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 1 7 0 1 10 33
A NOVEL PRICING METHOD FOR EUROPEAN OPTIONS BASED ON FOURIER-COSINE SERIES EXPANSIONS 0 1 4 271 0 3 36 644
A NOVEL PRICING METHOD FOR EUROPEAN OPTIONS BASED ON FOURIER-COSINE SERIES EXPANSIONS 2 3 19 174 5 11 88 571
A deep learning approach for computations of exposure profiles for high-dimensional Bermudan options 0 0 0 39 1 1 16 36
A fast and accurate FFT-based method for pricing early-exercise options under Lévy processes 0 1 1 154 1 2 25 469
A neural network-based framework for financial model calibration 0 0 1 26 1 2 31 136
A new self-exciting jump-diffusion process for option pricing 0 0 1 14 1 2 11 39
Actuariële wetenschappen en financiële wiskunde: op weg naar convergentie? 0 0 0 2 0 0 2 22
An Equity-Interest Rate Hybrid Model With Stochastic Volatility and the Interest Rate Smile 0 0 1 103 1 1 22 338
Deep learning for CVA computations of large portfolios of financial derivatives 0 0 0 14 1 1 6 22
Efficient Computation of Various Valuation Adjustments Under Local L\'evy Models 0 0 0 1 1 2 11 29
Financial option valuation by unsupervised learning with artificial neural networks 0 0 0 12 1 1 12 31
Monte Carlo Calculation of Exposure Profiles and Greeks for Bermudan and Barrier Options under the Heston Hull-White Model 0 0 1 21 1 1 16 71
Monte Carlo Simulation of SDEs using GANs 0 0 0 8 1 1 6 40
On Calibration Neural Networks for extracting implied information from American options 0 0 0 18 0 1 13 39
On The Heston Model with Stochastic Interest Rates 0 0 0 91 0 1 26 296
On cross-currency models with stochastic volatility and correlated interest rates 1 1 3 73 1 5 23 244
On the wavelets-based SWIFT method for backward stochastic differential equations 0 0 0 4 1 1 20 34
Positive Stochastic Collocation for the Collocated Local Volatility Model 0 0 0 11 0 0 5 12
Pricing Bermudan options under local L\'evy models with default 0 0 0 7 0 1 6 33
Pricing Early-Exercise and Discrete Barrier Options by Fourier-Cosine Series Expansions 0 0 1 113 0 1 18 325
Pricing and Hedging Prepayment Risk in a Mortgage Portfolio 0 0 0 19 2 3 15 66
Pricing options and computing implied volatilities using neural networks 0 0 0 22 1 1 23 94
Relevance of Wrong-Way Risk in Funding Valuation Adjustments 0 0 0 7 0 1 9 18
Rule-based Strategies for Dynamic Life Cycle Investment 0 0 0 9 3 3 6 15
Solution of integrals with fractional Brownian motion for different Hurst indices 0 0 0 2 1 1 13 21
The Seven-League Scheme: Deep learning for large time step Monte Carlo simulations of stochastic differential equations 0 0 0 9 0 0 12 35
The social discount rate under a stochastic A2 scenario 0 0 2 22 0 0 20 358
Two-dimensional Fourier cosine series expansion method for pricing financial options 0 0 6 65 1 4 34 262
Valuation of electricity storage contracts using the COS method 0 0 0 3 1 1 10 17
Total Working Papers 3 6 41 1,321 26 53 545 4,350

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 1 1 6 1 3 19 45
A computational approach to hedging Credit Valuation Adjustment in a jump-diffusion setting 0 0 0 2 0 0 10 24
A deep learning approach for computations of exposure profiles for high-dimensional Bermudan options 0 0 0 1 2 2 12 27
A novel Monte Carlo approach to hybrid local volatility models 0 0 0 3 1 3 14 30
ANALYTICAL APPROXIMATION TO CONSTANT MATURITY SWAP CONVEXITY CORRECTIONS IN A MULTI-FACTOR SABR MODEL 1 1 1 6 1 1 12 40
Accurate and Robust Numerical Methods for the Dynamic Portfolio Management Problem 0 0 0 9 0 2 17 53
Between ℙ and ℚ: The ℙ ℚ Measure for Pricing in Asset Liability Management 0 0 0 11 1 2 9 63
