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 32
A NOVEL PRICING METHOD FOR EUROPEAN OPTIONS BASED ON FOURIER-COSINE SERIES EXPANSIONS 3 8 23 171 7 32 105 560
A NOVEL PRICING METHOD FOR EUROPEAN OPTIONS BASED ON FOURIER-COSINE SERIES EXPANSIONS 0 1 4 270 0 11 38 641
A deep learning approach for computations of exposure profiles for high-dimensional Bermudan options 0 0 0 39 0 5 16 35
A fast and accurate FFT-based method for pricing early-exercise options under Lévy processes 0 0 1 153 1 5 26 467
A neural network-based framework for financial model calibration 0 0 2 26 1 6 30 134
A new self-exciting jump-diffusion process for option pricing 0 0 1 14 0 4 10 37
Actuariële wetenschappen en financiële wiskunde: op weg naar convergentie? 0 0 0 2 0 1 2 22
An Equity-Interest Rate Hybrid Model With Stochastic Volatility and the Interest Rate Smile 0 0 2 103 2 7 24 337
Deep learning for CVA computations of large portfolios of financial derivatives 0 0 0 14 0 2 5 21
Efficient Computation of Various Valuation Adjustments Under Local L\'evy Models 0 0 0 1 0 1 10 27
Financial option valuation by unsupervised learning with artificial neural networks 0 0 0 12 1 4 13 30
Monte Carlo Calculation of Exposure Profiles and Greeks for Bermudan and Barrier Options under the Heston Hull-White Model 1 1 1 21 2 6 16 70
Monte Carlo Simulation of SDEs using GANs 0 0 0 8 0 1 5 39
On Calibration Neural Networks for extracting implied information from American options 0 0 0 18 1 5 14 38
On The Heston Model with Stochastic Interest Rates 0 0 0 91 1 8 25 295
On cross-currency models with stochastic volatility and correlated interest rates 0 0 2 72 0 4 19 239
On the wavelets-based SWIFT method for backward stochastic differential equations 0 0 0 4 0 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 0 2 5 32
Pricing Early-Exercise and Discrete Barrier Options by Fourier-Cosine Series Expansions 0 1 2 113 1 7 19 324
Pricing and Hedging Prepayment Risk in a Mortgage Portfolio 0 0 0 19 1 4 12 63
Pricing options and computing implied volatilities using neural networks 0 0 0 22 0 3 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 0 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 0 9 13 35
The social discount rate under a stochastic A2 scenario 0 0 4 22 0 4 27 358
Two-dimensional Fourier cosine series expansion method for pricing financial options 0 0 6 65 1 4 32 258
Valuation of electricity storage contracts using the COS method 0 0 0 3 0 1 10 16
Total Working Papers 4 11 49 1,315 19 145 557 4,297

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 0 3 17 42
A computational approach to hedging Credit Valuation Adjustment in a jump-diffusion setting 0 0 0 2 1 2 10 24
A deep learning approach for computations of exposure profiles for high-dimensional Bermudan options 0 0 0 1 2 6 10 25
A novel Monte Carlo approach to hybrid local volatility models 0 0 0 3 0 5 11 27
ANALYTICAL APPROXIMATION TO CONSTANT MATURITY SWAP CONVEXITY CORRECTIONS IN A MULTI-FACTOR SABR MODEL 0 0 0 5 0 5 11 39
Accurate and Robust Numerical Methods for the Dynamic Portfolio Management Problem 0 0 0 9 4 7 16 51
Between ℙ and ℚ: The ℙ ℚ Measure for Pricing in Asset Liability Management 0 0 0 11 1 4 8 61
COLLOCATING VOLATILITY: A COMPETITIVE ALTERNATIVE TO STOCHASTIC LOCAL VOLATILITY MODELS 0 0 0 4 0 2 12 29
COMPUTING CREDIT VALUATION ADJUSTMENT FOR BERMUDAN OPTIONS WITH WRONG WAY RISK 1 1 1 8 1 1 8 40
