← All authors Cornelis W. Oosterlee Utrecht University (from arXiv:2312.13195, 2023) · ORCID · OpenAlex
126 papers in scope · 126 published · 1 on the econ.EM arXiv · 4,169 citations · h-index 28 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
K. B. Gubbels Andre Lucas Jelmer Yeb Ypma Ilya Archakov Peter Reinhard Hansen Chen Tong Tong Chen Asger Lunde Xinxian Chen Yiyao Luo Zhuo Huang Fred Espen Benth Thomas K. Kloster Alessandra Luati Rutger-Jan Lange Kim Christensen Yuta Yamauchi Yasuhiro Omori Neville Francis Enzo D’Innocenzo Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md .
Papers (1 of 126)
PRICING AND HEDGING THE PREPAYMENT OPTION OF MORTGAGES UNDER STOCHASTIC HOUSING MARKET ACTIVITY
published 2026 · International Journal of Theoretical and Applied Finance
with Leonardo Perotti, Lech A. Grzelak
Modeling and replication of the prepayment option of mortgages including behavioral uncertainty
published 2025 · Journal of Computational and Applied Mathematics · first circulated 2024
with Leonardo Perotti, Lech A. Grzelak
On the Hull-White model with volatility smile for Valuation Adjustments
published 2025 · Quantitative Finance · first circulated 2024
with T. van der Zwaard, Lech A. Grzelak
published 2025 · Computational Economics · 1 citations · first circulated 2023
On deep portfolio optimization with stocks, bonds and options
published 2025 · The Journal of Computational Finance
with Kristoffer Andersson
Quantum Majorization in Market Crash Prediction
published 2024 · Risks
with J Rhet Montana, Luis Antonio Souto Arias, Pasquale Cirillo
The deep latent space particle filter for real-time data assimilation with uncertainty quantification
published 2024 · Scientific Reports · 7 citations
with Nikolaj T. Mücke, Sander M. Bohté
Convergence of the deep BSDE method for stochastic control problems formulated through the stochastic maximum principle
published 2024 · Mathematics and Computers in Simulation · 3 citations
with Zhipeng Huang, Bálint Négyesi
The Heston–Queue-Hawkes process: A new self-exciting jump–diffusion model for options pricing, and an extension of the COS method for discrete distributions
published 2024 · Journal of Computational and Applied Mathematics · 4 citations · first circulated 2022
with Luis Antonio Souto Arias, Pasquale Cirillo
EFFICIENT WRONG-WAY RISK MODELING FOR FUNDING VALUATION ADJUSTMENTS
published 2024 · International Journal of Theoretical and Applied Finance · first circulated 2022
with T. van der Zwaard, Lech A. Grzelak
The One Step Malliavin scheme: new discretization of BSDEs implemented with deep learning regressions
published 2024 · IMA Journal of Numerical Analysis · 7 citations · first circulated 2021
with Bálint Négyesi, Kristoffer Andersson
Convergence of a Robust Deep FBSDE Method for Stochastic Control
published 2023 · SIAM Journal on Scientific Computing · 17 citations · first circulated 2022
with Kristoffer Andersson, Adam Andersson
Evaluation of integrals with fractional Brownian motion for different Hurst indices
published 2023 · International Journal of Computer Mathematics · 1 citations · first circulated 2022
with Fei Gao, Shuaiqiang Liu, Nico M. Temme
Relevance of Wrong-Way Risk in Funding Valuation Adjustments
published 2022 · Finance research letters · 4 citations
with T. van der Zwaard, Lech A. Grzelak
PRICING AND HEDGING PREPAYMENT RISK IN A MORTGAGE PORTFOLIO
published 2022 · International Journal of Theoretical and Applied Finance · 3 citations · first circulated 2021
with Emanuele Casamassima, Lech A. Grzelak, Frank A. Mulder
The Seven-League Scheme: Deep Learning for Large Time Step Monte Carlo Simulations of Stochastic Differential Equations
published 2022 · Risks · 12 citations · first circulated 2020
with Shuaiqiang Liu, Lech A. Grzelak
Optimally weighted loss functions for solving PDEs with Neural Networks
published 2021 · Journal of Computational and Applied Mathematics · 24 citations
with Remco van der Meer, Anastasia Borovykh
On a Multigrid Method for Tempered Fractional Diffusion Equations
