Cornelis W. Oosterlee : Citation Profile

Are you Cornelis W. Oosterlee?

13

H index

15

i10 index

610

Citations

RESEARCH PRODUCTION:

41

Articles

30

Papers

RESEARCH ACTIVITY:

   16 years (2007 - 2023). See details.
   Cites by year: 38
   Journals where Cornelis W. Oosterlee has often published
   Relations with other researchers
   Recent citing documents: 68.    Total self citations: 42 (6.44 %)

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   Permalink: http://citec.repec.org/poo16
   Updated: 2024-04-18    RAS profile: 2022-05-27    
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Relations with other researchers

Works with:

Grzelak, Lech (10)

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

Is cited by:

Escobar Anel, Marcos (12)

Ballotta, Laura (10)

Schlogl, Erik (10)

Grzelak, Lech (8)

Nikitopoulos-Sklibosios, Christina (8)

Orlando, Giuseppe (7)

Itkin, Andrey (7)

Gnoatto, Alessandro (7)

Germano, Guido (6)

Choi, Jaehyuk (4)

Cao, Jiling (4)

Cites to:

Fang, Fang (36)

Duffie, Darrell (12)

Singleton, Kenneth (11)

Pallavicini, Andrea (10)

Brigo, Damiano (10)

Longstaff, Francis (10)

Grzelak, Lech (10)

pan, jun (9)

merton, robert (6)

Jarrow, Robert (5)

Gollier, Christian (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
Insurance: Mathematics and Economics2
Energy Economics2
Journal of Economic Dynamics and Control2

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 (2024 and 2023)

YearTitle of citing document
2024Explicit 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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2023Optimal 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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2023Correlation Estimation in Hybrid Systems. (2021). Law, Baron . In: Papers. RePEc:arx:papers:2111.06042.

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2023Pricing 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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2023Metric Hypertransformers are Universal Adapted Maps. (2022). Pammer, Gudmund ; Kratsios, Anastasis ; Acciaio, Beatrice. In: Papers. RePEc:arx:papers:2201.13094.

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2023Optimal 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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2023Efficient Wrong-Way Risk Modelling for Funding Valuation Adjustments. (2022). Oosterlee, C W ; Grzelak, L A ; van der Zwaard, T. In: Papers. RePEc:arx:papers:2209.12222.

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2024On Pricing of Discrete Asian and Lookback Options under the Heston Model. (2022). Grzelak, Lech A ; Perotti, Leonardo. In: Papers. RePEc:arx:papers:2211.03638.

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2024Accelerated Computations of Sensitivities for xVA. (2022). Wolf, Felix ; Grzelak, Lech A ; Deelstra, Griselda. In: Papers. RePEc:arx:papers:2211.17026.

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2023Fast Barrier Option Pricing by the COS BEM Method in Heston Model. (2023). Sanfelici, S ; Ortiz-Gracia, L ; Guardasoni, C ; Aimi, A. In: Papers. RePEc:arx:papers:2301.00648.

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2023Option pricing under the normal SABR model with Gaussian quadratures. (2023). Ki, Byoung ; Choi, Jaehyuk. In: Papers. RePEc:arx:papers:2301.02797.

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2023GPU acceleration of the Seven-League Scheme for large time step simulations of stochastic differential equations. (2023). Oosterlee, Cornelis W ; Grzelak, Lech A ; Colonna, Graziana ; Liu, Shuaiqiang. In: Papers. RePEc:arx:papers:2302.05170.

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2023Simultaneous upper and lower bounds of American option prices with hedging via neural networks. (2023). Wu, Jia Hao ; Langren, Nicolas ; Guo, Ivan. In: Papers. RePEc:arx:papers:2302.12439.

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2024How to handle the COS method for option pricing. (2023). Junike, Gero. In: Papers. RePEc:arx:papers:2303.16012.

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2023Learning Volatility Surfaces using Generative Adversarial Networks. (2023). Wan, Justin ; Zhang, Meixin ; Na, Andrew. In: Papers. RePEc:arx:papers:2304.13128.

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2023Mean-variance dynamic portfolio allocation with transaction costs: a Wiener chaos expansion approach. (2023). Picard, Tom ; Lelong, J'Erome ; Cousin, Areski. In: Papers. RePEc:arx:papers:2305.16152.

