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 1 1 7 1 2 10 32
A NOVEL PRICING METHOD FOR EUROPEAN OPTIONS BASED ON FOURIER-COSINE SERIES EXPANSIONS 1 1 4 270 4 13 39 641
A NOVEL PRICING METHOD FOR EUROPEAN OPTIONS BASED ON FOURIER-COSINE SERIES EXPANSIONS 3 6 24 168 18 28 107 553
A deep learning approach for computations of exposure profiles for high-dimensional Bermudan options 0 0 0 39 4 5 16 35
A fast and accurate FFT-based method for pricing early-exercise options under Lévy processes 0 0 1 153 3 7 25 466
A neural network-based framework for financial model calibration 0 0 2 26 3 10 30 133
A new self-exciting jump-diffusion process for option pricing 0 0 1 14 3 4 10 37
Actuariële wetenschappen en financiële wiskunde: op weg naar convergentie? 0 0 0 2 1 2 2 22
An Equity-Interest Rate Hybrid Model With Stochastic Volatility and the Interest Rate Smile 0 0 2 103 2 7 22 335
Deep learning for CVA computations of large portfolios of financial derivatives 0 0 0 14 1 2 5 21
Efficient Computation of Various Valuation Adjustments Under Local L\'evy Models 0 0 0 1 1 2 10 27
Financial option valuation by unsupervised learning with artificial neural networks 0 0 0 12 3 3 12 29
Monte Carlo Calculation of Exposure Profiles and Greeks for Bermudan and Barrier Options under the Heston Hull-White Model 0 0 0 20 4 5 14 68
Monte Carlo Simulation of SDEs using GANs 0 0 0 8 1 1 5 39
On Calibration Neural Networks for extracting implied information from American options 0 0 0 18 3 5 13 37
On The Heston Model with Stochastic Interest Rates 0 0 0 91 2 10 24 294
On cross-currency models with stochastic volatility and correlated interest rates 0 0 2 72 2 6 19 239
On the wavelets-based SWIFT method for backward stochastic differential equations 0 0 0 4 2 4 19 33
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 2 2 5 32
Pricing Early-Exercise and Discrete Barrier Options by Fourier-Cosine Series Expansions 1 1 2 113 4 7 18 323
Pricing and Hedging Prepayment Risk in a Mortgage Portfolio 0 0 0 19 3 6 11 62
Pricing options and computing implied volatilities using neural networks 0 0 0 22 1 5 22 93
Relevance of Wrong-Way Risk in Funding Valuation Adjustments 0 0 0 7 0 0 9 17
Rule-based Strategies for Dynamic Life Cycle Investment 0 0 0 9 1 1 3 12
Solution of integrals with fractional Brownian motion for different Hurst indices 0 0 0 2 0 3 13 20
The Seven-League Scheme: Deep learning for large time step Monte Carlo simulations of stochastic differential equations 0 0 0 9 4 9 13 35
The social discount rate under a stochastic A2 scenario 0 0 4 22 3 6 27 358
Two-dimensional Fourier cosine series expansion method for pricing financial options 0 0 7 65 2 4 33 257
Valuation of electricity storage contracts using the COS method 0 0 0 3 1 2 10 16
Total Working Papers 5 9 50 1,311 79 161 551 4,278

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 3 3 17 42
A computational approach to hedging Credit Valuation Adjustment in a jump-diffusion setting 0 0 0 2 1 2 9 23
A deep learning approach for computations of exposure profiles for high-dimensional Bermudan options 0 0 0 1 3 4 8 23
A novel Monte Carlo approach to hybrid local volatility models 0 0 0 3 2 5 11 27
ANALYTICAL APPROXIMATION TO CONSTANT MATURITY SWAP CONVEXITY CORRECTIONS IN A MULTI-FACTOR SABR MODEL 0 0 0 5 2 6 11 39
Accurate and Robust Numerical Methods for the Dynamic Portfolio Management Problem 0 0 0 9 1 4 12 47
Between ℙ and ℚ: The ℙ ℚ Measure for Pricing in Asset Liability Management 0 0 0 11 2 3 7 60
COLLOCATING VOLATILITY: A COMPETITIVE ALTERNATIVE TO STOCHASTIC LOCAL VOLATILITY MODELS 0 0 0 4 0 4 12 29
