Cornelis W. Oosterlee : Citation Profile


Are you Cornelis W. Oosterlee?

7

H index

7

i10 index

304

Citations

RESEARCH PRODUCTION:

32

Articles

18

Papers

1

Books

RESEARCH ACTIVITY:

   13 years (2007 - 2020). See details.
   Cites by year: 23
   Journals where Cornelis W. Oosterlee has often published
   Relations with other researchers
   Recent citing documents: 82.    Total self citations: 26 (7.88 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/poo16
   Updated: 2020-09-14    RAS profile: 2020-04-22    
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Relations with other researchers


Works with:

Pascucci, Andrea (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)

Nikitopoulos-Sklibosios, Christina (8)

Germano, Guido (6)

Chiarella, Carl (5)

Ballotta, Laura (5)

Gnoatto, Alessandro (5)

Recchioni, Maria (4)

Itkin, Andrey (3)

Escobar Anel, Marcos (3)

Kang, Boda (3)

Rayée, Grégory (3)

Cites to:

Fang, Fang (26)

Singleton, Kenneth (9)

Duffie, Darrell (8)

pan, jun (7)

Longstaff, Francis (7)

merton, robert (5)

Grzelak, Lech (5)

Pascucci, Andrea (4)

Lord, Roger (4)

Jarrow, Robert (3)

Basak, Suleyman (3)

Main data


Where Cornelis W. Oosterlee has published?


Journals with more than one article published# docs
International Journal of Theoretical and Applied Finance (IJTAF)7
Quantitative Finance6
Applied Mathematical Finance4
Applied Mathematics and Computation3
Risks2
Insurance: Mathematics and Economics2
Energy Economics2
Journal of Economic Dynamics and Control2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org8
MPRA Paper / University Library of Munich, Germany7

Recent works citing Cornelis W. Oosterlee (2020 and 2019)


YearTitle of citing document
2019On a hybrid method using trees and finite-differences for pricing options in complex models. (2017). Briani, Maya ; Zanette, Antonino ; Caramellino, Lucia . In: Papers. RePEc:arx:papers:1603.07225.

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2019Dynamic Portfolio Optimization with Liquidity Cost and Market Impact: A Simulation-and-Regression Approach. (2017). Zhang, Rongju ; Hamza, Kais ; Klebaner, Fima ; Zhu, Zili ; Tian, YU ; Langren, Nicolas. In: Papers. RePEc:arx:papers:1610.07694.

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2020Pricing variance swaps with stochastic volatility and stochastic interest rate under full correlation structure. (2016). Cao, Jiling ; Nazirah, Teh Raihana ; Zhang, Wenjun. In: Papers. RePEc:arx:papers:1610.09714.

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2020Hilbert transform, spectral filtering and option pricing. (2017). Germano, Guido ; Fusai, Gianluca ; Marazzina, Daniele ; Phelan, Carolyn E. In: Papers. RePEc:arx:papers:1706.09755.

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2019Polynomial Jump-Diffusion Models. (2019). Larsson, Martin ; Filipovi, Damir. In: Papers. RePEc:arx:papers:1711.08043.

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2020Rational Models for Inflation-Linked Derivatives. (2018). Sloth, David ; Skovmand, David ; Macrina, Andrea ; Dam, Henrik. In: Papers. RePEc:arx:papers:1801.08804.

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2019The Heston stochastic volatility model with piecewise constant parameters - efficient calibration and pricing of window barrier options. (2019). Boenkost, Wolfram ; Guterding, Daniel. In: Papers. RePEc:arx:papers:1805.04704.

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2019Lifting the Heston model. (2018). Jaber, Eduardo Abi. In: Papers. RePEc:arx:papers:1810.04868.

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2019Hedging and Pricing European-type, Early-Exercise and Discrete Barrier Options using Algorithm for the Convolution of Legendre Series. (2019). Hale, Nicholas ; Chan, Tat Lung. In: Papers. RePEc:arx:papers:1811.09257.

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2020Closed-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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2020Deep Learning for Ranking Response Surfaces with Applications to Optimal Stopping Problems. (2019). Hu, Ruimeng. In: Papers. RePEc:arx:papers:1901.03478.

