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Cornelis W. Oosterlee

Personal Details

First Name:Cornelis
Middle Name:W.
Last Name:Oosterlee
Suffix:
RePEc Short-ID:poo16
[This author has chosen not to make the email address public]
https://keesoosterlee.com

Affiliation

CWI - Centrum voor Wiskunde en Informatica (CWI - Center for Mathematics and Computer Science)

http://www.cwi.nl
the Netherlands, Amsterdam

Research output

as
Jump to: Working papers Articles

Working papers

  1. Fei Gao & Shuaiqiang Liu & Cornelis W. Oosterlee & Nico M. Temme, 2022. "Solution of integrals with fractional Brownian motion for different Hurst indices," Papers 2203.02323, arXiv.org, revised Mar 2022.
  2. Luis A. Souto Arias & Pasquale Cirillo & Cornelis W. Oosterlee, 2022. "A new self-exciting jump-diffusion process for option pricing," Papers 2205.13321, arXiv.org, revised Feb 2023.
  3. T. van der Zwaard & L. A. Grzelak & C. W. Oosterlee, 2022. "Relevance of Wrong-Way Risk in Funding Valuation Adjustments," Papers 2204.02680, arXiv.org, revised Jun 2022.
  4. Emanuele Casamassima & Lech A. Grzelak & Frank A. Mulder & Cornelis W. Oosterlee, 2021. "Pricing and Hedging Prepayment Risk in a Mortgage Portfolio," Papers 2109.14977, arXiv.org, revised Oct 2021.
  5. Fabien Le Floc'h & Cornelis W. Oosterlee, 2021. "Positive Stochastic Collocation for the Collocated Local Volatility Model," Papers 2109.02405, arXiv.org.
  6. Boris C. Boonstra & Cornelis W. Oosterlee, 2021. "Valuation of electricity storage contracts using the COS method," Papers 2101.02917, arXiv.org.
  7. Jorino van Rhijn & Cornelis W. Oosterlee & Lech A. Grzelak & Shuaiqiang Liu, 2021. "Monte Carlo Simulation of SDEs using GANs," Papers 2104.01437, arXiv.org.
  8. Beatriz Salvador & Cornelis W. Oosterlee & Remco van der Meer, 2020. "Financial option valuation by unsupervised learning with artificial neural networks," Papers 2005.12059, arXiv.org.
  9. T. R. B. den Haan & K. W. Chau & M. van der Schans & C. W. Oosterlee, 2020. "Rule-based Strategies for Dynamic Life Cycle Investment," Papers 2011.02596, arXiv.org.
  10. Kristoffer Andersson & Cornelis Oosterlee, 2020. "A deep learning approach for computations of exposure profiles for high-dimensional Bermudan options," Papers 2003.01977, arXiv.org, revised Sep 2020.
  11. Shuaiqiang Liu & Lech A. Grzelak & Cornelis W. Oosterlee, 2020. "The Seven-League Scheme: Deep learning for large time step Monte Carlo simulations of stochastic differential equations," Papers 2009.03202, arXiv.org, revised Sep 2021.
  12. T. van der Zwaard & L. A. Grzelak & C. W. Oosterlee, 2020. "A Computational Approach to Hedging Credit Valuation Adjustment in a Jump-Diffusion Setting," Papers 2005.10504, arXiv.org, revised Sep 2020.
  13. Shuaiqiang Liu & 'Alvaro Leitao & Anastasia Borovykh & Cornelis W. Oosterlee, 2020. "On Calibration Neural Networks for extracting implied information from American options," Papers 2001.11786, arXiv.org.
  14. Kristoffer Andersson & Cornelis W. Oosterlee, 2020. "Deep learning for CVA computations of large portfolios of financial derivatives," Papers 2010.13843, arXiv.org.
  15. Shuaiqiang Liu & Anastasia Borovykh & Lech A. Grzelak & Cornelis W. Oosterlee, 2019. "A neural network-based framework for financial model calibration," Papers 1904.10523, arXiv.org.
  16. Anastasia Borovykh & Andrea Pascucci & Cornelis W. Oosterlee, 2019. "Efficient Computation of Various Valuation Adjustments Under Local L\'evy Models," Papers 1905.01706, arXiv.org.
  17. Shuaiqiang Liu & Cornelis W. Oosterlee & Sander M. Bohte, 2019. "Pricing options and computing implied volatilities using neural networks," Papers 1901.08943, arXiv.org, revised Apr 2019.
  18. Anastasia Borovykh & Cornelis W. Oosterlee & Andrea Pascucci, 2016. "Pricing Bermudan options under local L\'evy models with default," Papers 1604.08735, arXiv.org.
  19. Ki Wai Chau & Cornelis W. Oosterlee, 2016. "On the wavelets-based SWIFT method for backward stochastic differential equations," Papers 1611.06098, arXiv.org.
  20. Rob Aalbers & Marjon Ruijter & Kees Oosterlee, 2014. "The social discount rate under a stochastic A2 scenario," CPB Discussion Paper 296, CPB Netherlands Bureau for Economic Policy Analysis.
  21. Q. Feng & C. W. Oosterlee, 2014. "Monte Carlo Calculation of Exposure Profiles and Greeks for Bermudan and Barrier Options under the Heston Hull-White Model," Papers 1412.3623, arXiv.org.
  22. Marjon Ruijter & Kees Oosterlee, 2012. "Two-dimensional Fourier cosine series expansion method for pricing financial options," CPB Discussion Paper 225, CPB Netherlands Bureau for Economic Policy Analysis.
  23. Schumacher, J.M. & Oosterlee, C.W. & In 't Hout, K.J., 2011. "Actuariële wetenschappen en financiële wiskunde : op weg naar convergentie?," Other publications TiSEM f47b3a85-cc1d-45b8-a9ba-0, Tilburg University, School of Economics and Management.
  24. Grzelak, Lech & Oosterlee, Kees, 2010. "An Equity-Interest Rate Hybrid Model With Stochastic Volatility and the Interest Rate Smile," MPRA Paper 20574, University Library of Munich, Germany.
  25. Grzelak, Lech & Oosterlee, Kees, 2010. "On cross-currency models with stochastic volatility and correlated interest rates," MPRA Paper 23020, University Library of Munich, Germany.
  26. Grzelak, Lech & Oosterlee, Kees, 2009. "On The Heston Model with Stochastic Interest Rates," MPRA Paper 20620, University Library of Munich, Germany, revised 18 Jan 2010.
  27. Fang, Fang & Oosterlee, Kees, 2008. "A Novel Pricing Method For European Options Based On Fourier-Cosine Series Expansions," MPRA Paper 7700, University Library of Munich, Germany.
  28. Fang, Fang & Oosterlee, Kees, 2008. "Pricing Early-Exercise and Discrete Barrier Options by Fourier-Cosine Series Expansions," MPRA Paper 9248, University Library of Munich, Germany.
  29. Lord, Roger & Fang, Fang & Bervoets, Frank & Oosterlee, Kees, 2007. "A fast and accurate FFT-based method for pricing early-exercise options under Lévy processes," MPRA Paper 1952, University Library of Munich, Germany.

