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 1 1 1 7 1 5 9 31
A NOVEL PRICING METHOD FOR EUROPEAN OPTIONS BASED ON FOURIER-COSINE SERIES EXPANSIONS 1 3 25 163 3 19 101 528
A NOVEL PRICING METHOD FOR EUROPEAN OPTIONS BASED ON FOURIER-COSINE SERIES EXPANSIONS 0 1 5 269 2 15 30 630
A deep learning approach for computations of exposure profiles for high-dimensional Bermudan options 0 0 0 39 0 5 11 30
A fast and accurate FFT-based method for pricing early-exercise options under Lévy processes 0 0 1 153 3 9 23 462
A neural network-based framework for financial model calibration 0 0 2 26 5 17 26 128
A new self-exciting jump-diffusion process for option pricing 0 0 1 14 0 3 6 33
Actuariële wetenschappen en financiële wiskunde: op weg naar convergentie? 0 0 0 2 1 1 1 21
An Equity-Interest Rate Hybrid Model With Stochastic Volatility and the Interest Rate Smile 0 0 2 103 2 9 17 330
Deep learning for CVA computations of large portfolios of financial derivatives 0 0 0 14 0 1 3 19
Efficient Computation of Various Valuation Adjustments Under Local L\'evy Models 0 0 0 1 1 6 9 26
Financial option valuation by unsupervised learning with artificial neural networks 0 0 0 12 0 6 9 26
Monte Carlo Calculation of Exposure Profiles and Greeks for Bermudan and Barrier Options under the Heston Hull-White Model 0 0 0 20 1 4 10 64
Monte Carlo Simulation of SDEs using GANs 0 0 0 8 0 1 4 38
On Calibration Neural Networks for extracting implied information from American options 0 0 0 18 1 6 9 33
On The Heston Model with Stochastic Interest Rates 0 0 0 91 3 14 17 287
On cross-currency models with stochastic volatility and correlated interest rates 0 1 2 72 2 11 17 235
On the wavelets-based SWIFT method for backward stochastic differential equations 0 0 0 4 0 14 17 29
Positive Stochastic Collocation for the Collocated Local Volatility Model 0 0 0 11 0 3 5 12
Pricing Bermudan options under local L\'evy models with default 0 0 0 7 0 1 3 30
Pricing Early-Exercise and Discrete Barrier Options by Fourier-Cosine Series Expansions 0 0 1 112 1 9 13 317
Pricing and Hedging Prepayment Risk in a Mortgage Portfolio 0 0 0 19 3 7 8 59
Pricing options and computing implied volatilities using neural networks 0 0 0 22 2 10 19 90
Relevance of Wrong-Way Risk in Funding Valuation Adjustments 0 0 0 7 0 7 9 17
Rule-based Strategies for Dynamic Life Cycle Investment 0 0 0 9 0 1 2 11
Solution of integrals with fractional Brownian motion for different Hurst indices 0 0 0 2 0 6 10 17
The Seven-League Scheme: Deep learning for large time step Monte Carlo simulations of stochastic differential equations 0 0 0 9 0 3 4 26
The social discount rate under a stochastic A2 scenario 0 0 4 22 2 10 23 354
Two-dimensional Fourier cosine series expansion method for pricing financial options 0 5 7 65 1 24 30 254
Valuation of electricity storage contracts using the COS method 0 0 0 3 1 4 9 15
Total Working Papers 2 11 51 1,304 35 231 454 4,152

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 6 15 39
A computational approach to hedging Credit Valuation Adjustment in a jump-diffusion setting 0 0 0 2 1 5 8 22
A deep learning approach for computations of exposure profiles for high-dimensional Bermudan options 0 0 0 1 0 3 5 19
A novel Monte Carlo approach to hybrid local volatility models 0 0 0 3 0 4 8 22
ANALYTICAL APPROXIMATION TO CONSTANT MATURITY SWAP CONVEXITY CORRECTIONS IN A MULTI-FACTOR SABR MODEL 0 0 2 5 1 4 9 34
Accurate and Robust Numerical Methods for the Dynamic Portfolio Management Problem 0 0 0 9 1 6 9 44
Between ℙ and ℚ: The ℙ ℚ Measure for Pricing in Asset Liability Management 0 0 0 11 0 2 4 57
