bermudan Options and their Greeks

Cornelis W. Oosterlee, Shashi Jain, C. Oosterlee, 2013, Appl. Math. Comput..

On an Uzawa smoother in multigrid for poroelasticity equations

Cornelis W. Oosterlee, Francisco José Gaspar, Carmen Rodrigo, 2017, Numer. Linear Algebra Appl..

Error analysis for a potential problem on locally refined grids

Cornelis W. Oosterlee, Takumi Washio, C. Oosterlee, 2000, Numerische Mathematik.

Corrigendum to "Total value adjustment for a stochastic volatility model. A comparison with the Black-Scholes model"

Cornelis W. Oosterlee, Beatriz Salvador, 2021, Appl. Math. Comput..

Markov Chain Generative Adversarial Neural Networks for Solving Bayesian Inverse Problems in Physics Applications pdf

Cornelis W. Oosterlee, Benjamin Sanderse, Nikolaj Takata Mücke, 2021, SSRN Electronic Journal.

The One Step Malliavin scheme: new discretization of BSDEs implemented with deep learning regressions pdf

Cornelis W. Oosterlee, Balint Negyesi, Kristoffer Andersson, 2021, IMA Journal of Numerical Analysis.

Monte Carlo Simulation of SDEs using GANs pdf

Cornelis W. Oosterlee, Shuaiqiang Liu, Lech A. Grzelak, 2021, ArXiv.

Valuation of electricity storage contracts using the COS method

Cornelis W. Oosterlee, Boris C. Boonstra, C. Oosterlee, 2021, Appl. Math. Comput..

Convergence of a robust deep FBSDE method for stochastic control pdf

Cornelis W. Oosterlee, Kristoffer Andersson, Adam Andersson, 2022, ArXiv.

Two-Dimensional Shannon Wavelet Inverse Fourier Technique for Pricing European Options

Gemma Colldeforns-Papiol, Luis Ortiz-Gracia, Cornelis W. Oosterlee, 2016 .

FLUX DIFFERENCE SPLITTING FOR THREE-DIMENSIONAL STEADY INCOMPRESSIBLE NAVIER-STOKES EQUATIONS IN CURVILINEAR CO-ORDINATES

Cornelis W. Oosterlee, H. Ritzdorf, H. Ritzdorf, 1996 .

KRYLOV SUBSPACE ACCELERATION FOR NONLINEAR MULTIGRID SCHEMES

Cornelis W. Oosterlee, C. Oosterlee, T. Washio, 1997 .

On a Class of Preconditioners for Solving the Helmholtz Equation

Cornelis Vuik, Cornelis W. Oosterlee, Yogi A. Erlangga, 2003 .

The convergence of parallel multiblock multigrid methods

Cornelis W. Oosterlee, 1995 .

Robust multigrid methods for the steady and unsteady incompressible Navier-Stokes equations in general coordinates

Cornelis W. Oosterlee, C. Oosterlee, 1993 .

A multigrid method for an invariant formulation of the incompressible Navier-Stokes equations in general coordinates

Cornelis W. Oosterlee, Pieter Wesseling, P. Wesseling, 1991 .

Pricing Bermudan options under local Lévy models with default

Cornelis W. Oosterlee, Andrea Pascucci, Anastasia Borovykh, 2016 .

Accurate and Robust Numerical Methods for the Dynamic Portfolio Management Problem

Cornelis W. Oosterlee, Fei Cong, 2017 .

Steady incompressible flow around objects in general coordinates with a multigrid solution method

Cornelis W. Oosterlee, Pieter Wesseling, P. Wesseling, 1994 .

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

Cornelis W. Oosterlee, Pieter Wesseling, A. Segal, 1992 .

From Arbitrage to Arbitrage-Free Implied Volatilities

Cornelis W. Oosterlee, Lech A. Grzelak, 2016 .

On a class of preconditioners for solving the discrete helmholtz equation

Cornelis Vuik, Cornelis W. Oosterlee, Yogi A. Erlangga, 2003 .

PRICING OPTIONS WITH DISCRETE DIVIDENDS BY HIGH ORDER FINITE DIFFERENCES AND GRID STRETCHING

Cornelis W. Oosterlee, Ariel Almendral, Coenraad C. W. Leentvaar, 2004 .

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

Cornelis W. Oosterlee, Álvaro Leitao, Lech A. Grzelak, 2016 .

Higher order saddlepoint approximations in the Vasicek portfolio credit loss model

Cornelis W. Oosterlee, Xinzheng Huang, C. Oosterlee, 2006 .