Articles

  1. Shuaiqiang Liu & Lech A. Grzelak & Cornelis W. Oosterlee, 2022. "The Seven-League Scheme: Deep Learning for Large Time Step Monte Carlo Simulations of Stochastic Differential Equations," Risks, MDPI, vol. 10(3), pages 1-27, February.
  2. Andersson, Kristoffer & Oosterlee, Cornelis W., 2021. "A deep learning approach for computations of exposure profiles for high-dimensional Bermudan options," Applied Mathematics and Computation, Elsevier, vol. 408(C).
  3. Boonstra, Boris C. & Oosterlee, Cornelis W., 2021. "Valuation of electricity storage contracts using the COS method," Applied Mathematics and Computation, Elsevier, vol. 410(C).
  4. van der Zwaard, Thomas & Grzelak, Lech A. & Oosterlee, Cornelis W., 2021. "A computational approach to hedging Credit Valuation Adjustment in a jump-diffusion setting," Applied Mathematics and Computation, Elsevier, vol. 391(C).
  5. Salvador, Beatriz & Oosterlee, Cornelis W., 2021. "Corrigendum to ``Total value adjustment for a stochastic volatility model. A comparison with the Black–Scholes model''," Applied Mathematics and Computation, Elsevier, vol. 406(C).
  6. Andersson, Kristoffer & Oosterlee, Cornelis W., 2021. "Deep learning for CVA computations of large portfolios of financial derivatives," Applied Mathematics and Computation, Elsevier, vol. 409(C).
  7. Salvador, Beatriz & Oosterlee, Cornelis W., 2021. "Total value adjustment for a stochastic volatility model. A comparison with the Black–Scholes model," Applied Mathematics and Computation, Elsevier, vol. 391(C).
  8. Fontanari Andrea & Cirillo Pasquale & Oosterlee Cornelis W., 2020. "Lorenz-generated bivariate Archimedean copulas," Dependence Modeling, De Gruyter, vol. 8(1), pages 186-209, January.
  9. Beatriz Salvador & Cornelis W. Oosterlee & Remco van der Meer, 2020. "Financial Option Valuation by Unsupervised Learning with Artificial Neural Networks," Mathematics, MDPI, vol. 9(1), pages 1-20, December.
  10. Anthonie W. Van Der Stoep & Lech A. Grzelak & Cornelis W. Oosterlee, 2020. "Collocating Volatility: A Competitive Alternative To Stochastic Local Volatility Models," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 23(06), pages 1-42, September.
  11. Fabien Floc’h & Cornelis W. Oosterlee, 2019. "Model-free stochastic collocation for an arbitrage-free implied volatility: Part I," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 42(2), pages 679-714, December.
  12. Shuaiqiang Liu & Cornelis W. Oosterlee & Sander M. Bohte, 2019. "Pricing Options and Computing Implied Volatilities using Neural Networks," Risks, MDPI, vol. 7(1), pages 1-22, February.
  13. L. A. Grzelak & J. A. S. Witteveen & M. Suárez-Taboada & C. W. Oosterlee, 2019. "The stochastic collocation Monte Carlo sampler: highly efficient sampling from ‘expensive’ distributions," Quantitative Finance, Taylor & Francis Journals, vol. 19(2), pages 339-356, February.
  14. Fontanari, Andrea & Cirillo, Pasquale & Oosterlee, Cornelis W., 2018. "From Concentration Profiles to Concentration Maps. New tools for the study of loss distributions," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 13-29.
  15. Marcel T. P. Van Dijk & Cornelis S. L. De Graaf & Cornelis W. Oosterlee, 2018. "Between ℙ and ℚ: The ℙ ℚ Measure for Pricing in Asset Liability Management," JRFM, MDPI, vol. 11(4), pages 1-23, October.
  16. Leitao, Álvaro & Oosterlee, Cornelis W. & Ortiz-Gracia, Luis & Bohte, Sander M., 2018. "On the data-driven COS method," Applied Mathematics and Computation, Elsevier, vol. 317(C), pages 68-84.
  17. S. N. Singor & A. Boer & J. S. C. Alberts & C. W. Oosterlee, 2017. "On the modelling of nested risk-neutral stochastic processes with applications in insurance," Applied Mathematical Finance, Taylor & Francis Journals, vol. 24(4), pages 302-336, July.
  18. Anthonie W. van der Stoep & Lech A. Grzelak & Cornelis W. Oosterlee, 2017. "A novel Monte Carlo approach to hybrid local volatility models," Quantitative Finance, Taylor & Francis Journals, vol. 17(9), pages 1347-1366, September.
  19. Álvaro Leitao & Lech A. Grzelak & Cornelis W. Oosterlee, 2017. "On an efficient multiple time step Monte Carlo simulation of the SABR model," Quantitative Finance, Taylor & Francis Journals, vol. 17(10), pages 1549-1565, October.
  20. Qian Feng & Cornelis W. Oosterlee, 2017. "Computing Credit Valuation Adjustment For Bermudan Options With Wrong Way Risk," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(08), pages 1-31, December.
  21. F. Cong & C. W. Oosterlee, 2017. "On Robust Multi-Period Pre-Commitment And Time-Consistent Mean-Variance Portfolio Optimization," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(07), pages 1-26, November.
