Access Statistics for Cornelis W. Oosterlee

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Computational Approach to Hedging Credit Valuation Adjustment in a Jump-Diffusion Setting 0 0 0 6 0 0 2 22
A NOVEL PRICING METHOD FOR EUROPEAN OPTIONS BASED ON FOURIER-COSINE SERIES EXPANSIONS 2 2 4 266 2 4 18 602
A NOVEL PRICING METHOD FOR EUROPEAN OPTIONS BASED ON FOURIER-COSINE SERIES EXPANSIONS 3 11 26 144 9 28 65 446
A deep learning approach for computations of exposure profiles for high-dimensional Bermudan options 0 0 0 39 0 0 1 19
A fast and accurate FFT-based method for pricing early-exercise options under Lévy processes 0 0 3 152 0 3 12 441
A neural network-based framework for financial model calibration 0 0 1 24 0 1 5 103
A new self-exciting jump-diffusion process for option pricing 0 0 3 13 0 1 8 27
Actuariële wetenschappen en financiële wiskunde: op weg naar convergentie? 0 0 0 2 0 0 1 20
An Equity-Interest Rate Hybrid Model With Stochastic Volatility and the Interest Rate Smile 0 0 1 101 0 0 5 313
Deep learning for CVA computations of large portfolios of financial derivatives 0 0 0 14 0 0 0 16
Efficient Computation of Various Valuation Adjustments Under Local L\'evy Models 0 0 0 1 0 0 0 17
Financial option valuation by unsupervised learning with artificial neural networks 0 0 0 12 0 1 2 17
Monte Carlo Calculation of Exposure Profiles and Greeks for Bermudan and Barrier Options under the Heston Hull-White Model 0 0 1 20 0 0 6 54
Monte Carlo Simulation of SDEs using GANs 0 0 0 8 0 0 2 34
On Calibration Neural Networks for extracting implied information from American options 0 0 0 18 0 0 2 24
On The Heston Model with Stochastic Interest Rates 0 0 0 91 0 0 0 270
On cross-currency models with stochastic volatility and correlated interest rates 0 1 2 70 2 3 15 220
On the wavelets-based SWIFT method for backward stochastic differential equations 0 0 0 4 1 2 2 14
Positive Stochastic Collocation for the Collocated Local Volatility Model 0 0 0 11 0 0 0 7
Pricing Bermudan options under local L\'evy models with default 0 0 0 7 0 0 1 27
Pricing Early-Exercise and Discrete Barrier Options by Fourier-Cosine Series Expansions 0 0 0 111 1 1 4 305
Pricing and Hedging Prepayment Risk in a Mortgage Portfolio 0 0 1 19 0 0 8 51
Pricing options and computing implied volatilities using neural networks 0 0 0 22 0 1 2 71
Relevance of Wrong-Way Risk in Funding Valuation Adjustments 0 0 0 7 0 0 0 8
Rule-based Strategies for Dynamic Life Cycle Investment 0 0 0 9 0 0 0 9
Solution of integrals with fractional Brownian motion for different Hurst indices 0 0 0 2 0 0 0 7
The Seven-League Scheme: Deep learning for large time step Monte Carlo simulations of stochastic differential equations 0 0 0 9 0 0 0 22
The social discount rate under a stochastic A2 scenario 0 0 0 18 0 1 2 331
Two-dimensional Fourier cosine series expansion method for pricing financial options 0 1 2 58 0 2 5 224
Valuation of electricity storage contracts using the COS method 0 0 0 3 0 0 1 6
Total Working Papers 5 15 44 1,261 15 48 169 3,727

