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 NOVEL PRICING METHOD FOR EUROPEAN OPTIONS BASED ON FOURIER-COSINE SERIES EXPANSIONS 1 2 9 90 3 14 43 272
A NOVEL PRICING METHOD FOR EUROPEAN OPTIONS BASED ON FOURIER-COSINE SERIES EXPANSIONS 1 1 10 252 3 7 24 553
A deep learning approach for computations of exposure profiles for high-dimensional Bermudan options 0 0 33 33 0 1 8 8
A fast and accurate FFT-based method for pricing early-exercise options under Lévy processes 0 0 1 139 3 5 9 407
A neural network-based framework for financial model calibration 1 1 4 11 2 4 35 49
Actuariële wetenschappen en financiële wiskunde: op weg naar convergentie? 0 0 0 0 1 1 3 11
An Equity-Interest Rate Hybrid Model With Stochastic Volatility and the Interest Rate Smile 1 1 2 90 3 4 10 270
Efficient Computation of Various Valuation Adjustments Under Local L\'evy Models 0 0 0 0 0 0 4 8
Monte Carlo Calculation of Exposure Profiles and Greeks for Bermudan and Barrier Options under the Heston Hull-White Model 0 0 2 15 0 1 8 35
On Calibration Neural Networks for extracting implied information from American options 0 0 16 16 0 2 7 7
On The Heston Model with Stochastic Interest Rates 0 1 5 89 0 1 11 256
On cross-currency models with stochastic volatility and correlated interest rates 0 0 0 65 0 3 6 190
On the wavelets-based SWIFT method for backward stochastic differential equations 0 0 0 3 0 0 2 3
Pricing Bermudan options under local L\'evy models with default 0 0 0 7 0 0 7 23
Pricing Early-Exercise and Discrete Barrier Options by Fourier-Cosine Series Expansions 0 0 1 106 1 1 8 289
Pricing options and computing implied volatilities using neural networks 1 2 3 15 2 5 12 20
The social discount rate under a stochastic A2 scenario 0 0 0 0 0 3 3 3
Two-dimensional Fourier cosine series expansion method for pricing financial options 0 0 0 0 0 0 0 0
Total Working Papers 5 8 86 931 18 52 200 2,404


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 1 1 2 2 7
A novel Monte Carlo approach to hybrid local volatility models 0 0 0 2 0 0 1 8
ANALYTICAL APPROXIMATION TO CONSTANT MATURITY SWAP CONVEXITY CORRECTIONS IN A MULTI-FACTOR SABR MODEL 0 0 1 2 0 0 1 14
Accurate and Robust Numerical Methods for the Dynamic Portfolio Management Problem 0 0 1 4 0 0 4 19
Between ℙ and ℚ: The ℙ ℚ Measure for Pricing in Asset Liability Management 0 2 3 6 2 6 22 32
COMPUTING CREDIT VALUATION ADJUSTMENT FOR BERMUDAN OPTIONS WITH WRONG WAY RISK 0 0 2 5 0 0 9 22
Counterparty Credit Exposures for Interest Rate Derivatives using the Stochastic Grid Bundling Method 0 0 2 2 0 0 4 7
Decision-support tool for assessing future nuclear reactor generation portfolios 0 0 0 2 0 2 6 28
EFFICIENT COMPUTATION OF EXPOSURE PROFILES FOR COUNTERPARTY CREDIT RISK 0 1 1 2 0 1 3 15
Efficient portfolio valuation incorporating liquidity risk 0 0 0 2 0 0 1 11
Extension of stochastic volatility equity models with the Hull--White interest rate process 0 0 3 22 0 1 10 87
Fast and accurate exercise policies for Bermudan swaptions in the LIBOR market model 0 0 0 2 0 2 4 13
From Concentration Profiles to Concentration Maps. New tools for the study of loss distributions 0 0 2 6 1 4 9 29
Model-Free Stochastic Collocation for an Arbitrage-Free Implied Volatility, Part II 0 0 5 6 4 7 35 44
Model-free stochastic collocation for an arbitrage-free implied volatility: Part I 0 0 5 5 2 3 21 21
Multi-period mean–variance portfolio optimization based on Monte-Carlo simulation 1 1 5 62 6 12 37 229
ON ROBUST MULTI-PERIOD PRE-COMMITMENT AND TIME-CONSISTENT MEAN-VARIANCE PORTFOLIO OPTIMIZATION 0 0 1 2 1 1 6 19
On American Options Under the Variance Gamma Process 0 0 1 88 0 1 4 259
On Cross-Currency Models with Stochastic Volatility and Correlated Interest Rates 0 0 0 12 0 3 6 116
On a one time-step Monte Carlo simulation approach of the SABR model: Application to European options 0 0 1 7 0 0 6 15
On an efficient multiple time step Monte Carlo simulation of the SABR model 0 0 0 2 0 0 2 13
On pre-commitment aspects of a time-consistent strategy for a mean-variance investor 0 0 0 4 0 1 2 36
On the data-driven COS method 0 0 0 1 0 0 2 13
On the modelling of nested risk-neutral stochastic processes with applications in insurance 0 0 0 0 0 1 2 5
Pricing Options and Computing Implied Volatilities using Neural Networks 1 1 12 17 4 8 45 77
Pricing inflation products with stochastic volatility and stochastic interest rates 0 0 1 8 0 2 7 56
THE HESTON STOCHASTIC-LOCAL VOLATILITY MODEL: EFFICIENT MONTE CARLO SIMULATION 0 0 1 6 0 2 13 47
THE TIME-DEPENDENT FX-SABR MODEL: EFFICIENT CALIBRATION BASED ON EFFECTIVE PARAMETERS 0 0 2 3 0 1 15 26
The Stochastic Grid Bundling Method: Efficient pricing of Bermudan options and their Greeks 0 0 2 8 1 1 10 28
The affine Heston model with correlated Gaussian interest rates for pricing hybrid derivatives 0 0 1 1 1 4 20 27
The stochastic collocation Monte Carlo sampler: highly efficient sampling from ‘expensive’ distributions 0 0 0 0 0 0 4 4
Valuing modular nuclear power plants in finite time decision horizon 0 0 0 6 2 3 8 66
Total Journal Articles 2 5 52 296 25 68 321 1,393


Book File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Mathematical Modeling and Computation in Finance:With Exercises and Python and MATLAB Computer Codes 10 32 151 151 22 74 282 282
Total Books 10 32 151 151 22 74 282 282


Statistics updated 2020-11-03