  22. Fei Cong & Cornelis W. Oosterlee, 2017. "Accurate and Robust Numerical Methods for the Dynamic Portfolio Management Problem," Computational Economics, Springer;Society for Computational Economics, vol. 49(3), pages 433-458, March.
  23. Leitao, Álvaro & Grzelak, Lech A. & Oosterlee, Cornelis W., 2017. "On a one time-step Monte Carlo simulation approach of the SABR model: Application to European options," Applied Mathematics and Computation, Elsevier, vol. 293(C), pages 461-479.
  24. Cong, F. & Oosterlee, C.W., 2016. "On pre-commitment aspects of a time-consistent strategy for a mean-variance investor," Journal of Economic Dynamics and Control, Elsevier, vol. 70(C), pages 178-193.
  25. Patrik Karlsson & Shashi Jain & Cornelis W. Oosterlee, 2016. "Counterparty Credit Exposures for Interest Rate Derivatives using the Stochastic Grid Bundling Method," Applied Mathematical Finance, Taylor & Francis Journals, vol. 23(3), pages 175-196, May.
  26. Cong, F. & Oosterlee, C.W., 2016. "Multi-period mean–variance portfolio optimization based on Monte-Carlo simulation," Journal of Economic Dynamics and Control, Elsevier, vol. 64(C), pages 23-38.
  27. Patrik Karlsson & Shashi Jain & Cornelis W. Oosterlee, 2016. "Fast and accurate exercise policies for Bermudan swaptions in the LIBOR market model," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 3(01), pages 1-22, March.
  28. Jain, Shashi & Oosterlee, Cornelis W., 2015. "The Stochastic Grid Bundling Method: Efficient pricing of Bermudan options and their Greeks," Applied Mathematics and Computation, Elsevier, vol. 269(C), pages 412-431.
  29. Anthonie W. Van Der Stoep & Lech A. Grzelak & Cornelis W. Oosterlee, 2015. "The Time-Dependent Fx-Sabr Model: Efficient Calibration Based On Effective Parameters," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 18(06), pages 1-38.
  30. Anthonie W. Van Der Stoep & Lech A. Grzelak & Cornelis W. Oosterlee, 2014. "The Heston Stochastic-Local Volatility Model: Efficient Monte Carlo Simulation," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 17(07), pages 1-30.
  31. Cornelis S. L. De Graaf & Qian Feng & Drona Kandhai & Cornelis W. Oosterlee, 2014. "Efficient Computation Of Exposure Profiles For Counterparty Credit Risk," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 17(04), pages 1-23.
  32. Jain, Shashi & Roelofs, Ferry & Oosterlee, Cornelis W., 2014. "Decision-support tool for assessing future nuclear reactor generation portfolios," Energy Economics, Elsevier, vol. 44(C), pages 99-112.
  33. Jain, Shashi & Roelofs, Ferry & Oosterlee, Cornelis W., 2013. "Valuing modular nuclear power plants in finite time decision horizon," Energy Economics, Elsevier, vol. 36(C), pages 625-636.
  34. Yu Tian & Ron Rood & Cornelis W. Oosterlee, 2013. "Efficient portfolio valuation incorporating liquidity risk," Quantitative Finance, Taylor & Francis Journals, vol. 13(10), pages 1575-1586, October.
  35. Singor, Stefan N. & Grzelak, Lech A. & van Bragt, David D.B. & Oosterlee, Cornelis W., 2013. "Pricing inflation products with stochastic volatility and stochastic interest rates," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 286-299.
  36. Bin Chen & Cornelis W. Oosterlee & Hans Van Der Weide, 2012. "A Low-Bias Simulation Scheme For The Sabr Stochastic Volatility Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 15(02), pages 1-37.
  37. Lech A. Grzelak & Cornelis W. Oosterlee & Sacha Van Weeren, 2012. "Extension of stochastic volatility equity models with the Hull--White interest rate process," Quantitative Finance, Taylor & Francis Journals, vol. 12(1), pages 89-105, July.
  38. Lech A. Grzelak & Cornelis W. Oosterlee, 2012. "On Cross-Currency Models with Stochastic Volatility and Correlated Interest Rates," Applied Mathematical Finance, Taylor & Francis Journals, vol. 19(1), pages 1-35, February.
  39. Lech Grzelak & Cornelis Oosterlee & Sacha Van Weeren, 2011. "The affine Heston model with correlated Gaussian interest rates for pricing hybrid derivatives," Quantitative Finance, Taylor & Francis Journals, vol. 11(11), pages 1647-1663.
  40. Bin Chen & Cornelis W. Oosterlee & Sacha Van Weeren, 2010. "Analytical Approximation To Constant Maturity Swap Convexity Corrections In A Multi-Factor Sabr Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 13(07), pages 1019-1046.
  41. Ariel Almendral & Cornelis W. Oosterlee, 2007. "On American Options Under the Variance Gamma Process," Applied Mathematical Finance, Taylor & Francis Journals, vol. 14(2), pages 131-152.