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2019A Backward Simulation Method for Stochastic Optimal Control Problems. (2019). Weng, Chengguo ; Shen, Zhiyi. In: Papers. RePEc:arx:papers:1901.06715.

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2019Deep Learning Volatility. (2019). Tomas, Mehdi ; Muguruza, Aitor ; Horvath, Blanka. In: Papers. RePEc:arx:papers:1901.09647.

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2019Gaussian Process Regression for Derivative Portfolio Modeling and Application to CVA Computations. (2019). Dixon, Matthew ; Cr, St'Ephane . In: Papers. RePEc:arx:papers:1901.11081.

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2019Static and semi-static hedging as contrarian or conformist bets. (2019). Boyarchenko, Svetlana ; Levendorskii, Sergei. In: Papers. RePEc:arx:papers:1902.02854.

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2019Pricing foreign exchange options under stochastic volatility and interest rates using an RBF--FD method. (2019). Itkin, Andrey ; Soleymani, Fazlollah. In: Papers. RePEc:arx:papers:1903.00937.

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2019A fast method for pricing American options under the variance gamma model. (2019). Hirsa, Ali ; Fu, Weilong. In: Papers. RePEc:arx:papers:1903.07519.

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2019ADOL - Markovian approximation of rough lognormal model. (2019). Itkin, Andrey ; Carr, Peter. In: Papers. RePEc:arx:papers:1904.09240.

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2019A simple and efficient numerical method for pricing discretely monitored early-exercise options. (2019). Luo, Guo ; Huang, Min. In: Papers. RePEc:arx:papers:1905.13407.

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2019Solving 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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2019`Regression Anytime with Brute-Force SVD Truncation. (2019). Schweizer, Nikolaus ; Bender, Christian. In: Papers. RePEc:arx:papers:1908.08264.

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2019On deep calibration of (rough) stochastic volatility models. (2019). Tomas, Mehdi ; Stemper, Benjamin ; Muguruza, Aitor ; Horvath, Blanka ; Bayer, Christian. In: Papers. RePEc:arx:papers:1908.08806.

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2019Expansion method for pricing foreign exchange options under stochastic volatility and interest rates. (2019). Nagami, Kenji. In: Papers. RePEc:arx:papers:1908.09640.

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2019The 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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2020Neural networks for option pricing and hedging: a literature review. (2019). Wang, Weiguan ; Ruf, Johannes. In: Papers. RePEc:arx:papers:1911.05620.

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2019Neural network for pricing and universal static hedging of contingent claims. (2019). Jain, Shashi ; Bhardawaj, Vikram ; Lokeshwar, Vikranth. In: Papers. RePEc:arx:papers:1911.11362.

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2020A Machine Learning Approach to Adaptive Robust Utility Maximization and Hedging. (2019). Ludkovski, Michael ; Chen, Tao. In: Papers. RePEc:arx:papers:1912.00244.

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2019Artificial boundary method for the solution of pricing European options under the Heston model. (2019). Huang, Zhongyi ; Li, Hongshan. In: Papers. RePEc:arx:papers:1912.00691.

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2019Speed-up credit exposure calculations for pricing and risk management. (2019). Potz, Christian ; Pachon, Ricardo ; Glau, Kathrin. In: Papers. RePEc:arx:papers:1912.01280.

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2020Asymptotics of the time-discretized log-normal SABR model: The implied volatility surface. (2020). Zhu, Lingjiong ; Pirjol, Dan. In: Papers. RePEc:arx:papers:2001.09850.

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2020Intra-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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2020An iterative splitting method for pricing European options under the Heston model. (2020). Huang, Zhongyi ; Li, Hongshan. In: Papers. RePEc:arx:papers:2003.12934.

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2020An arbitrage-free interpolation of class $C^2$ for option prices. (2020). le Floc, Fabien. In: Papers. RePEc:arx:papers:2004.08650.

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2020Deep 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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2020Financial option valuation by unsupervised learning with artificial neural networks. (2020). van der Meer, Remco ; Oosterlee, Cornelis W ; Salvador, Beatriz. In: Papers. RePEc:arx:papers:2005.12059.

