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 2 5 6 28
A NOVEL PRICING METHOD FOR EUROPEAN OPTIONS BASED ON FOURIER-COSINE SERIES EXPANSIONS 0 1 4 268 5 12 25 620
A NOVEL PRICING METHOD FOR EUROPEAN OPTIONS BASED ON FOURIER-COSINE SERIES EXPANSIONS 2 6 30 162 10 31 108 519
A deep learning approach for computations of exposure profiles for high-dimensional Bermudan options 0 0 0 39 3 8 10 28
A fast and accurate FFT-based method for pricing early-exercise options under Lévy processes 0 0 1 153 5 11 20 458
A neural network-based framework for financial model calibration 0 1 2 26 9 14 18 120
A new self-exciting jump-diffusion process for option pricing 0 1 1 14 1 3 5 31
Actuariële wetenschappen en financiële wiskunde: op weg naar convergentie? 0 0 0 2 0 0 0 20
An Equity-Interest Rate Hybrid Model With Stochastic Volatility and the Interest Rate Smile 0 1 2 103 2 6 10 323
Deep learning for CVA computations of large portfolios of financial derivatives 0 0 0 14 0 2 2 18
Efficient Computation of Various Valuation Adjustments Under Local L\'evy Models 0 0 0 1 3 5 6 23
Financial option valuation by unsupervised learning with artificial neural networks 0 0 0 12 2 3 6 22
Monte Carlo Calculation of Exposure Profiles and Greeks for Bermudan and Barrier Options under the Heston Hull-White Model 0 0 0 20 0 3 6 60
Monte Carlo Simulation of SDEs using GANs 0 0 0 8 1 4 4 38
On Calibration Neural Networks for extracting implied information from American options 0 0 0 18 1 2 4 28
On The Heston Model with Stochastic Interest Rates 0 0 0 91 3 6 6 276
On cross-currency models with stochastic volatility and correlated interest rates 0 1 3 71 0 3 10 224
On the wavelets-based SWIFT method for backward stochastic differential equations 0 0 0 4 9 10 12 24
Positive Stochastic Collocation for the Collocated Local Volatility Model 0 0 0 11 1 3 3 10
Pricing Bermudan options under local L\'evy models with default 0 0 0 7 1 3 3 30
Pricing Early-Exercise and Discrete Barrier Options by Fourier-Cosine Series Expansions 0 0 1 112 1 2 5 309
Pricing and Hedging Prepayment Risk in a Mortgage Portfolio 0 0 0 19 2 3 3 54
Pricing options and computing implied volatilities using neural networks 0 0 0 22 5 14 15 85
Relevance of Wrong-Way Risk in Funding Valuation Adjustments 0 0 0 7 0 1 2 10
Rule-based Strategies for Dynamic Life Cycle Investment 0 0 0 9 1 2 2 11
Solution of integrals with fractional Brownian motion for different Hurst indices 0 0 0 2 4 7 8 15
The Seven-League Scheme: Deep learning for large time step Monte Carlo simulations of stochastic differential equations 0 0 0 9 1 1 2 24
The social discount rate under a stochastic A2 scenario 0 2 4 22 5 11 19 349
Two-dimensional Fourier cosine series expansion method for pricing financial options 4 4 7 64 11 12 20 241
Valuation of electricity storage contracts using the COS method 0 0 0 3 2 6 7 13
Total Working Papers 6 17 55 1,299 90 193 347 4,011

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 2 9 11 35
A computational approach to hedging Credit Valuation Adjustment in a jump-diffusion setting 0 0 0 2 1 2 4 18
A deep learning approach for computations of exposure profiles for high-dimensional Bermudan options 0 0 0 1 1 2 4 17
A novel Monte Carlo approach to hybrid local volatility models 0 0 0 3 2 4 6 20
ANALYTICAL APPROXIMATION TO CONSTANT MATURITY SWAP CONVEXITY CORRECTIONS IN A MULTI-FACTOR SABR MODEL 0 0 2 5 0 2 6 30
Accurate and Robust Numerical Methods for the Dynamic Portfolio Management Problem 0 0 1 9 2 4 6 40
Between ℙ and ℚ: The ℙ ℚ Measure for Pricing in Asset Liability Management 0 0 0 11 1 2 5 56