COMPUTING CREDIT VALUATION ADJUSTMENT FOR BERMUDAN OPTIONS WITH WRONG WAY RISK 0 0 0 7 0 0 7 39
Corrigendum to ``Total value adjustment for a stochastic volatility model. A comparison with the Black–Scholes model'' 0 0 0 3 1 1 6 14
Counterparty Credit Exposures for Interest Rate Derivatives using the Stochastic Grid Bundling Method 0 0 0 5 2 3 11 31
Decision-support tool for assessing future nuclear reactor generation portfolios 0 0 0 4 5 9 13 57
Deep learning for CVA computations of large portfolios of financial derivatives 0 0 2 8 1 3 17 38
EFFICIENT COMPUTATION OF EXPOSURE PROFILES FOR COUNTERPARTY CREDIT RISK 0 0 0 3 0 1 5 31
Efficient portfolio valuation incorporating liquidity risk 0 0 1 3 3 6 12 28
Extension of stochastic volatility equity models with the Hull--White interest rate process 0 1 1 28 2 6 23 129
Fast and accurate exercise policies for Bermudan swaptions in the LIBOR market model 0 0 0 2 5 6 12 28
Financial Option Valuation by Unsupervised Learning with Artificial Neural Networks 0 0 0 1 1 3 14 28
From Concentration Profiles to Concentration Maps. New tools for the study of loss distributions 0 0 0 9 3 9 13 54
Lorenz-generated bivariate Archimedean copulas 0 0 1 3 3 7 16 20
Model-Free Stochastic Collocation for an Arbitrage-Free Implied Volatility, Part II 0 1 3 19 2 5 16 102
Model-free stochastic collocation for an arbitrage-free implied volatility: Part I 1 2 2 19 3 5 10 70
Multi-period mean–variance portfolio optimization based on Monte-Carlo simulation 1 2 4 102 4 8 20 373
ON ROBUST MULTI-PERIOD PRE-COMMITMENT AND TIME-CONSISTENT MEAN-VARIANCE PORTFOLIO OPTIMIZATION 0 0 0 8 1 2 5 42
On American Options Under the Variance Gamma Process 0 0 0 93 1 4 20 288
On Cross-Currency Models with Stochastic Volatility and Correlated Interest Rates 0 0 0 16 1 1 7 138
On a one time-step Monte Carlo simulation approach of the SABR model: Application to European options 0 0 1 10 6 10 20 44
On an efficient multiple time step Monte Carlo simulation of the SABR model 0 0 1 3 5 8 16 32
On pre-commitment aspects of a time-consistent strategy for a mean-variance investor 0 0 0 7 1 1 3 56
On the data-driven COS method 0 0 0 4 2 4 8 57
On the modelling of nested risk-neutral stochastic processes with applications in insurance 0 0 0 0 5 7 14 23
Pricing Options and Computing Implied Volatilities using Neural Networks 0 0 0 32 3 6 20 189
Pricing inflation products with stochastic volatility and stochastic interest rates 0 0 1 15 4 7 10 90
THE HESTON STOCHASTIC-LOCAL VOLATILITY MODEL: EFFICIENT MONTE CARLO SIMULATION 0 1 3 30 5 12 29 150
THE TIME-DEPENDENT FX-SABR MODEL: EFFICIENT CALIBRATION BASED ON EFFECTIVE PARAMETERS 1 1 2 9 2 2 13 61
The Seven-League Scheme: Deep Learning for Large Time Step Monte Carlo Simulations of Stochastic Differential Equations 0 0 0 1 3 4 5 16
The Stochastic Grid Bundling Method: Efficient pricing of Bermudan options and their Greeks 0 0 1 15 2 3 14 67
The affine Heston model with correlated Gaussian interest rates for pricing hybrid derivatives 0 0 1 2 3 5 13 42
The stochastic collocation Monte Carlo sampler: highly efficient sampling from ‘expensive’ distributions 0 1 1 5 5 11 18 36
Total value adjustment for a stochastic volatility model. A comparison with the Black–Scholes model 0 0 0 1 1 2 7 21
Valuation of electricity storage contracts using the COS method 0 0 0 0 1 1 7 11
Valuing modular nuclear power plants in finite time decision horizon 0 0 0 13 5 5 19 106
Total Journal Articles 3 9 25 520 105 198 530 2,801

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Statistics updated 2026-05-06