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2020Notes on the SWIFT method based on Shannon Wavelets for Option Pricing. (2020). le Floc, Fabien. In: Papers. RePEc:arx:papers:2005.13252.

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2020Pricing Temperature Derivatives under a Time-Changed Levy Model. (2020). Olivares, Pablo. In: Papers. RePEc:arx:papers:2005.14350.

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2020Pricing Energy Contracts under Regime Switching Time-Changed models. (2020). Olivares, Pablo ; Ferrando, Sebastian ; Gajewski, Konrad. In: Papers. RePEc:arx:papers:2005.14361.

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2020Explicit approximations for option prices via Malliavin calculus for the stochastic Verhulst volatility model. (2020). Langren, Nicolas ; Das, Kaustav. In: Papers. RePEc:arx:papers:2006.01542.

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2020Learning 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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2020Fast calibration of the LIBOR Market Model with Stochastic Volatility based on analytical gradient. (2020). Arrouy, Pierre-Edouard ; Herv'e Andres, ; Mehalla, Sophian ; Boumezoued, Alexandre ; Bonnefoy, Paul. In: Papers. RePEc:arx:papers:2006.13521.

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2020An unsupervised deep learning approach in solving partial-integro differential equations. (2020). Fu, Weilong ; Hirsa, Ali. In: Papers. RePEc:arx:papers:2006.15012.

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2020The Term Structures of Loss and Gain Uncertainty. (2020). Feunou, Bruno ; Xu, Lai ; Tedongap, Romeo ; Aliouchkin, Ricardo Lopez. In: Staff Working Papers. RePEc:bca:bocawp:20-19.

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2020Efficient Solutions for Pricing and Hedging Interest Rate Asian Options. (). Machado, Jose Valentim ; Baczynski, Jack ; da Silva, Allan Jonathan . In: Working Papers Series. RePEc:bcb:wpaper:513.

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2020Static and semistatic hedging as contrarian or conformist bets. (2020). Boyarchenko, Svetlana ; Levendorski, Sergei. In: Mathematical Finance. RePEc:bla:mathfi:v:30:y:2020:i:3:p:921-960.

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2019Volatility swaps valuation under stochastic volatility with jumps and stochastic intensity. (2019). Huang, Nan-Jing ; Wang, Ming-Hui ; Yue, Jia ; Yang, Ben-Zhang. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:355:y:2019:i:c:p:73-84.

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2019The value of enhanced flexibility of gas-fired power plants: A real options analysis. (2019). Madlener, Reinhard ; Glensk, Barbara. In: Applied Energy. RePEc:eee:appene:v:251:y:2019:i:c:45.

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2019Efficient computation of european option prices and their sensitivities with the complex fourier series method. (2019). Chan, Tat Lung. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940818304200.

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2019An analytical approximation approach for pricing European options in a two-price economy. (2019). Yi, Zhigao ; Zhang, Yue ; Li, Zhe. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940818306065.

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2020Explicit expressions to counterparty credit exposures for Forward and European Option. (2020). Zhao, Yanlong ; Bao, Ying ; Peng, Cheng ; Li, Shuang. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940819302475.

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2019Integrated structural approach to Credit Value Adjustment. (2019). Ballotta, Laura ; Marazzina, Daniele ; Fusai, Gianluca. In: European Journal of Operational Research. RePEc:eee:ejores:v:272:y:2019:i:3:p:1143-1157.

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2019On the calibration of the 3/2 model. (2019). Vyncke, David ; Gudmundsson, Hilmar. In: European Journal of Operational Research. RePEc:eee:ejores:v:276:y:2019:i:3:p:1178-1192.

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2020Early exercise boundaries for American-style knock-out options. (2020). Ruas, Joo Pedro ; Vidal, Joo Pedro ; Dias, Jose Carlos. In: European Journal of Operational Research. RePEc:eee:ejores:v:285:y:2020:i:2:p:753-766.

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2019A data-driven neural network approach to optimal asset allocation for target based defined contribution pension plans. (2019). Forsyth, Peter A ; Li, Yuying. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:86:y:2019:i:c:p:189-204.

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2019Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets. (2019). Leippold, Markus ; Gourier, Elise ; Bardgett, Chris. In: Journal of Financial Economics. RePEc:eee:jfinec:v:131:y:2019:i:3:p:593-618.