Corrigendum to ``Total value adjustment for a stochastic volatility model. A comparison with the Black–Scholes model'' 0 0 0 3 0 1 6 14
Counterparty Credit Exposures for Interest Rate Derivatives using the Stochastic Grid Bundling Method 0 0 0 5 1 3 12 32
Decision-support tool for assessing future nuclear reactor generation portfolios 0 0 0 4 0 7 13 57
Deep learning for CVA computations of large portfolios of financial derivatives 0 0 2 8 0 1 17 38
EFFICIENT COMPUTATION OF EXPOSURE PROFILES FOR COUNTERPARTY CREDIT RISK 0 0 0 3 1 2 6 32
Efficient portfolio valuation incorporating liquidity risk 0 0 0 3 0 4 11 28
Extension of stochastic volatility equity models with the Hull--White interest rate process 0 0 1 28 0 4 23 129
Fast and accurate exercise policies for Bermudan swaptions in the LIBOR market model 0 0 0 2 0 6 12 28
Financial Option Valuation by Unsupervised Learning with Artificial Neural Networks 0 0 0 1 1 2 15 29
From Concentration Profiles to Concentration Maps. New tools for the study of loss distributions 0 0 0 9 0 4 13 54
Lorenz-generated bivariate Archimedean copulas 0 0 1 3 0 5 16 20
Model-Free Stochastic Collocation for an Arbitrage-Free Implied Volatility, Part II 1 2 4 20 4 8 20 106
Model-free stochastic collocation for an arbitrage-free implied volatility: Part I 1 3 3 20 1 5 11 71
Multi-period mean–variance portfolio optimization based on Monte-Carlo simulation 0 1 3 102 1 6 18 374
ON ROBUST MULTI-PERIOD PRE-COMMITMENT AND TIME-CONSISTENT MEAN-VARIANCE PORTFOLIO OPTIMIZATION 0 0 0 8 0 2 5 42
On American Options Under the Variance Gamma Process 0 0 0 93 0 3 20 288
On Cross-Currency Models with Stochastic Volatility and Correlated Interest Rates 0 0 0 16 0 1 6 138
On a one time-step Monte Carlo simulation approach of the SABR model: Application to European options 0 0 0 10 2 10 21 46
On an efficient multiple time step Monte Carlo simulation of the SABR model 0 0 1 3 2 7 18 34
On pre-commitment aspects of a time-consistent strategy for a mean-variance investor 0 0 0 7 2 3 5 58
On the data-driven COS method 0 0 0 4 0 2 8 57
On the modelling of nested risk-neutral stochastic processes with applications in insurance 0 0 0 0 1 6 15 24
Pricing Options and Computing Implied Volatilities using Neural Networks 0 0 0 32 1 6 21 190
Pricing inflation products with stochastic volatility and stochastic interest rates 0 0 1 15 0 6 10 90
THE HESTON STOCHASTIC-LOCAL VOLATILITY MODEL: EFFICIENT MONTE CARLO SIMULATION 0 1 3 30 1 11 27 151
THE TIME-DEPENDENT FX-SABR MODEL: EFFICIENT CALIBRATION BASED ON EFFECTIVE PARAMETERS 0 1 2 9 3 5 16 64
The Seven-League Scheme: Deep Learning for Large Time Step Monte Carlo Simulations of Stochastic Differential Equations 0 0 0 1 1 5 6 17
The Stochastic Grid Bundling Method: Efficient pricing of Bermudan options and their Greeks 0 0 0 15 0 3 13 67
The affine Heston model with correlated Gaussian interest rates for pricing hybrid derivatives 0 0 1 2 0 3 13 42
The stochastic collocation Monte Carlo sampler: highly efficient sampling from ‘expensive’ distributions 1 1 2 6 1 11 19 37
Total value adjustment for a stochastic volatility model. A comparison with the Black–Scholes model 0 0 0 1 0 2 7 21
Valuation of electricity storage contracts using the COS method 0 0 0 0 1 2 8 12
Valuing modular nuclear power plants in finite time decision horizon 0 0 0 13 1 6 19 107
Total Journal Articles 4 10 25 524 34 187 553 2,835

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Statistics updated 2026-06-04