COLLOCATING VOLATILITY: A COMPETITIVE ALTERNATIVE TO STOCHASTIC LOCAL VOLATILITY MODELS 0 0 0 4 5 6 6 23
COMPUTING CREDIT VALUATION ADJUSTMENT FOR BERMUDAN OPTIONS WITH WRONG WAY RISK 0 0 0 7 2 4 4 36
Corrigendum to ``Total value adjustment for a stochastic volatility model. A comparison with the Black–Scholes model'' 0 0 1 3 1 1 3 10
Counterparty Credit Exposures for Interest Rate Derivatives using the Stochastic Grid Bundling Method 0 0 0 5 3 4 8 25
Decision-support tool for assessing future nuclear reactor generation portfolios 0 0 0 4 0 1 1 45
Deep learning for CVA computations of large portfolios of financial derivatives 1 1 3 8 1 8 16 33
EFFICIENT COMPUTATION OF EXPOSURE PROFILES FOR COUNTERPARTY CREDIT RISK 0 0 0 3 2 3 4 29
Efficient portfolio valuation incorporating liquidity risk 0 0 1 3 1 2 5 20
Extension of stochastic volatility equity models with the Hull--White interest rate process 0 0 0 27 1 5 10 116
Fast and accurate exercise policies for Bermudan swaptions in the LIBOR market model 0 0 0 2 0 3 4 20
Financial Option Valuation by Unsupervised Learning with Artificial Neural Networks 0 0 0 1 3 5 8 22
From Concentration Profiles to Concentration Maps. New tools for the study of loss distributions 0 0 0 9 0 1 1 42
Lorenz-generated bivariate Archimedean copulas 0 1 1 3 1 5 6 10
Model-Free Stochastic Collocation for an Arbitrage-Free Implied Volatility, Part II 0 0 1 17 4 5 6 92
Model-free stochastic collocation for an arbitrage-free implied volatility: Part I 0 0 1 17 1 5 6 65
Multi-period mean–variance portfolio optimization based on Monte-Carlo simulation 0 0 1 99 2 2 9 361
ON ROBUST MULTI-PERIOD PRE-COMMITMENT AND TIME-CONSISTENT MEAN-VARIANCE PORTFOLIO OPTIMIZATION 0 0 0 8 1 2 3 40
On American Options Under the Variance Gamma Process 0 0 0 93 1 6 9 277
On Cross-Currency Models with Stochastic Volatility and Correlated Interest Rates 0 0 0 16 0 2 6 135
On a one time-step Monte Carlo simulation approach of the SABR model: Application to European options 0 0 1 10 1 2 4 28
On an efficient multiple time step Monte Carlo simulation of the SABR model 0 0 1 3 1 4 5 21
On pre-commitment aspects of a time-consistent strategy for a mean-variance investor 0 0 0 7 0 0 1 54
On the data-driven COS method 0 0 0 4 1 2 2 51
On the modelling of nested risk-neutral stochastic processes with applications in insurance 0 0 0 0 0 1 3 11
Pricing Options and Computing Implied Volatilities using Neural Networks 0 0 0 32 2 5 14 178
Pricing inflation products with stochastic volatility and stochastic interest rates 0 1 1 15 1 2 3 83
THE HESTON STOCHASTIC-LOCAL VOLATILITY MODEL: EFFICIENT MONTE CARLO SIMULATION 1 1 3 29 1 8 17 134
THE TIME-DEPENDENT FX-SABR MODEL: EFFICIENT CALIBRATION BASED ON EFFECTIVE PARAMETERS 0 1 1 8 1 4 6 53
The Seven-League Scheme: Deep Learning for Large Time Step Monte Carlo Simulations of Stochastic Differential Equations 0 0 0 1 0 0 1 11
The Stochastic Grid Bundling Method: Efficient pricing of Bermudan options and their Greeks 0 0 2 15 1 7 10 62
The affine Heston model with correlated Gaussian interest rates for pricing hybrid derivatives 0 0 1 2 1 3 5 34
The stochastic collocation Monte Carlo sampler: highly efficient sampling from ‘expensive’ distributions 0 0 0 4 2 3 5 22
Total value adjustment for a stochastic volatility model. A comparison with the Black–Scholes model 0 0 0 1 1 1 2 16
Valuation of electricity storage contracts using the COS method 0 0 0 0 2 6 6 10
Valuing modular nuclear power plants in finite time decision horizon 0 0 0 13 3 6 9 96
Total Journal Articles 2 5 22 509 56 149 250 2,481

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Statistics updated 2026-01-09