published 2021 · Fractal and Fractional · 5 citations
with Linlin Bu
On a Neural Network to Extract Implied Information from American Options
published 2021 · Applied Mathematical Finance · 9 citations
with Shuaiqiang Liu, Álvaro Leitao, Anastasia Borovykh
Deep learning for CVA computations of large portfolios of financial derivatives
published 2021 · Applied Mathematics and Computation · 3 citations · first circulated 2020
with Kristoffer Andersson
Rule-based strategies for dynamic life cycle investment
published 2021 · European Actuarial Journal · 1 citations · first circulated 2020
with T. R. B. den Haan, Ki Wai Chau, Martin van der Schans, Kwok-wing Chau
A deep learning approach for computations of exposure profiles for high-dimensional Bermudan options
published 2021 · Applied Mathematics and Computation · 2 citations · first circulated 2020
with Kristoffer Andersson
Financial Option Valuation by Unsupervised Learning with Artificial Neural Networks
published 2020 · Mathematics · 19 citations
with Beatriz Salvador, Remco van der Meer
A computational approach to hedging Credit Valuation Adjustment in a jump-diffusion setting
published 2020 · Applied Mathematics and Computation · 4 citations
with T. van der Zwaard, Lech A. Grzelak
``Total value adjustment for a stochastic volatility model. A comparison with the Black–Scholes model''
published 2020 · Applied Mathematics and Computation · 8 citations
with Beatriz Salvador
COLLOCATING VOLATILITY: A COMPETITIVE ALTERNATIVE TO STOCHASTIC LOCAL VOLATILITY MODELS
published 2020 · International Journal of Theoretical and Applied Finance · 4 citations · first circulated 2018
with Anthonie W. van der Stoep, Lech A. Grzelak, Anthonie van der Stoep
Portfolio risk and the quantum majorization of correlation matrices
published 2020 · IMA Journal of Management Mathematics · 4 citations · first circulated 2019
with Andrea Fontanari, Iddo Eliazar, Pasquale Cirillo
An SGBM-XVA demonstrator: a scalable Python tool for pricing XVA
published 2020 · Journal of Mathematics in Industry · 4 citations
with Ki Wai Chau, Jok Tang
Lorenz-generated bivariate Archimedean copulas
published 2020 · Dependence Modeling · 8 citations · first circulated 2019
with Andrea Fontanari, Pasquale Cirillo
Numerical techniques for the Heston collocated volatility model
published 2020 · The Journal of Computational Finance · 1 citations · first circulated 2019
with Fabien Le Floc’h
Dronesurance: Using AI Models to Predict Drone Damage for Insurance Policies.
published 2020 · ERCIM news/ERCIM news online edition
with Andrea Fontanari
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Stochastic grid bundling method for backward stochastic differential equations
published 2019 · International Journal of Computer Mathematics · 13 citations
with Ki Wai Chau
Generalization in fully-connected neural networks for time series forecasting
published 2019 · Journal of Computational Science · 36 citations
with Anastasia Borovykh, Sander M. Bohté
Rolling Adjoints: Fast Greeks along Monte Carlo scenarios for early-exercise options
published 2019 · Journal of Computational Science · 14 citations · first circulated 2017
Model-Free Stochastic Collocation for an Arbitrage-Free Implied Volatility, Part II
published 2019 · Risks · 23 citations
with Fabien Le Floc’h
Model-free stochastic collocation for an arbitrage-free implied volatility: Part I
published 2019 · Decisions in Economics and Finance · 6 citations
with Fabien Le Floc’h
Approximation of insurance liability contracts using radial basis functions
published 2019 · International Journal of Computer Mathematics · 1 citations
with Stefan N. Singor, Eric Schols
BENCHOP – SLV: the BENCHmarking project in Option Pricing – Stochastic and Local Volatility problems
published 2018 · International Journal of Computer Mathematics · 11 citations
Between ℙ and ℚ: The ℙℚ Measure for Pricing in Asset Liability Management
published 2018 · Journal of risk and financial management · 5 citations
with Marcel T. P. Van Dijk, Cornelis S. L. de Graaf
