Cornelis W. Oosterlee : Citation Profile


Are you Cornelis W. Oosterlee?

12

H index

12

i10 index

483

Citations

RESEARCH PRODUCTION:

42

Articles

30

Papers

RESEARCH ACTIVITY:

   15 years (2007 - 2022). See details.
   Cites by year: 32
   Journals where Cornelis W. Oosterlee has often published
   Relations with other researchers
   Recent citing documents: 95.    Total self citations: 42 (8 %)

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   Permalink: http://citec.repec.org/poo16
   Updated: 2022-09-24    RAS profile: 2022-05-27    
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Relations with other researchers


Works with:

Grzelak, Lech (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Cornelis W. Oosterlee.

Is cited by:

Schlogl, Erik (10)

Ballotta, Laura (10)

Escobar Anel, Marcos (9)

Nikitopoulos-Sklibosios, Christina (8)

Itkin, Andrey (7)

Germano, Guido (6)

Chiarella, Carl (6)

Gnoatto, Alessandro (5)

Cao, Jiling (4)

Orlando, Giuseppe (4)

Corsi, Fulvio (3)

Cites to:

Fang, Fang (36)

Duffie, Darrell (12)

Singleton, Kenneth (11)

Longstaff, Francis (11)

Pallavicini, Andrea (9)

pan, jun (9)

Brigo, Damiano (9)

Carr, Peter (8)

Grzelak, Lech (7)

merton, robert (6)

Jarrow, Robert (4)

Main data


Where Cornelis W. Oosterlee has published?


Journals with more than one article published# docs
Applied Mathematics and Computation9
International Journal of Theoretical and Applied Finance (IJTAF)8
Quantitative Finance6
Applied Mathematical Finance4
Risks3
Journal of Economic Dynamics and Control2
Energy Economics2
Insurance: Mathematics and Economics2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org20
MPRA Paper / University Library of Munich, Germany7
CPB Discussion Paper / CPB Netherlands Bureau for Economic Policy Analysis2

Recent works citing Cornelis W. Oosterlee (2022 and 2021)


YearTitle of citing document
2021Closed-form expansions with respect to the mixing solution for option pricing under stochastic volatility. (2019). Langren, Nicolas ; Das, Kaustav. In: Papers. RePEc:arx:papers:1812.07803.

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2021Solving high-dimensional optimal stopping problems using deep learning. (2019). Welti, Timo ; Jentzen, Arnulf ; Cheridito, Patrick ; Becker, Sebastian. In: Papers. RePEc:arx:papers:1908.01602.

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2021The value of power-related options under spectrally negative L\evy processes. (2019). Aguilar, Jean-Philippe. In: Papers. RePEc:arx:papers:1910.07971.

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2021Intra-Horizon Expected Shortfall and Risk Structure in Models with Jumps. (2020). Vasiljevi, Nikola ; Mathys, Ludovic ; Farkas, Walter. In: Papers. RePEc:arx:papers:2002.04675.

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2021Deep xVA solver -- A neural network based counterparty credit risk management framework. (2020). Gnoatto, Alessandro ; Reisinger, Christoph ; Picarelli, Athena. In: Papers. RePEc:arx:papers:2005.02633.

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2021Learning a functional control for high-frequency finance. (2020). Lehalle, Charles-Albert ; Lauriere, Mathieu ; Leal, Laura. In: Papers. RePEc:arx:papers:2006.09611.

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2021Pricing equity-linked life insurance contracts with multiple risk factors by neural networks. (2020). Delong, Lukasz ; Barigou, Karim. In: Papers. RePEc:arx:papers:2007.08804.

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2021Deep Learning for Constrained Utility Maximisation. (2020). Zheng, Harry ; Davey, Ashley. In: Papers. RePEc:arx:papers:2008.11757.

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2021A general framework for a joint calibration of VIX and VXX options. (2020). Mazzoran, Andrea ; Grasselli, Martino ; Pallavicini, Andrea. In: Papers. RePEc:arx:papers:2012.08353.

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2021Extensive networks would eliminate the demand for pricing formulas. (2021). Park, Kyunghyun ; Jeon, Jaegi ; Huh, Jeonggyu. In: Papers. RePEc:arx:papers:2101.09064.

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2021Deep Hedging under Rough Volatility. (2021). Zuric, Zan ; Teichmann, Josef ; Horvath, Blanka. In: Papers. RePEc:arx:papers:2102.01962.