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2019A review of asset management literature on multi-asset systems. (2019). Petchrompo, Sanyapong ; Parlikad, Ajith Kumar. In: Reliability Engineering and System Safety. RePEc:eee:reensy:v:181:y:2019:i:c:p:181-201.

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2019Automatic generation control for the flexible operation of multimodular high temperature gas-cooled reactor plants. (2019). Dong, Yujie ; Zhang, Zuoyi ; Liu, Miao ; Huang, Xiaojin. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:108:y:2019:i:c:p:11-31.

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2019Pricing discrete barrier options under jump-diffusion model with liquidity risk. (2019). Li, Zhe ; Zhang, Yue ; Liu, Yong-Jun. In: International Review of Economics & Finance. RePEc:eee:reveco:v:59:y:2019:i:c:p:347-368.

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2019Estimating the discounted density of the deficit at ruin by Fourier cosine series expansion. (2019). Zhang, Zhimin ; Su, Wen ; Yang, Yang. In: Statistics & Probability Letters. RePEc:eee:stapro:v:146:y:2019:i:c:p:147-155.

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2019Energiewende @ Risk: On the Continuation of Renewable Power Generation at the End of Public Policy Support. (2019). Madlener, Reinhard ; Glensk, Barbara. In: Energies. RePEc:gam:jeners:v:12:y:2019:i:19:p:3616-:d:269624.

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2019Arbitrage Free Approximations to Candidate Volatility Surface Quotations. (2019). Schoutens, Wim ; Madan, Dilip B. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:2:p:69-:d:224708.

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2019Lifting the Heston model. (2019). Jaber, Eduardo Abi. In: Post-Print. RePEc:hal:journl:hal-01890751.

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2019Skewed target range strategy for multiperiod portfolio optimization using a two-stage least squares Monte Carlo method. (2019). Hamza, Kais ; Klebaner, Fima ; Zhu, Zili ; Tian, YU ; Langrene, Nicolas ; Zhang, Rongju. In: Post-Print. RePEc:hal:journl:hal-02909342.

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2020Fast calibration of the LIBOR Market Model with Stochastic Volatility based on analytical gradient. (2020). Arrouy, Pierre-Edouard ; Andres, Herve ; Mehalla, Sophian ; Boumezoued, Alexandre ; Bonnefoy, Paul. In: Working Papers. RePEc:hal:wpaper:hal-02875623.

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2020Neural Network pricing of American put options. (2020). Sequeira, Bernardo ; Lopes, Sara D ; Gaspar, Raquel M. In: Working Papers REM. RePEc:ise:remwps:wp01222020.

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2020Pricing Vulnerable Options with Stochastic Volatility and Stochastic Interest Rate. (2020). Yue, Shengjie ; Ma, Chaoqun ; Wu, Hui. In: Computational Economics. RePEc:kap:compec:v:56:y:2020:i:2:d:10.1007_s10614-019-09929-4.

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2019Power generation portfolios: A parametric formulation of the efficient frontier. (2019). Juarez-Luna, David. In: MPRA Paper. RePEc:pra:mprapa:94814.

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2020Beneficios económicos y ambientales de la energía nuclear. (2020). Juarez-Luna, David. In: MPRA Paper. RePEc:pra:mprapa:98790.

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2019Energiewende @ Risk: On the Continuation of Renewable Power Generation at the End of Public Policy Support. (2019). Madlener, Reinhard ; Glensk, Barbara. In: FCN Working Papers. RePEc:ris:fcnwpa:2019_005.

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2019Hilbert transform, spectral filters and option pricing. (2019). Fusai, Gianluca ; Marazzina, Daniele ; Phelan, Carolyn E ; Germano, Guido . In: Annals of Operations Research. RePEc:spr:annopr:v:282:y:2019:i:1:d:10.1007_s10479-018-2881-4.

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2020Robust portfolio optimization: a categorized bibliographic review. (2020). Steuer, Ralph ; Xidonas, Panos ; Hassapis, Christis. In: Annals of Operations Research. RePEc:spr:annopr:v:292:y:2020:i:1:d:10.1007_s10479-020-03630-8.