The stochastic collocation Monte Carlo sampler: highly efficient sampling from ‘expensive’ distributions
published 2018 · Quantitative Finance · 32 citations · first circulated 2014
with Lech A. Grzelak, Jeroen Witteveen, María Suárez-Taboada
Quantifying credit portfolio losses under multi-factor models
published 2018 · International Journal of Computer Mathematics · 2 citations · first circulated 2017
with Gemma Colldeforns-Papiol, Luis Ortiz-Gracia
Dilated convolutional neural networks for time series forecasting
published 2018 · The Journal of Computational Finance · 379 citations · first circulated 2017
with Anastasia Borovykh, Sander M. Bohté
Efficient Computation of Various Valuation Adjustments Under Local Lévy Models
published 2018 · SIAM Journal on Financial Mathematics · 19 citations
with Anastasia Borovykh, Andrea Pascucci
COMPUTING CREDIT VALUATION ADJUSTMENT FOR BERMUDAN OPTIONS WITH WRONG WAY RISK
published 2017 · International Journal of Theoretical and Applied Finance · 4 citations
with Qian Feng
From Concentration Profiles to Concentration Maps. New tools for the study of loss distributions
published 2017 · Insurance Mathematics and Economics · 15 citations
with Andrea Fontanari, Pasquale Cirillo
ON ROBUST MULTI-PERIOD PRE-COMMITMENT AND TIME-CONSISTENT MEAN-VARIANCE PORTFOLIO OPTIMIZATION
published 2017 · International Journal of Theoretical and Applied Finance · 11 citations
with Fei Cong
On the data-driven COS method
published 2017 · Applied Mathematics and Computation · 16 citations
with Álvaro Leitao, Luis Ortiz-Gracia, Sander M. Bohté
On the modelling of nested risk-neutral stochastic processes with applications in insurance
published 2017 · Applied Mathematical Finance · 4 citations
with Stefan N. Singor, A.C. Fey-den Boer, J. S. C. Alberts
On the wavelet-based SWIFT method for backward stochastic differential equations
published 2017 · IMA Journal of Numerical Analysis · 9 citations · first circulated 2016
with Ki Wai Chau
On an efficient multiple time step Monte Carlo simulation of the SABR model
published 2017 · Quantitative Finance · 24 citations · first circulated 2016
with Álvaro Leitao, Lech A. Grzelak
Two-dimensional Shannon wavelet inverse Fourier technique for pricing European options
published 2017 · Applied Numerical Mathematics · 17 citations
with Gemma Colldeforns-Papiol, Luis Ortiz-Gracia
A novel Monte Carlo approach to hybrid local volatility models
published 2017 · Quantitative Finance · 11 citations · first circulated 2016
with Anthonie W. van der Stoep, Lech A. Grzelak, Anthonie van der Stoep
The COS method for option valuation under the SABR dynamics
published 2017 · International Journal of Computer Mathematics · 14 citations
with Z. Van der Have
Pricing Bermudan options under local Lévy models with default
published 2017 · Journal of Mathematical Analysis and Applications · 10 citations · first circulated 2016
with Anastasia Borovykh, Andrea Pascucci
Pricing early-exercise and discrete barrier options by Shannon wavelet expansions
published 2017 · Numerische Mathematik · 22 citations · first circulated 2015
with S. C. Maree, Luis Ortiz-Gracia
Bermudan Option Valuation Under State-Dependent Models
published 2017 · Springer proceedings in mathematics & statistics
with Anastasia Borovykh, Andrea Pascucci
On a one time-step Monte Carlo simulation approach of the SABR model: Application to European options
published 2016 · Applied Mathematics and Computation · 28 citations
with Álvaro Leitao, Lech A. Grzelak
On pre-commitment aspects of a time-consistent strategy for a mean-variance investor
published 2016 · Journal of Economic Dynamics and Control · 26 citations
with Fei Cong
Counterparty Credit Exposures for Interest Rate Derivatives using the Stochastic Grid Bundling Method
published 2016 · Applied Mathematical Finance · 16 citations · first circulated 2014
Accurate and Robust Numerical Methods for the Dynamic Portfolio Management Problem
published 2016 · Computational Economics · 15 citations · first circulated 2015
with Fei Cong
