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 0 6 3 3 4 26
A NOVEL PRICING METHOD FOR EUROPEAN OPTIONS BASED ON FOURIER-COSINE SERIES EXPANSIONS 2 5 32 160 7 26 103 509
A NOVEL PRICING METHOD FOR EUROPEAN OPTIONS BASED ON FOURIER-COSINE SERIES EXPANSIONS 1 1 4 268 2 7 21 615
A deep learning approach for computations of exposure profiles for high-dimensional Bermudan options 0 0 0 39 4 5 7 25
A fast and accurate FFT-based method for pricing early-exercise options under Lévy processes 0 0 1 153 0 9 15 453
A neural network-based framework for financial model calibration 1 1 2 26 1 6 9 111
A new self-exciting jump-diffusion process for option pricing 0 1 1 14 1 2 5 30
Actuariële wetenschappen en financiële wiskunde: op weg naar convergentie? 0 0 0 2 0 0 0 20
An Equity-Interest Rate Hybrid Model With Stochastic Volatility and the Interest Rate Smile 1 1 2 103 3 5 8 321
Deep learning for CVA computations of large portfolios of financial derivatives 0 0 0 14 2 2 2 18
Efficient Computation of Various Valuation Adjustments Under Local L\'evy Models 0 0 0 1 1 2 3 20
Financial option valuation by unsupervised learning with artificial neural networks 0 0 0 12 1 1 4 20
Monte Carlo Calculation of Exposure Profiles and Greeks for Bermudan and Barrier Options under the Heston Hull-White Model 0 0 0 20 0 5 6 60
Monte Carlo Simulation of SDEs using GANs 0 0 0 8 1 3 3 37
On Calibration Neural Networks for extracting implied information from American options 0 0 0 18 1 1 3 27
On The Heston Model with Stochastic Interest Rates 0 0 0 91 1 3 3 273
On cross-currency models with stochastic volatility and correlated interest rates 0 1 3 71 0 3 13 224
On the wavelets-based SWIFT method for backward stochastic differential equations 0 0 0 4 0 1 3 15
Positive Stochastic Collocation for the Collocated Local Volatility Model 0 0 0 11 0 2 2 9
Pricing Bermudan options under local L\'evy models with default 0 0 0 7 2 2 2 29
Pricing Early-Exercise and Discrete Barrier Options by Fourier-Cosine Series Expansions 0 0 1 112 0 1 6 308
Pricing and Hedging Prepayment Risk in a Mortgage Portfolio 0 0 0 19 0 1 1 52
Pricing options and computing implied volatilities using neural networks 0 0 0 22 2 9 10 80
Relevance of Wrong-Way Risk in Funding Valuation Adjustments 0 0 0 7 0 1 2 10
Rule-based Strategies for Dynamic Life Cycle Investment 0 0 0 9 1 1 1 10
Solution of integrals with fractional Brownian motion for different Hurst indices 0 0 0 2 2 3 4 11
The Seven-League Scheme: Deep learning for large time step Monte Carlo simulations of stochastic differential equations 0 0 0 9 0 0 1 23
The social discount rate under a stochastic A2 scenario 1 2 4 22 4 6 15 344
Two-dimensional Fourier cosine series expansion method for pricing financial options 0 1 3 60 0 2 9 230
Valuation of electricity storage contracts using the COS method 0 0 0 3 0 4 5 11
Total Working Papers 6 13 53 1,293 39 116 270 3,921