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2020Computing credit valuation adjustment solving coupled PIDEs in the Bates model. (2020). Molent, Andrea ; Goudenege, Ludovic ; Zanette, Antonino. In: Computational Management Science. RePEc:spr:comgts:v:17:y:2020:i:2:d:10.1007_s10287-020-00365-6.

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2019Semi-analytical prices for lookback and barrier options under the Heston model. (2019). Bernard, Carole ; de Gennaro, Luca. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:42:y:2019:i:2:d:10.1007_s10203-019-00254-x.

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2019Stochastic Modelling of New Phenomena in Financial Markets. (2019). Alfeus, Mesias. In: PhD Thesis. RePEc:uts:finphd:41.

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2020Deep xVA solver - A neural network based counterparty credit risk management framework. (2020). Reisinger, Christoph ; Picarelli, Athena ; Gnoatto, Alessandro. In: Working Papers. RePEc:ver:wpaper:07/2020.

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2020Artificial Neural Networks Performance in WIG20 Index Options Pricing. (2020). Ślepaczuk, Robert ; Wysocki, Maciej. In: Working Papers. RePEc:war:wpaper:2020-19.

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2019Hyperbolic normal stochastic volatility model. (2019). Liu, Chenru ; Choi, Jaehyuk ; Ki, Byoung. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:39:y:2019:i:2:p:186-204.

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2020Willow tree algorithms for pricing VIX derivatives under stochastic volatility models. (2020). Kwok, Yue Kuen ; Xu, Wei ; Ma, Changfu. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:07:y:2020:i:01:n:s2424786320500036.

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2019SWING OPTION PRICING BY DYNAMIC PROGRAMMING WITH B-SPLINE DENSITY PROJECTION. (2019). Deng, Shi-Jie ; Kirkby, Lars J. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:22:y:2019:i:08:n:s0219024919500389.