Fast and accurate exercise policies for Bermudan swaptions in the LIBOR market model
published 2016 · International Journal of Financial Engineering · 4 citations · first circulated 2013
Numerical Fourier method and second-order Taylor scheme for backward SDEs in finance
published 2016 · Applied Numerical Mathematics · 36 citations · first circulated 2014
with M. J. Ruijter, Marjon Ruijter
Multi-period mean–variance portfolio optimization based on Monte-Carlo simulation
published 2016 · Journal of Economic Dynamics and Control · 69 citations
with Fei Cong
Efficient computation of exposure profiles on real-world and risk-neutral scenarios for Bermudan swaptions
published 2016 · The Journal of Computational Finance · 16 citations
A Highly Efficient Shannon Wavelet Inverse Fourier Technique for Pricing European Options
published 2016 · SIAM Journal on Scientific Computing · 67 citations · first circulated 2015
with Luis Ortiz-Gracia
From arbitrage to arbitrage-free implied volatilities
published 2016 · The Journal of Computational Finance · 16 citations
with Lech A. Grzelak
Efficient numerical Fourier methods for coupled forward–backward SDEs
published 2015 · Journal of Computational and Applied Mathematics · 25 citations
with T.P. Huijskens, M. J. Ruijter, Marjon Ruijter
Editorial
published 2015 · International Journal of Computer Mathematics
with Karel in ’t Hout, Andrey Itkin, Jari Toivanen
The Stochastic Grid Bundling Method: Efficient pricing of Bermudan options and their Greeks
published 2015 · Applied Mathematics and Computation · 79 citations · first circulated 2012
On the application of spectral filters in a Fourier option pricing technique
published 2015 · The Journal of Computational Finance · 45 citations · first circulated 2013
with M. J. Ruijter, Mark Versteegh, Marjon Ruijter
THE TIME-DEPENDENT FX-SABR MODEL: EFFICIENT CALIBRATION BASED ON EFFECTIVE PARAMETERS
published 2015 · International Journal of Theoretical and Applied Finance · 8 citations · first circulated 2014
with Anthonie W. van der Stoep, Lech A. Grzelak, Anthonie van der Stoep
BENCHOP – The BENCHmarking project in option pricing
published 2015 · International Journal of Computer Mathematics · 65 citations
with Lina von Sydow, Lars Josef Höök, Elisabeth Larsson, Erik Lindström, Slobodan Milovanović, Jonas Persson, Victor Shcherbakov, Yuri A. Shpolyanskiy, Samuel Sirén, Jari Toivanen, Johan Waldén, Magnus Wiktorsson, …
Pricing Bermudan options under Merton jump-diffusion asset dynamics
published 2015 · International Journal of Computer Mathematics · 16 citations
with Fei Cong
GPU acceleration of the stochastic grid bundling method for early-exercise options
published 2015 · International Journal of Computer Mathematics · 14 citations · first circulated 2014
with Álvaro Leitao
A Fourier Cosine Method for an Efficient Computation of Solutions to BSDEs
published 2015 · SIAM Journal on Scientific Computing · 77 citations · first circulated 2013
with M. J. Ruijter, Marjon Ruijter
THE HESTON STOCHASTIC-LOCAL VOLATILITY MODEL: EFFICIENT MONTE CARLO SIMULATION
published 2014 · International Journal of Theoretical and Applied Finance · 64 citations · first circulated 2013
with Anthonie W. van der Stoep, Lech A. Grzelak, Anthonie van der Stoep
Efficient VaR and Expected Shortfall computations for nonlinear portfolios within the delta-gamma approach
published 2014 · Applied Mathematics and Computation · 21 citations · first circulated 2013
with Luis Ortiz-Gracia
EFFICIENT COMPUTATION OF EXPOSURE PROFILES FOR COUNTERPARTY CREDIT RISK
published 2014 · International Journal of Theoretical and Applied Finance · 24 citations
with Cornelis S. L. de Graaf, Qian Feng, Drona Kandhai, Cornelis de Graaf
Decision-support tool for assessing future nuclear reactor generation portfolios
published 2014 · Energy Economics · 19 citations
Pricing of early-exercise Asian options under Lévy processes based on Fourier cosine expansions
published 2013 · Applied Numerical Mathematics · 18 citations
with B. Zhang