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2021SWIFT calibration of the Heston model. (2021). Ortiz-Gracia, Luis ; Romo, Eudald. In: Papers. RePEc:arx:papers:2103.01570.

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2021Extremal points of Lorenz curves and applications to inequality analysis. (2021). Mora-Corral, Carlos ; Javier, ; Ba, Amparo. In: Papers. RePEc:arx:papers:2103.03286.

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2021Cheapest-to-Deliver Collateral: A Common Factor Approach. (2021). Deelstra, Griselda ; Grzelak, Lech A ; Wolf, Felix L. In: Papers. RePEc:arx:papers:2103.06107.

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2021Valuing Exotic Options and Estimating Model Risk. (2021). Poulos, Zissis ; Hull, John ; Chen, Jacky ; Cao, Jay. In: Papers. RePEc:arx:papers:2103.12551.

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2022Robust Portfolio Selection Problems: A Comprehensive Review. (2021). Ghasemi, Alireza ; Saif, Ahmed ; Ghahtarani, Alireza . In: Papers. RePEc:arx:papers:2103.13806.

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2021Extending the Heston Model to Forecast Motor Vehicle Collision Rates. (2021). Shannon, Darren ; Fountas, Grigorios. In: Papers. RePEc:arx:papers:2104.11461.

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2022Optimal Stopping via Randomized Neural Networks. (2021). Herrera, Calypso ; Teichmann, Josef ; Ruyssen, Pierre ; Krach, Florian. In: Papers. RePEc:arx:papers:2104.13669.

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2022Sparse Grid Method for Highly Efficient Computation of Exposures for xVA. (2021). Grzelak, Lech A. In: Papers. RePEc:arx:papers:2104.14319.

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2021Neural Options Pricing. (2021). Delise, Timothy. In: Papers. RePEc:arx:papers:2105.13320.

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2021Numerical valuation of American basket options via partial differential complementarity problems. (2021). Snoeijer, Jacob ; In, Karel. In: Papers. RePEc:arx:papers:2106.01200.

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2022Precise option pricing by the COS method -- How to choose the truncation interval. (2021). Pankrashkin, Konstantin ; Junike, Gero. In: Papers. RePEc:arx:papers:2109.01030.

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2021SINH-acceleration for B-spline projection with Option Pricing Applications. (2021). Levendorskiui, Sergei ; Boyarchenko, Svetlana ; Cui, Zhenyu ; Kirkby, Lars J. In: Papers. RePEc:arx:papers:2109.08738.

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2021Semimartingale and continuous-time Markov chain approximation for rough stochastic local volatility models. (2021). Cui, Zhenyu ; Yang, Wensheng ; Ma, Jingtang. In: Papers. RePEc:arx:papers:2110.08320.

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2021Machine Learning in Finance-Emerging Trends and Challenges. (2021). Dutta, Abhishek ; Sen, Rajdeep. In: Papers. RePEc:arx:papers:2110.11999.

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2021Correlation Estimation in Hybrid Systems. (2021). Law, Baron . In: Papers. RePEc:arx:papers:2111.06042.

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2021Fast Sampling from Time-Integrated Bridges using Deep Learning. (2021). Grzelak, Lech A ; Perotti, Leonardo. In: Papers. RePEc:arx:papers:2111.13901.

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2021Method of lines for valuation and sensitivities of Bermudan options. (2021). Jain, Shashi ; Murthy, Vasudeva ; Banerjee, Purba. In: Papers. RePEc:arx:papers:2112.01287.

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2021Multi-Asset Spot and Option Market Simulation. (2021). Bai, Lianjun ; Murray, Phillip ; Buehler, Hans ; Korn, Ralf ; Pachoud, Alexandre ; Wood, Ben ; Wiese, Magnus. In: Papers. RePEc:arx:papers:2112.06823.

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2021Pricing Bermudan options using regression trees/random forests. (2021). Lelong, J'Erome ; Henry-Labordere, Pierre ; el Filali, Zineb. In: Papers. RePEc:arx:papers:2201.02587.

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2022Stochastic Local Volatility models and the Wei-Norman factorization method. (2022). Orlando, Giuseppe ; Guerrero, Julio. In: Papers. RePEc:arx:papers:2201.11241.

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2022Metric Hypertransformers are Universal Adapted Maps. (2022). Pammer, Gudmund ; Kratsios, Anastasis ; Acciaio, Beatrice. In: Papers. RePEc:arx:papers:2201.13094.

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2022Optimal market completion through financial derivatives with applications to volatility risk. (2022). Davison, Matt ; Zhu, Yichen ; Escobar-Anel, Marcos. In: Papers. RePEc:arx:papers:2202.08148.

