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Cornelis W. Oosterlee

36 works· latest 2019· 3 institutionscluster: provisionalORCID 0000-0002-7322-4094

h-index33

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Citations3,997

Works here36

Most cited in this library

A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions2008 · 718 citations
Conditional Time Series Forecasting with Convolutional Neural Networks2017 · 383 citations
Pricing early-exercise and discrete barrier options by fourier-cosine series expansions2009 · 279 citations
A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under Lévy Processes2008 · 249 citations
On the Heston Model with Stochastic Interest Rates2011 · 248 citations

Works

36 shown

A neural network-based framework for financial model calibration

Journal of Mathematics in Industry·2019·3 authors·Open access

106citations

Mathematical Modeling and Computation in Finance

WORLD SCIENTIFIC (EUROPE) eBooks·2019·2 authors·book

44citations

Pricing Options and Computing Implied Volatilities using Neural Networks

Risks·2019·3 authors·Open access

135citations

A multigrid multilevel Monte Carlo method for transport in the Darcy–Stokes system

Journal of Computational Physics·2018·4 authors·Open access

28citations

Dilated convolutional neural networks for time series forecasting

The Journal of Computational Finance·2018·3 authors·Open access

124citations

Conditional Time Series Forecasting with Convolutional Neural Networks

arXiv (Cornell University)·

Multi-period mean–variance portfolio optimization based on Monte-Carlo simulation

Journal of Economic Dynamics and Control·2016·2 authors·Open access

62citations

A Highly Efficient Shannon Wavelet Inverse Fourier Technique for Pricing European Options

SIAM Journal on Scientific Computing·2016·2 authors·Open access

62citations

The Stochastic Grid Bundling Method: Efficient pricing of Bermudan options and their Greeks

Applied Mathematics and Computation·2015·2 authors·Open access

70citations

On the application of spectral filters in a Fourier option pricing technique

The Journal of Computational Finance·2015·3 authors·Open access

51citations

BENCHOP – The BENCHmarking project in option pricing

International Journal of Computer Mathematics·2015·17 authors·Open access

64citations

A Fourier Cosine Method for an Efficient Computation of Solutions to BSDEs

SIAM Journal on Scientific Computing·2015·2 authors·Open access

80citations

THE HESTON STOCHASTIC-LOCAL VOLATILITY MODEL: EFFICIENT MONTE CARLO SIMULATION

International Journal of Theoretical and Applied Finance·2014·3 authors·Open access

67citations

Numerical Fourier Method and Second-Order Taylor Scheme for Backward SDEs in Finance

Applied Numerical Mathematics·2014·2 authors·Open access

37citations

Efficient Pricing of European-Style Asian Options under Exponential Lévy Processes Based on Fourier Cosine Expansions

SIAM Journal on Financial Mathematics·2013·2 authors·Open access

89citations

Robust Pricing of European Options with Wavelets and the Characteristic Function

SIAM Journal on Scientific Computing·2013·2 authors·Open access

53citations

Pricing high-dimensional Bermudan options using the stochastic grid method

International Journal of Computer Mathematics·2012·2 authors

31citations

A LOW-BIAS SIMULATION SCHEME FOR THE SABR STOCHASTIC VOLATILITY MODEL

International Journal of Theoretical and Applied Finance·2012·2 authors·Open access

53citations

Two-Dimensional Fourier Cosine Series Expansion Method for Pricing Financial Options

SIAM Journal on Scientific Computing·2012·2 authors·Open access

124citations

Generalized beta regression models for random loss-given-default

The Journal of Credit Risk·2011·2 authors·Open access

51citations

On Cross-Currency Models with Stochastic Volatility and Correlated Interest Rates

Applied Mathematical Finance·2011·2 authors

48citations

On the Heston Model with Stochastic Interest Rates

SIAM Journal on Financial Mathematics·2011·2 authors·Open access

248citations

A Fourier-Based Valuation Method for Bermudan and Barrier Options under Heston's Model

SIAM Journal on Financial Mathematics·2011·2 authors·Open access

137citations

Fast Valuation and Calibration of Credit Default Swaps Under Levy Dynamics

The Journal of Computational Finance·2010·2 authors·Open access

39citations

Pricing early-exercise and discrete barrier options by fourier-cosine series expansions

Numerische Mathematik·2009·1 author·Open access

279citations

Extension of Stochastic Volatility Equity Models with Hull-White Interest Rate Process

SSRN Electronic Journal·2009·3 authors·preprint·Open access

33citations

A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions

SIAM Journal on Scientific Computing·2008·1 author

718citations

Multi-asset option pricing using a parallel Fourier-based technique

The Journal of Computational Finance·2008·2 authors·Open access

48citations

A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under Lévy Processes

SIAM Journal on Scientific Computing·2008·4 authors·Open access

249citations

On coordinate transformation and grid stretching for sparse grid pricing of basket options

Journal of Computational and Applied Mathematics·2007·2 authors·Open access

51citations

On American Options Under the Variance Gamma Process

Applied Mathematical Finance·2007·2 authors·Open access

58citations

Accurate Evaluation of European and American Options Under the CGMY Process

SIAM Journal on Scientific Computing·2007·2 authors·Open access

70citations

Highly accurate evaluation of European and American options under the Variance Gamma process

The Journal of Computational Finance·2006·2 authors

31citations

Numerical valuation of options with jumps in the underlying

Applied Numerical Mathematics·2004·2 authors

162citations