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 24 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-CMP: Computational Economics (12) 2007-03-03 2012-11-24 2016-11-27 2019-02-11 2019-04-29 2020-02-17 2020-03-16 2020-06-22 2020-06-29 2020-09-21 2020-11-16 2021-04-12. Author is listed
  2. NEP-RMG: Risk Management (8) 2014-12-24 2020-03-16 2020-06-29 2020-11-16 2020-11-16 2021-09-20 2021-10-04 2022-05-09. Author is listed
  3. NEP-BIG: Big Data (6) 2019-02-11 2019-04-29 2020-02-17 2020-03-16 2020-06-22 2020-09-21. Author is listed
  4. NEP-FMK: Financial Markets (3) 2010-02-20 2016-06-09 2020-11-16
  5. NEP-ORE: Operations Research (3) 2008-03-15 2008-07-05 2012-11-24
  6. NEP-CWA: Central and Western Asia (2) 2021-04-12 2021-10-04
  7. NEP-AGE: Economics of Ageing (1) 2020-11-16
  8. NEP-BAN: Banking (1) 2022-05-09
  9. NEP-ENE: Energy Economics (1) 2021-02-08
  10. NEP-ENV: Environmental Economics (1) 2014-12-29
  11. NEP-IFN: International Finance (1) 2010-06-11
  12. NEP-ISF: Islamic Finance (1) 2021-09-20
  13. NEP-KNM: Knowledge Management and Knowledge Economy (1) 2007-03-03
  14. NEP-REG: Regulation (1) 2021-02-08
  15. NEP-URE: Urban and Real Estate Economics (1) 2021-10-04

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