Construction strategies and lifetime uncertainties for nuclear projects: A real option analysis
published 2013 · Nuclear Engineering and Design · 11 citations
Analysis of an affine version of the Heston–Hull–White option pricing partial differential equation
published 2013 · Applied Numerical Mathematics · 14 citations
with Shimin Guo, Lech A. Grzelak
Efficient portfolio valuation incorporating liquidity risk
published 2013 · Quantitative Finance · 9 citations · first circulated 2010
An efficient pricing algorithm for swing options based on Fourier cosine expansions
published 2013 · The Journal of Computational Finance · 23 citations · first circulated 2010
with Baocheng Zhang, B. Zhang
On the Fourier cosine series expansion method for stochastic control problems
published 2013 · Numerical Linear Algebra with Applications · 21 citations
with M. J. Ruijter, Rob Aalbers
Pricing inflation products with stochastic volatility and stochastic interest rates
published 2013 · Insurance Mathematics and Economics · 16 citations
with Stefan N. Singor, Lech A. Grzelak, D.D.B. van Bragt
Efficient Pricing of European-Style Asian Options under Exponential Lévy Processes Based on Fourier Cosine Expansions
published 2013 · SIAM Journal on Financial Mathematics · 89 citations
with B. Zhang
Robust Pricing of European Options with Wavelets and the Characteristic Function
published 2013 · SIAM Journal on Scientific Computing · 62 citations
with Luis Ortiz-Gracia
Valuing modular nuclear power plants in finite time decision horizon
published 2012 · Energy Economics · 15 citations
Calibration and Monte Carlo pricing of the SABR–Hull–White model for long-maturity equity derivatives
published 2012 · The Journal of Computational Finance · 15 citations · first circulated 2011
An equity–interest rate hybrid model with stochastic volatility and the interest rate smile
published 2012 · The Journal of Computational Finance · 19 citations · first circulated 2010
with Lech A. Grzelak
Computational methods for PDEs in finance
published 2012 · International Journal of Computer Mathematics
with Jari Toivanen, Song-Ping Zhu
Pricing high-dimensional Bermudan options using the stochastic grid method
published 2012 · International Journal of Computer Mathematics · 35 citations · first circulated 2010
A LOW-BIAS SIMULATION SCHEME FOR THE SABR STOCHASTIC VOLATILITY MODEL
published 2012 · International Journal of Theoretical and Applied Finance · 57 citations
Acceleration of option pricing technique on graphics processing units
published 2012 · Concurrency and Computation Practice and Experience · 11 citations · first circulated 2010
with Bowen Zhang, B. Zhang
Two-Dimensional Fourier Cosine Series Expansion Method for Pricing Financial Options
published 2012 · SIAM Journal on Scientific Computing · 130 citations
with M. J. Ruijter, Marjon Ruijter
Fourier Cosine Expansions and Put–Call Relations for Bermudan Options
published 2012 · Springer proceedings in mathematics · 12 citations
with Bowen Zhang
The COS Method for Pricing Options Under Uncertain Volatility
published 2012 · Springer proceedings in mathematics & statistics · 3 citations
with M. J. Ruijter
Generalized beta regression models for random loss-given-default
published 2011 · The Journal of Credit Risk · 8 citations
with Xinzheng Huang
Efficient pricing of commodity options with early-exercise under the Ornstein–Uhlenbeck process
published 2011 · Applied Numerical Mathematics · 3 citations
with B. Zhang, Lech A. Grzelak
The affine Heston model with correlated Gaussian interest rates for pricing hybrid derivatives
published 2011 · Quantitative Finance · 26 citations · first circulated 2009
with Lech A. Grzelak, Sacha van Weeren
GPU implementation of a Helmholtz Krylov solver preconditioned by a shifted Laplace multigrid method
published 2011 · Journal of Computational and Applied Mathematics · 36 citations
with H. Knibbe, C. Vuik
On Cross-Currency Models with Stochastic Volatility and Correlated Interest Rates
published 2011 · Applied Mathematical Finance · 53 citations · first circulated 2010