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2022Optimal Damping with Hierarchical Adaptive Quadrature for Efficient Fourier Pricing of Multi-Asset Options in L\evy Models. (2022). Bayer, Christian ; Tempone, Ra'Ul ; Samet, Michael ; Papapantoleon, Antonis ; ben Hammouda, Chiheb. In: Papers. RePEc:arx:papers:2203.08196.

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2022Efficient Pricing and Calibration of High-Dimensional Basket Options. (2022). Gatarek, Dariusz ; Jablecki, Juliusz ; Grzelak, Lech A. In: Papers. RePEc:arx:papers:2206.09877.

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2022Solving barrier options under stochastic volatility using deep learning. (2022). Hirsa, Ali ; Fu, Weilong. In: Papers. RePEc:arx:papers:2207.00524.

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2022L\evy models amenable to efficient calculations. (2022). Levendorskiui, Sergei ; Boyarchenko, Svetlana. In: Papers. RePEc:arx:papers:2207.02359.

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2021Volatility Bursts: A discrete-time option model with multiple volatility components. (2021). Lilla, Francesca. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1336_21.

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2021Intra?Horizon expected shortfall and risk structure in models with jumps. (2021). Vasiljevi, Nikola ; Mathys, Ludovic ; Farkas, Walter. In: Mathematical Finance. RePEc:bla:mathfi:v:31:y:2021:i:2:p:772-823.

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2022Can the Heston Model Forecast Energy Generation? A Systematic Literature Review. (2022). Souza, Adriano Mendona ; Reichert, Bianca. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2022-01-36.

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2021Finite-time dividend problems in a Lévy risk model under periodic observation. (2021). Zhang, Zhimin ; Xie, Jiayi. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:398:y:2021:i:c:s0096300321000291.

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2021Pricing equity-linked death benefits by complex Fourier series expansion in a regime-switching jump diffusion model. (2021). Yu, Wenguang ; Zhang, Zhimin ; Wang, Yayun. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:399:y:2021:i:c:s0096300321000795.

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2022Highly efficient Shannon wavelet-based pricing of power options under the double exponential jump framework with stochastic jump intensity and volatility. (2022). Mataramvura, Sure ; O'Hara, John G ; Huang, Chun-Sung. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:414:y:2022:i:c:s0096300321007530.

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2022Explainable neural network for pricing and universal static hedging of contingent claims. (2022). Jain, Shashi ; Bharadwaj, Vikram ; Lokeshwar, Vikranth. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:417:y:2022:i:c:s0096300321008572.

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2022Polynomial affine approach to HARA utility maximization with applications to OrnsteinUhlenbeck 4/2 models.. (2022). Escobar-Anel, Marcos ; Zhu, Yichen. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:418:y:2022:i:c:s009630032100919x.

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2022Precise option pricing by the COS method—How to choose the truncation range. (2022). Pankrashkin, Konstantin ; Junike, Gero. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:421:y:2022:i:c:s0096300322000212.

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2022Boosting solar radiation predictions with global climate models, observational predictors and hybrid deep-machine learning algorithms. (2022). Salcedo-Sanz, Sancho ; Casillas-Perez, David ; Deo, Ravinesh C ; Ghimire, Sujan. In: Applied Energy. RePEc:eee:appene:v:316:y:2022:i:c:s0306261922004585.

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2021Bermudan options pricing formulas in uncertain financial markets. (2021). Yuan, Lin ; Gao, Yin ; Pan, Zeyu. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:152:y:2021:i:c:s0960077921006810.

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2022Valuation of European-style vulnerable options under the non-affine stochastic volatility and double exponential jump. (2022). Guo, Xunxiang ; Huang, Shoude. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:158:y:2022:i:c:s0960077922002132.

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2021Nonparametric density estimation and bandwidth selection with B-spline bases: A novel Galerkin method. (2021). Leitao, Alvaro ; Kirkby, Lars J ; Nguyen, Duy. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:159:y:2021:i:c:s0167947321000360.

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2021The equivalent constant-elasticity-of-variance (CEV) volatility of the stochastic-alpha-beta-rho (SABR) model. (2021). Wu, Lixin ; Choi, Jaehyuk. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:128:y:2021:i:c:s0165188921000786.

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2021CTMC integral equation method for American options under stochastic local volatility models. (2021). Cui, Zhenyu ; Yang, Wensheng ; Ma, Jingtang. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:128:y:2021:i:c:s0165188921000804.