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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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paper0
2016On the wavelets-based SWIFT method for backward stochastic differential equations In: Papers.
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paper0
2019Pricing options and computing implied volatilities using neural networks In: Papers.
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paper4
2019Pricing Options and Computing Implied Volatilities using Neural Networks.(2019) In: Risks.
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article
2019A neural network-based framework for financial model calibration In: Papers.
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paper5
2019Efficient Computation of Various Valuation Adjustments Under Local L\evy Models In: Papers.
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paper1
2020On Calibration Neural Networks for extracting implied information from American options In: Papers.
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paper1
2020A deep learning approach for computations of exposure profiles for high-dimensional Bermudan options In: Papers.
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paper0
2012Two-dimensional Fourier cosine series expansion method for pricing financial options In: CPB Discussion Paper.
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paper3
2014The social discount rate under a stochastic A2 scenario In: CPB Discussion Paper.
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paper0
2015The Stochastic Grid Bundling Method: Efficient pricing of Bermudan options and their Greeks In: Applied Mathematics and Computation.
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article5
2017On a one time-step Monte Carlo simulation approach of the SABR model: Application to European options In: Applied Mathematics and Computation.
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2018On the data-driven COS method In: Applied Mathematics and Computation.
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article1
2016Multi-period mean–variance portfolio optimization based on Monte-Carlo simulation In: Journal of Economic Dynamics and Control.
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article7
2016On pre-commitment aspects of a time-consistent strategy for a mean-variance investor In: Journal of Economic Dynamics and Control.
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article2
2013Valuing modular nuclear power plants in finite time decision horizon In: Energy Economics.
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2014Decision-support tool for assessing future nuclear reactor generation portfolios In: Energy Economics.
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article5
2013Pricing inflation products with stochastic volatility and stochastic interest rates In: Insurance: Mathematics and Economics.
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article5
2018From Concentration Profiles to Concentration Maps. New tools for the study of loss distributions In: Insurance: Mathematics and Economics.
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article1
2018Between ℙ and ℚ: The ℙ ℚ Measure for Pricing in Asset Liability Management In: Journal of Risk and Financial Management.
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2019Model-Free Stochastic Collocation for an Arbitrage-Free Implied Volatility, Part II In: Risks.
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article1
2019Model-free stochastic collocation for an arbitrage-free implied volatility: Part I.(2019) In: Decisions in Economics and Finance.
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2017Accurate and Robust Numerical Methods for the Dynamic Portfolio Management Problem In: Computational Economics.
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2007A fast and accurate FFT-based method for pricing early-exercise options under Lévy processes In: MPRA Paper.
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paper43
2010An Equity-Interest Rate Hybrid Model With Stochastic Volatility and the Interest Rate Smile In: MPRA Paper.
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2010On The Heston Model with Stochastic Interest Rates In: MPRA Paper.
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2010On cross-currency models with stochastic volatility and correlated interest rates In: MPRA Paper.
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2012On Cross-Currency Models with Stochastic Volatility and Correlated Interest Rates.(2012) In: Applied Mathematical Finance.
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2008A NOVEL PRICING METHOD FOR EUROPEAN OPTIONS BASED ON FOURIER-COSINE SERIES EXPANSIONS In: MPRA Paper.
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2008A NOVEL PRICING METHOD FOR EUROPEAN OPTIONS BASED ON FOURIER-COSINE SERIES EXPANSIONS.(2008) In: MPRA Paper.
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2008Pricing Early-Exercise and Discrete Barrier Options by Fourier-Cosine Series Expansions In: MPRA Paper.
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paper16
2007On American Options Under the Variance Gamma Process In: Applied Mathematical Finance.
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article13
2016Counterparty Credit Exposures for Interest Rate Derivatives using the Stochastic Grid Bundling Method In: Applied Mathematical Finance.
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2017On the modelling of nested risk-neutral stochastic processes with applications in insurance In: Applied Mathematical Finance.
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2011The affine Heston model with correlated Gaussian interest rates for pricing hybrid derivatives In: Quantitative Finance.
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article2
2012Extension of stochastic volatility equity models with the Hull--White interest rate process In: Quantitative Finance.
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article18
2013Efficient portfolio valuation incorporating liquidity risk In: Quantitative Finance.
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article4
2017On an efficient multiple time step Monte Carlo simulation of the SABR model In: Quantitative Finance.
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2017A novel Monte Carlo approach to hybrid local volatility models In: Quantitative Finance.
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2019The stochastic collocation Monte Carlo sampler: highly efficient sampling from ‘expensive’ distributions In: Quantitative Finance.
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2011Actuariële wetenschappen en financiële wiskunde : op weg naar convergentie? In: Other publications TiSEM.
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2016Fast and accurate exercise policies for Bermudan swaptions in the LIBOR market model In: International Journal of Financial Engineering (IJFE).
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2010ANALYTICAL APPROXIMATION TO CONSTANT MATURITY SWAP CONVEXITY CORRECTIONS IN A MULTI-FACTOR SABR MODEL In: International Journal of Theoretical and Applied Finance (IJTAF).
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2012A LOW-BIAS SIMULATION SCHEME FOR THE SABR STOCHASTIC VOLATILITY MODEL In: International Journal of Theoretical and Applied Finance (IJTAF).
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2014EFFICIENT COMPUTATION OF EXPOSURE PROFILES FOR COUNTERPARTY CREDIT RISK In: International Journal of Theoretical and Applied Finance (IJTAF).
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2014THE HESTON STOCHASTIC-LOCAL VOLATILITY MODEL: EFFICIENT MONTE CARLO SIMULATION In: International Journal of Theoretical and Applied Finance (IJTAF).
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2015THE TIME-DEPENDENT FX-SABR MODEL: EFFICIENT CALIBRATION BASED ON EFFECTIVE PARAMETERS In: International Journal of Theoretical and Applied Finance (IJTAF).
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2017ON ROBUST MULTI-PERIOD PRE-COMMITMENT AND TIME-CONSISTENT MEAN-VARIANCE PORTFOLIO OPTIMIZATION In: International Journal of Theoretical and Applied Finance (IJTAF).
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2017COMPUTING CREDIT VALUATION ADJUSTMENT FOR BERMUDAN OPTIONS WITH WRONG WAY RISK In: International Journal of Theoretical and Applied Finance (IJTAF).
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2019Mathematical Modeling and Computation in Finance:With Exercises and Python and MATLAB Computer Codes In: World Scientific Books.
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