COLLOCATING VOLATILITY: A COMPETITIVE ALTERNATIVE TO STOCHASTIC LOCAL VOLATILITY MODELS 0 0 0 4 2 9 10 27
COMPUTING CREDIT VALUATION ADJUSTMENT FOR BERMUDAN OPTIONS WITH WRONG WAY RISK 0 0 0 7 0 5 7 39
Corrigendum to ``Total value adjustment for a stochastic volatility model. A comparison with the Black–Scholes model'' 0 0 1 3 0 4 6 13
Counterparty Credit Exposures for Interest Rate Derivatives using the Stochastic Grid Bundling Method 0 0 0 5 1 7 10 29
Decision-support tool for assessing future nuclear reactor generation portfolios 0 0 0 4 2 5 6 50
Deep learning for CVA computations of large portfolios of financial derivatives 0 1 3 8 2 5 18 37
EFFICIENT COMPUTATION OF EXPOSURE PROFILES FOR COUNTERPARTY CREDIT RISK 0 0 0 3 0 3 5 30
Efficient portfolio valuation incorporating liquidity risk 0 0 1 3 2 5 8 24
Extension of stochastic volatility equity models with the Hull--White interest rate process 1 1 1 28 2 10 19 125
Fast and accurate exercise policies for Bermudan swaptions in the LIBOR market model 0 0 0 2 0 2 6 22
Financial Option Valuation by Unsupervised Learning with Artificial Neural Networks 0 0 0 1 2 8 13 27
From Concentration Profiles to Concentration Maps. New tools for the study of loss distributions 0 0 0 9 5 8 9 50
Lorenz-generated bivariate Archimedean copulas 0 0 1 3 2 6 11 15
Model-Free Stochastic Collocation for an Arbitrage-Free Implied Volatility, Part II 0 1 2 18 1 10 12 98
Model-free stochastic collocation for an arbitrage-free implied volatility: Part I 0 0 0 17 1 2 6 66
Multi-period mean–variance portfolio optimization based on Monte-Carlo simulation 1 2 3 101 3 9 16 368
ON ROBUST MULTI-PERIOD PRE-COMMITMENT AND TIME-CONSISTENT MEAN-VARIANCE PORTFOLIO OPTIMIZATION 0 0 0 8 0 1 3 40
On American Options Under the Variance Gamma Process 0 0 0 93 1 9 17 285
On Cross-Currency Models with Stochastic Volatility and Correlated Interest Rates 0 0 0 16 0 2 7 137
On a one time-step Monte Carlo simulation approach of the SABR model: Application to European options 0 0 1 10 2 9 12 36
On an efficient multiple time step Monte Carlo simulation of the SABR model 0 0 1 3 3 7 11 27
On pre-commitment aspects of a time-consistent strategy for a mean-variance investor 0 0 0 7 0 1 2 55
On the data-driven COS method 0 0 0 4 2 5 6 55
On the modelling of nested risk-neutral stochastic processes with applications in insurance 0 0 0 0 2 7 9 18
Pricing Options and Computing Implied Volatilities using Neural Networks 0 0 0 32 1 8 17 184
Pricing inflation products with stochastic volatility and stochastic interest rates 0 0 1 15 1 2 4 84
THE HESTON STOCHASTIC-LOCAL VOLATILITY MODEL: EFFICIENT MONTE CARLO SIMULATION 0 1 3 29 2 7 22 140
THE TIME-DEPENDENT FX-SABR MODEL: EFFICIENT CALIBRATION BASED ON EFFECTIVE PARAMETERS 0 0 1 8 0 7 11 59
The Seven-League Scheme: Deep Learning for Large Time Step Monte Carlo Simulations of Stochastic Differential Equations 0 0 0 1 0 1 1 12
The Stochastic Grid Bundling Method: Efficient pricing of Bermudan options and their Greeks 0 0 2 15 0 3 12 64
The affine Heston model with correlated Gaussian interest rates for pricing hybrid derivatives 0 0 1 2 2 6 10 39
The stochastic collocation Monte Carlo sampler: highly efficient sampling from ‘expensive’ distributions 1 1 1 5 1 6 8 26
Total value adjustment for a stochastic volatility model. A comparison with the Black–Scholes model 0 0 0 1 0 4 5 19
Valuation of electricity storage contracts using the COS method 0 0 0 0 0 2 6 10
Valuing modular nuclear power plants in finite time decision horizon 0 0 0 13 0 8 14 101
Total Journal Articles 3 7 25 514 45 223 397 2,648

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Statistics updated 2026-03-04