with Lech A. Grzelak
A Fourier-Based Valuation Method for Bermudan and Barrier Options under Heston's Model
published 2011 · SIAM Journal on Financial Mathematics · 149 citations
with Fang Fang
On the Heston Model with Stochastic Interest Rates
published 2011 · SIAM Journal on Financial Mathematics · 23 citations
with Lech A. Grzelak
Saddlepoint Approximations for Expectations and an Application to CDO Pricing
published 2011 · SIAM Journal on Financial Mathematics · 13 citations
with Xinzheng Huang
Fast Valuation and Calibration of Credit Default Swaps Under Levy Dynamics
published 2010 · The Journal of Computational Finance · 1 citations · first circulated 2009
with F. Fang, Henrik Jönsson, Wim Schoutens, Fang Fang
ANALYTICAL APPROXIMATION TO CONSTANT MATURITY SWAP CONVEXITY CORRECTIONS IN A MULTI-FACTOR SABR MODEL
published 2010 · International Journal of Theoretical and Applied Finance · 7 citations
Extension of stochastic volatility equity models with the Hull–White interest rate process
published 2009 · Quantitative Finance · 78 citations
with Lech A. Grzelak, Sacha van Weeren
Pricing early-exercise and discrete barrier options by fourier-cosine series expansions
published 2009 · Numerische Mathematik · 293 citations · first circulated 2008
with F. Fang, Fang Fang
Adaptive integration for multi-factor portfolio credit loss models
published 2009 · Journal of Computational and Applied Mathematics · 1 citations
with Xinzheng Huang
A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions
published 2008 · SIAM Journal on Scientific Computing · 757 citations
with F. Fang, Fang Fang
Multi-asset option pricing using a parallel Fourier-based technique
published 2008 · The Journal of Computational Finance · 9 citations
with C.C.W. Leentvaar
The CONV method for pricing options
published 2007 · PAMM · 3 citations
with Roger Lord, F. Fang, F. Bervoets
Computation of risk contribution in the Vasicek portfolio credit loss model
published 2007 · PAMM
with Xinzheng Huang
On coordinate transformation and grid stretching for sparse grid pricing of basket options
published 2007 · Journal of Computational and Applied Mathematics · 5 citations
with C.C.W. Leentvaar
Higher-order saddlepoint approximations in the Vasicek portfolio credit loss model
published 2007 · The Journal of Computational Finance · 29 citations · first circulated 2006
with Xinzheng Huang, Hans van der Weide, J.A.M. van der Weide
Efficient d -multigrid preconditioners for sparse-grid solution of high-dimensional partial differential equations
published 2007 · International Journal of Computer Mathematics · 3 citations
with Hisham bin Zubair, C.C.W. Leentvaar
On American Options Under the Variance Gamma Process
published 2007 · Applied Mathematical Finance · 58 citations
with Ariel Almendral
Accurate Evaluation of European and American Options Under the CGMY Process
published 2007 · SIAM Journal on Scientific Computing · 71 citations
with Ariel Almendral
A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options Under Levy Processes
published 2007 · SIAM Journal on Scientific Computing · 10 citations
with Roger Lord, Fang Fang, F. Bervoets
Computation of VaR and VaR contribution in the Vasicek portfolio credit loss model: a comparative study
published 2007 · The Journal of Credit Risk · 4 citations
with Xinzheng Huang, M.A.M. Mesters
Highly accurate evaluation of European and American options under the Variance Gamma process
published 2006 · The Journal of Computational Finance · 31 citations
with Ariel Almendral
Numerical valuation of options with jumps in the underlying
published 2004 · Applied Numerical Mathematics · 164 citations
with Ariel Almendral
TVD, WENO and blended BDF discretizations for Asian options
published 2004 · 14 citations
with J. C. Frisch, Francisco J. Gaspar
Geometric multigrid with applications to computational fluid dynamics
published 2001 · Journal of Computational and Applied Mathematics · 157 citations
with Pieter Wesseling
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