A multigrid multilevel Monte Carlo method using high-order finite-volume scheme for lognormal diffusion problems

Cornelis W. Oosterlee, Richard P. Dwight, C. Oosterlee, 2017 .

A novel Monte Carlo approach to hybrid local volatility models

Cornelis W. Oosterlee, Lech A. Grzelak, C. Oosterlee, 2016 .

On Pre-Commitment Aspects of a Time-Consistent Strategy for a Mean-Variance Investor

Cornelis W. Oosterlee, Fei Cong, 2016 .

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

Cornelis W. Oosterlee, Petr N. Vabishchevich, Francisco J. Gaspar, 2007 .

Generalized beta regression models for random loss given default

Cornelis W. Oosterlee, Xinzheng Huang, C. Oosterlee, 2008 .

On the Robustness of a Multiple Semi-coarsened Grid Method

Cornelis W. Oosterlee, Pieter Wesseling, P. Wesseling, 1995 .

On robust multi-period pre-commitment and time-consistent mean-variance portfolio optimization

Cornelis W. Oosterlee, C. Oosterlee, F. Cong, 2017 .

Multigrid relaxation methods for systems of saddle point type

Cornelis W. Oosterlee, Francisco J. Gaspar, C. Oosterlee, 2008 .

Accurate American Option Pricing by Grid Stretching and High Order Finite Differences

Cornelis W. Oosterlee, Xinzheng Huang, C. Oosterlee, 2022 .

Numerical Fourier Method and Second-Order Taylor Scheme for Backward SDEs in Finance

Cornelis W. Oosterlee, C. Oosterlee, M. Ruijter, 2014 .

Highly accurate evaluation of European and American options under the Variance Gamma process

Cornelis W. Oosterlee, Ariel Almendral, 2006 .

Multi-period mean–variance portfolio optimization based on Monte-Carlo simulation

Cornelis W. Oosterlee, C. Oosterlee, F. Cong, 2016 .

On multigrid for linear complementarity problems with application to American-style options.

Cornelis W. Oosterlee, C. Oosterlee, 2003 .

Monte Carlo Calculation of Exposure Profiles and Greeks for Bermudan and Barrier Options under the Heston Hull-White Model

Cornelis W. Oosterlee, Qian Feng, 2014 .

A new iterative solver for the time-harmonic wave equation

Cornelis Vuik, Cornelis W. Oosterlee, W. A. Mulder, 2006 .

Efficient unbiased simulation scheme for SABR stochastic volatility model

Cornelis W. Oosterlee, C. Oosterlee, B. Chen, 2012 .

A stabilized difference scheme for deformable porous media and its numerical resolution by multigrid methods

Cornelis W. Oosterlee, Francisco J. Gaspar, Francisco J. Lisbona, 2008 .

Comparison of multigrid and incomplete LU shifted-Laplace preconditioners for the inhomogeneous Helmholtz equation

Cornelis Vuik, Cornelis W. Oosterlee, Yogi A. Erlangga, 2006 .

TVD, WENO and blended BDF discretizations for Asian options

Cornelis W. Oosterlee, Francisco J. Gaspar, J. C. Frisch, 2004 .

Experiences with a parallel multiblock multigrid solution technique for the Euler equations

Cornelis W. Oosterlee, H. Ritzdorf, B. Steckel, 1995 .

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

Cornelis W. Oosterlee, Shashi Jain, C. Oosterlee, 2016 .

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

Cornelis W. Oosterlee, Lech A. Grzelak, Anthonie Willem van der Stoep, 2014 .

Multigrid Line Smoothers for Higher Order Upwind Discretizations of Convection-Dominated Problems

Cornelis W. Oosterlee, Takumi Washio, Francisco J. Gaspar, 1998 .

On a robust iterative method for heterogeneous helmholtz problems for geophysics applications

Cornelis Vuik, Cornelis W. Oosterlee, Yogi A. Erlangga, 2005 .

Computing Incompressible Flows in General Domains

Cornelis Vuik, Cornelis W. Oosterlee, Marcel Zijlema, 1994 .

Pricing of early-exercise Asian options under Lévy processes based on Fourier cosine expansions

Cornelis W. Oosterlee, Baocheng Zhang, 2014 .

eneralization in fully-connected neural networks for time series orecasting

Cornelis W. Oosterlee, Sander M. Bohté, nastasia Borovykh, 2019 .

Numerical valuation of options with jumps in the underlying

Cornelis W. Oosterlee, Ariel Almendral, C. Oosterlee, 2005 .

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

Bin Chen, Cornelis W. Oosterlee, C. Oosterlee, 2012 .