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A LOW-BIAS SIMULATION SCHEME FOR THE SABR STOCHASTIC VOLATILITY MODEL 0 0 0 5 1 1 3 25
A computational approach to hedging Credit Valuation Adjustment in a jump-diffusion setting 0 0 0 2 0 0 2 14
A deep learning approach for computations of exposure profiles for high-dimensional Bermudan options 0 0 0 1 0 2 3 15
A novel Monte Carlo approach to hybrid local volatility models 0 0 0 3 0 2 4 16
ANALYTICAL APPROXIMATION TO CONSTANT MATURITY SWAP CONVEXITY CORRECTIONS IN A MULTI-FACTOR SABR MODEL 2 2 2 5 3 4 4 28
Accurate and Robust Numerical Methods for the Dynamic Portfolio Management Problem 0 0 2 9 0 0 2 35
Between ℙ and ℚ: The ℙ ℚ Measure for Pricing in Asset Liability Management 0 0 0 11 0 2 4 53
COLLOCATING VOLATILITY: A COMPETITIVE ALTERNATIVE TO STOCHASTIC LOCAL VOLATILITY MODELS 0 0 1 4 0 0 2 17
COMPUTING CREDIT VALUATION ADJUSTMENT FOR BERMUDAN OPTIONS WITH WRONG WAY RISK 0 0 0 7 0 0 2 32
Corrigendum to ``Total value adjustment for a stochastic volatility model. A comparison with the Black–Scholes model'' 1 1 1 3 1 1 3 8
Counterparty Credit Exposures for Interest Rate Derivatives using the Stochastic Grid Bundling Method 0 0 0 5 0 3 5 20
Decision-support tool for assessing future nuclear reactor generation portfolios 0 0 1 4 0 0 2 44
Deep learning for CVA computations of large portfolios of financial derivatives 1 1 2 6 1 2 10 21
EFFICIENT COMPUTATION OF EXPOSURE PROFILES FOR COUNTERPARTY CREDIT RISK 0 0 0 3 0 1 2 26
Efficient portfolio valuation incorporating liquidity risk 0 0 0 2 0 1 3 16
Extension of stochastic volatility equity models with the Hull--White interest rate process 0 0 0 27 0 0 0 106
Fast and accurate exercise policies for Bermudan swaptions in the LIBOR market model 0 0 0 2 0 0 1 16
Financial Option Valuation by Unsupervised Learning with Artificial Neural Networks 0 0 0 1 0 0 3 14
From Concentration Profiles to Concentration Maps. New tools for the study of loss distributions 0 0 0 9 0 0 0 41
Lorenz-generated bivariate Archimedean copulas 0 0 0 2 0 0 0 4
Model-Free Stochastic Collocation for an Arbitrage-Free Implied Volatility, Part II 0 0 0 16 0 0 4 86
Model-free stochastic collocation for an arbitrage-free implied volatility: Part I 0 0 2 17 0 0 6 60
Multi-period mean–variance portfolio optimization based on Monte-Carlo simulation 0 0 5 98 0 1 11 353
ON ROBUST MULTI-PERIOD PRE-COMMITMENT AND TIME-CONSISTENT MEAN-VARIANCE PORTFOLIO OPTIMIZATION 0 0 1 8 0 0 2 37
On American Options Under the Variance Gamma Process 0 0 1 93 0 0 1 268
On Cross-Currency Models with Stochastic Volatility and Correlated Interest Rates 0 0 1 16 1 2 3 131
On a one time-step Monte Carlo simulation approach of the SABR model: Application to European options 0 0 0 9 0 0 1 24
On an efficient multiple time step Monte Carlo simulation of the SABR model 0 0 0 2 0 0 1 16
On pre-commitment aspects of a time-consistent strategy for a mean-variance investor 0 0 1 7 0 0 4 53
On the data-driven COS method 0 0 2 4 0 0 3 49
On the modelling of nested risk-neutral stochastic processes with applications in insurance 0 0 0 0 0 1 2 9
Pricing Options and Computing Implied Volatilities using Neural Networks 0 0 0 32 2 4 9 169
Pricing inflation products with stochastic volatility and stochastic interest rates 0 0 2 14 0 0 7 80
THE HESTON STOCHASTIC-LOCAL VOLATILITY MODEL: EFFICIENT MONTE CARLO SIMULATION 0 1 5 27 2 4 17 121
THE TIME-DEPENDENT FX-SABR MODEL: EFFICIENT CALIBRATION BASED ON EFFECTIVE PARAMETERS 0 0 0 7 0 1 4 48
The Seven-League Scheme: Deep Learning for Large Time Step Monte Carlo Simulations of Stochastic Differential Equations 0 0 0 1 0 1 2 11
The Stochastic Grid Bundling Method: Efficient pricing of Bermudan options and their Greeks 1 1 1 14 1 1 3 53
The affine Heston model with correlated Gaussian interest rates for pricing hybrid derivatives 0 0 0 1 0 0 0 29
The stochastic collocation Monte Carlo sampler: highly efficient sampling from ‘expensive’ distributions 0 0 0 4 0 0 3 18
Total value adjustment for a stochastic volatility model. A comparison with the Black–Scholes model 0 0 0 1 0 0 2 14
Valuation of electricity storage contracts using the COS method 0 0 0 0 0 0 0 4
Valuing modular nuclear power plants in finite time decision horizon 0 0 2 13 0 0 3 87
Total Journal Articles 5 6 32 495 12 34 143 2,271

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