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 7 9 33
A computational approach to hedging Credit Valuation Adjustment in a jump-diffusion setting 0 0 0 2 1 3 3 17
A deep learning approach for computations of exposure profiles for high-dimensional Bermudan options 0 0 0 1 0 1 3 16
A novel Monte Carlo approach to hybrid local volatility models 0 0 0 3 1 2 5 18
ANALYTICAL APPROXIMATION TO CONSTANT MATURITY SWAP CONVEXITY CORRECTIONS IN A MULTI-FACTOR SABR MODEL 0 0 2 5 2 2 6 30
Accurate and Robust Numerical Methods for the Dynamic Portfolio Management Problem 0 0 1 9 1 2 4 38
Between ℙ and ℚ: The ℙ ℚ Measure for Pricing in Asset Liability Management 0 0 0 11 0 1 5 55
COLLOCATING VOLATILITY: A COMPETITIVE ALTERNATIVE TO STOCHASTIC LOCAL VOLATILITY MODELS 0 0 0 4 1 1 1 18
COMPUTING CREDIT VALUATION ADJUSTMENT FOR BERMUDAN OPTIONS WITH WRONG WAY RISK 0 0 0 7 2 2 2 34
Corrigendum to ``Total value adjustment for a stochastic volatility model. A comparison with the Black–Scholes model'' 0 0 1 3 0 0 2 9
Counterparty Credit Exposures for Interest Rate Derivatives using the Stochastic Grid Bundling Method 0 0 0 5 0 1 5 22
Decision-support tool for assessing future nuclear reactor generation portfolios 0 0 0 4 1 1 1 45
Deep learning for CVA computations of large portfolios of financial derivatives 0 1 2 7 5 9 17 32
EFFICIENT COMPUTATION OF EXPOSURE PROFILES FOR COUNTERPARTY CREDIT RISK 0 0 0 3 1 1 2 27
Efficient portfolio valuation incorporating liquidity risk 0 0 1 3 0 1 5 19
Extension of stochastic volatility equity models with the Hull--White interest rate process 0 0 0 27 0 4 9 115
Fast and accurate exercise policies for Bermudan swaptions in the LIBOR market model 0 0 0 2 1 3 4 20
Financial Option Valuation by Unsupervised Learning with Artificial Neural Networks 0 0 0 1 2 2 5 19
From Concentration Profiles to Concentration Maps. New tools for the study of loss distributions 0 0 0 9 1 1 1 42
Lorenz-generated bivariate Archimedean copulas 1 1 1 3 2 5 5 9
Model-Free Stochastic Collocation for an Arbitrage-Free Implied Volatility, Part II 0 0 1 17 0 1 2 88
Model-free stochastic collocation for an arbitrage-free implied volatility: Part I 0 0 1 17 1 4 5 64
Multi-period mean–variance portfolio optimization based on Monte-Carlo simulation 0 0 3 99 0 0 9 359
ON ROBUST MULTI-PERIOD PRE-COMMITMENT AND TIME-CONSISTENT MEAN-VARIANCE PORTFOLIO OPTIMIZATION 0 0 1 8 0 1 3 39
On American Options Under the Variance Gamma Process 0 0 0 93 2 8 8 276
On Cross-Currency Models with Stochastic Volatility and Correlated Interest Rates 0 0 0 16 1 2 6 135
On a one time-step Monte Carlo simulation approach of the SABR model: Application to European options 0 0 1 10 0 1 3 27
On an efficient multiple time step Monte Carlo simulation of the SABR model 0 0 1 3 1 3 4 20
On pre-commitment aspects of a time-consistent strategy for a mean-variance investor 0 0 0 7 0 0 1 54
On the data-driven COS method 0 0 1 4 0 1 2 50
On the modelling of nested risk-neutral stochastic processes with applications in insurance 0 0 0 0 0 1 3 11
Pricing Options and Computing Implied Volatilities using Neural Networks 0 0 0 32 0 3 13 176
Pricing inflation products with stochastic volatility and stochastic interest rates 1 1 1 15 1 1 2 82
THE HESTON STOCHASTIC-LOCAL VOLATILITY MODEL: EFFICIENT MONTE CARLO SIMULATION 0 0 2 28 0 7 18 133
THE TIME-DEPENDENT FX-SABR MODEL: EFFICIENT CALIBRATION BASED ON EFFECTIVE PARAMETERS 0 1 1 8 0 3 5 52
The Seven-League Scheme: Deep Learning for Large Time Step Monte Carlo Simulations of Stochastic Differential Equations 0 0 0 1 0 0 1 11
The Stochastic Grid Bundling Method: Efficient pricing of Bermudan options and their Greeks 0 0 2 15 0 6 10 61
The affine Heston model with correlated Gaussian interest rates for pricing hybrid derivatives 0 0 1 2 1 2 4 33
The stochastic collocation Monte Carlo sampler: highly efficient sampling from ‘expensive’ distributions 0 0 0 4 0 1 5 20
Total value adjustment for a stochastic volatility model. A comparison with the Black–Scholes model 0 0 0 1 0 0 1 15
Valuation of electricity storage contracts using the COS method 0 0 0 0 0 4 4 8
Valuing modular nuclear power plants in finite time decision horizon 0 0 0 13 3 4 7 93
Total Journal Articles 2 4 24 507 34 102 210 2,425

logo

LogEc Home

Top Working Papers
Top Journal Articles
Top Books
Top Chapters
Top Software Items

Top Authors

Top Working Paper series and Journals

About LogEc

Authors with papers registered in the RePEc Author Service.

Register yourself as an author or register more papers in the RePEc Author Service.

Authors with no registered papers

RePEc
LogEc provides access and usage statistics for services based on the RePEc data set.

Örebro UniversityLogEc is hosted by the Örebro University School of Business.

Questions or comments? Please see our explanation of how the statistics are collected or e-mail

Statistics updated 2025-12-06