COLLOCATING VOLATILITY: A COMPETITIVE ALTERNATIVE TO STOCHASTIC LOCAL VOLATILITY MODELS 0 0 0 4 0 1 13 30
COMPUTING CREDIT VALUATION ADJUSTMENT FOR BERMUDAN OPTIONS WITH WRONG WAY RISK 0 0 1 8 0 0 8 40
Corrigendum to ``Total value adjustment for a stochastic volatility model. A comparison with the Black–Scholes model'' 0 0 0 3 0 0 5 14
Counterparty Credit Exposures for Interest Rate Derivatives using the Stochastic Grid Bundling Method 0 0 0 5 0 0 11 32
Decision-support tool for assessing future nuclear reactor generation portfolios 0 0 0 4 0 0 13 57
Deep learning for CVA computations of large portfolios of financial derivatives 0 0 2 8 0 0 15 38
EFFICIENT COMPUTATION OF EXPOSURE PROFILES FOR COUNTERPARTY CREDIT RISK 0 0 0 3 1 1 7 33
Efficient portfolio valuation incorporating liquidity risk 0 0 0 3 0 0 10 28
Extension of stochastic volatility equity models with the Hull--White interest rate process 0 0 1 28 0 0 18 129
Fast and accurate exercise policies for Bermudan swaptions in the LIBOR market model 0 0 0 2 0 2 13 30
Financial Option Valuation by Unsupervised Learning with Artificial Neural Networks 0 0 0 1 0 0 12 29
From Concentration Profiles to Concentration Maps. New tools for the study of loss distributions 0 0 0 9 0 1 14 55
Lorenz-generated bivariate Archimedean copulas 0 0 1 3 1 1 17 21
Model-Free Stochastic Collocation for an Arbitrage-Free Implied Volatility, Part II 0 1 4 21 0 1 20 107
Model-free stochastic collocation for an arbitrage-free implied volatility: Part I 1 3 6 23 2 5 16 76
Multi-period mean–variance portfolio optimization based on Monte-Carlo simulation 0 1 4 103 0 1 16 375
ON ROBUST MULTI-PERIOD PRE-COMMITMENT AND TIME-CONSISTENT MEAN-VARIANCE PORTFOLIO OPTIMIZATION 0 0 0 8 0 1 5 43
On American Options Under the Variance Gamma Process 0 0 0 93 1 5 25 293
On Cross-Currency Models with Stochastic Volatility and Correlated Interest Rates 0 0 0 16 3 3 8 141
On a one time-step Monte Carlo simulation approach of the SABR model: Application to European options 0 0 0 10 0 2 22 48
On an efficient multiple time step Monte Carlo simulation of the SABR model 0 0 0 3 0 0 17 34
On pre-commitment aspects of a time-consistent strategy for a mean-variance investor 0 0 0 7 1 1 5 59
On the data-driven COS method 1 1 1 5 1 3 11 60
On the modelling of nested risk-neutral stochastic processes with applications in insurance 0 1 1 1 1 2 16 26
Pricing Options and Computing Implied Volatilities using Neural Networks 0 0 0 32 0 0 17 190
Pricing inflation products with stochastic volatility and stochastic interest rates 0 0 1 15 2 3 12 93
THE HESTON STOCHASTIC-LOCAL VOLATILITY MODEL: EFFICIENT MONTE CARLO SIMULATION 0 1 3 31 1 4 29 155
THE TIME-DEPENDENT FX-SABR MODEL: EFFICIENT CALIBRATION BASED ON EFFECTIVE PARAMETERS 0 0 2 9 1 2 17 66
The Seven-League Scheme: Deep Learning for Large Time Step Monte Carlo Simulations of Stochastic Differential Equations 0 0 0 1 0 0 6 17
The Stochastic Grid Bundling Method: Efficient pricing of Bermudan options and their Greeks 0 0 0 15 1 1 13 68
The affine Heston model with correlated Gaussian interest rates for pricing hybrid derivatives 0 0 0 2 1 2 13 44
The stochastic collocation Monte Carlo sampler: highly efficient sampling from ‘expensive’ distributions 0 0 2 6 0 2 20 39
Total value adjustment for a stochastic volatility model. A comparison with the Black–Scholes model 0 0 0 1 1 2 8 23
Valuation of electricity storage contracts using the COS method 0 0 0 0 1 1 9 13
Valuing modular nuclear power plants in finite time decision horizon 0 0 0 13 0 0 18 107
Total Journal Articles 3 10 31 534 25 60 572 2,895

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