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2021Consistent pricing of VIX options with the Hawkes jump-diffusion model. (2021). Ma, Yong ; Li, Shenghong ; Jing, BO. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:56:y:2021:i:c:s1062940820302114.

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2021Valuation of callable accreting interest rate swaps: Least squares Monte-Carlo method under Hull-White interest rate model. (2021). Lin, Shih-Kuei ; Zheng, Wen-Jie ; Tang, Kin-Boon . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:56:y:2021:i:c:s1062940820302242.

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2021A data-driven framework for consistent financial valuation and risk measurement. (2021). Kirkby, Lars J ; Cui, Zhenyu ; Nguyen, Duy. In: European Journal of Operational Research. RePEc:eee:ejores:v:289:y:2021:i:1:p:381-398.

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2021The surprising robustness of dynamic Mean-Variance portfolio optimization to model misspecification errors. (2021). Forsyth, Peter A ; Dang, Duy-Minh ; van Staden, Pieter M. In: European Journal of Operational Research. RePEc:eee:ejores:v:289:y:2021:i:2:p:774-792.

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2021Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations. (2021). Nguyen, Duy ; Kirkby, Lars J ; Cui, Zhenyu. In: European Journal of Operational Research. RePEc:eee:ejores:v:290:y:2021:i:3:p:1046-1062.

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2021Time-consistency of optimal investment under smooth ambiguity. (2021). Mahayni, Antje ; Balter, Anne G ; Schweizer, Nikolaus. In: European Journal of Operational Research. RePEc:eee:ejores:v:293:y:2021:i:2:p:643-657.

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2022Smiles & smirks: Volatility and leverage by jumps. (2022). Ballotta, Laura ; Rayee, Gregory . In: European Journal of Operational Research. RePEc:eee:ejores:v:298:y:2022:i:3:p:1145-1161.

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2021Time-consistent mean-variance investment with unit linked life insurance contracts in a jump-diffusion setting. (2021). Stadje, Mitja ; Bosserhoff, Frank. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:100:y:2021:i:c:p:130-146.

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2021Equity-linked Guaranteed Minimum Death Benefits with dollar cost averaging. (2021). Nguyen, Duy ; Kirkby, Lars J. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:100:y:2021:i:c:p:408-428.

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2022Binomial tree method for option pricing: Discrete cosine transform approach. (2022). Suda, Shintaro ; Muroi, Yoshifumi. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:198:y:2022:i:c:p:312-331.

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2022.

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2021Time-Consistent Investment and Consumption Strategies under a General Discount Function. (2021). Vives, Josep ; Khelfallah, Nabil ; Chighoub, Farid ; Alia, Ishak . In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:14:y:2021:i:2:p:86-:d:502548.

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2021A Comparison of Artificial Neural Networks and Bootstrap Aggregating Ensembles in a Modern Financial Derivative Pricing Framework. (2021). Venter, Pierre J ; du Plooy, Ryno. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:14:y:2021:i:6:p:254-:d:570259.

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2021A Neural Network Monte Carlo Approximation for Expected Utility Theory. (2021). Escobar-Anel, Marcos ; Zhu, Yichen. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:14:y:2021:i:7:p:322-:d:593076.

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2021Deep Hedging under Rough Volatility. (2021). Teichmann, Josef ; Horvath, Blanka ; Uri, AN ; Nuri, A. In: Risks. RePEc:gam:jrisks:v:9:y:2021:i:7:p:138-:d:597662.

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2021Option Pricing, Zero Lower Bound, and COVID-19. (2021). Petrella, Lea ; Morelli, Giacomo. In: Risks. RePEc:gam:jrisks:v:9:y:2021:i:9:p:167-:d:634045.

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2021Techno-Economic Assessment of Fuel Cycle Facility of System Integrated Modular Advanced Reactor (SMART). (2021). Khan, Salah Ud-Din ; Alanazi, Meshari ; Almutairi, Zeyad. In: Sustainability. RePEc:gam:jsusta:v:13:y:2021:i:21:p:11815-:d:664955.

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2021Pricing equity-linked life insurance contracts with multiple risk factors by neural networks. (2021). Delong, Lukasz ; Barigou, Karim. In: Post-Print. RePEc:hal:journl:hal-02896141.

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2021Pricing equity-linked life insurance contracts with multiple risk factors by neural networks. (2020). Delong, Lukasz ; Barigou, Karim. In: Working Papers. RePEc:hal:wpaper:hal-02896141.

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2021Pricing Bermudan options using regression trees/random forests. (2021). Lelong, Jerome ; Henry-Labordere, Pierre ; el Filali, Zineb. In: Working Papers. RePEc:hal:wpaper:hal-03436046.

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2021Power generation portfolios: A parametric formulation of the efficient frontier. (2021). Juarez-Luna, David. In: Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance). RePEc:imx:journl:v:16:y:2021:i:1:a:10.

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2021Power generation portfolios: A parametric formulation of the efficient frontier. (2021). Juarez-Luna, David. In: Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance). RePEc:imx:journl:v:16:y:2021:i:1:p:1-29.

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2021Variance Swaps with Deterministic and Stochastic Correlations. (2021). Kim, See-Woo ; Han, Ah-Reum. In: Computational Economics. RePEc:kap:compec:v:57:y:2021:i:4:d:10.1007_s10614-020-10002-8.

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2022Option Pricing by the Legendre Wavelets Method. (2022). Hosseini, Mohammad Mehdi ; Doostaki, Reza. In: Computational Economics. RePEc:kap:compec:v:59:y:2022:i:2:d:10.1007_s10614-021-10100-1.

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2022Analytically Pricing European Options under a New Two-Factor Heston Model with Regime Switching. (2022). He, Xin-Jiang ; Lin, Sha. In: Computational Economics. RePEc:kap:compec:v:59:y:2022:i:3:d:10.1007_s10614-021-10117-6.

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2021The value of power-related options under spectrally negative Lévy processes. (2021). Aguilar, Jean-Philippe. In: Review of Derivatives Research. RePEc:kap:revdev:v:24:y:2021:i:2:d:10.1007_s11147-020-09174-0.

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2022Deep calibration of financial models: turning theory into practice. (2022). Rosch, Daniel ; Nagl, Maximilian ; Kratochwil, Michael ; Buchel, Patrick. In: Review of Derivatives Research. RePEc:kap:revdev:v:25:y:2022:i:2:d:10.1007_s11147-021-09183-7.

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2022A multidimensional Hilbert transform approach for barrier option pricing and survival probability calculation. (2022). Zhang, Gongqiu ; Li, Lingfei ; Fan, Liaoyuan ; Chen, Jie. In: Review of Derivatives Research. RePEc:kap:revdev:v:25:y:2022:i:2:d:10.1007_s11147-022-09186-y.

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2021Challenges in approximating the Black and Scholes call formula with hyperbolic tangents. (2021). Orlando, Giuseppe ; Taglialatela, Giovanni ; Mininni, Michele. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:44:y:2021:i:1:d:10.1007_s10203-020-00305-8.

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2021Adaptive stochastic risk estimation of firm operating profit. (2021). Anakolu, Ethem ; Akca, Ahmet. In: Economia e Politica Industriale: Journal of Industrial and Business Economics. RePEc:spr:epolin:v:48:y:2021:i:3:d:10.1007_s40812-021-00184-z.

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2021Implied volatility estimation of bitcoin options and the stylized facts of option pricing. (2021). Gulzar, Saqib ; Zulfiqar, Noshaba. In: Financial Innovation. RePEc:spr:fininn:v:7:y:2021:i:1:d:10.1186_s40854-021-00280-y.

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2022A Fourier Transform Method for Solving Backward Stochastic Differential Equations. (2022). Zhang, Gongqiu ; Li, Lingfei ; Ge, Yingming. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:24:y:2022:i:1:d:10.1007_s11009-021-09860-y.

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2022Deep Learning for Constrained Utility Maximisation. (2022). Zheng, Harry ; Davey, Ashley. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:24:y:2022:i:2:d:10.1007_s11009-021-09912-3.

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2021A semianalytical formula for European options under a hybrid Heston–Cox–Ingersoll–Ross model with regime switching. (2021). Chen, Wenting. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:1:p:343-352.

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2022Multistep forecast of the implied volatility surface using deep learning. (2022). Wang, Zhiguang ; Medvedev, Nikita. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:42:y:2022:i:4:p:645-667.

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Works by Cornelis W. Oosterlee:


YearTitleTypeCited
2014Monte Carlo Calculation of Exposure Profiles and Greeks for Bermudan and Barrier Options under the Heston Hull-White Model In: Papers.
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2016Pricing Bermudan options under local L\evy models with default In: Papers.
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2016On the wavelets-based SWIFT method for backward stochastic differential equations In: Papers.
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2019Pricing options and computing implied volatilities using neural networks In: Papers.
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