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2023Optimal Market Making in the Chinese Stock Market: A Stochastic Control and Scenario Analysis. (2023). Sun, Danny D ; Liu, Shuaiqiang ; Gong, Shiqi. In: Papers. RePEc:arx:papers:2306.02764.

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2023Greeks pitfalls for the COS method in the Laplace model. (2023). Junike, Gero ; Behrens, Tobias. In: Papers. RePEc:arx:papers:2306.08421.

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2023Option Pricing for the Variance Gamma Model: A New Perspective. (2023). Wang, Haixu ; Cheng, Zailei. In: Papers. RePEc:arx:papers:2306.10659.

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2024Deep calibration with random grids. (2023). Rossi, Pietro ; Bormetti, Giacomo ; Baschetti, Fabio. In: Papers. RePEc:arx:papers:2306.11061.

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2023Machine learning for option pricing: an empirical investigation of network architectures. (2023). Papazoglou-Hennig, Jonas ; Papapantoleon, Antonis ; van Mieghem, Laurens. In: Papers. RePEc:arx:papers:2307.07657.

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2023The multidimensional COS method for option pricing. (2023). Stier, Hauke ; Junike, Gero. In: Papers. RePEc:arx:papers:2307.12843.

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2023D-TIPO: Deep time-inconsistent portfolio optimization with stocks and options. (2023). Oosterlee, Cornelis W ; Andersson, Kristoffer. In: Papers. RePEc:arx:papers:2308.10556.

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2024iCOS: Option-Implied COS Method. (2023). Vladimirov, Evgenii. In: Papers. RePEc:arx:papers:2309.00943.

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2023Fourier Neural Network Approximation of Transition Densities in Finance. (2023). Dang, Duy-Minh ; Du, Rong. In: Papers. RePEc:arx:papers:2309.03966.

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2023A monotone numerical integration method for mean-variance portfolio optimization under jump-diffusion models. (2023). Dang, Duy-Minh ; Zhang, Hanwen. In: Papers. RePEc:arx:papers:2309.05977.

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2023The ATM implied skew in the ADO-Heston model. (2023). Itkin, Andrey. In: Papers. RePEc:arx:papers:2309.15044.

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2023A semi-Lagrangian $\epsilon$-monotone Fourier method for continuous withdrawal GMWBs under jump-diffusion with stochastic interest rate. (2023). Dang, Duy-Minh ; Lu, Yaowen. In: Papers. RePEc:arx:papers:2310.00606.

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2023Integration of Fractional Order Black-Scholes Merton with Neural Network. (2023). Maitra, Sarit. In: Papers. RePEc:arx:papers:2310.04464.

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2023Neural Network for valuing Bitcoin options under jump-diffusion and market sentiment model. (2023). Umeorah, Nneka ; Mwambi, Sutene ; Mba, Jules Clement ; Pindza, Edson. In: Papers. RePEc:arx:papers:2310.09622.

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2024No-Arbitrage Deep Calibration for Volatility Smile and Skewness. (2023). Phelan, Carolyn E ; Hoshisashi, Kentaro ; Barucca, Paolo. In: Papers. RePEc:arx:papers:2310.16703.

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2023Multi-stage Euler-Maruyama methods for backward stochastic differential equations driven by continuous-time Markov chains. (2023). Kaneko, Akihiro. In: Papers. RePEc:arx:papers:2311.08826.

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2023Fast calculation of Counterparty Credit exposures and associated sensitivities using fourier series expansion. (2023). Shen, Xiaoyu ; Mast, Gijs ; Fang, Fang. In: Papers. RePEc:arx:papers:2311.12575.

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2023Analytical solvability and exact simulation in models with affine stochastic volatility and Lévy jumps. (2023). Kwok, Yue Kuen ; Jiang, Pingping ; Xu, Ziqing ; Zeng, Pingping. In: Mathematical Finance. RePEc:bla:mathfi:v:33:y:2023:i:3:p:842-890.

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2023Foreign Exchange Options on Heston-CIR Model Under Lévy Process Framework. (2023). Orlando, Giuseppe ; Samimi, Oldouz ; Mehrdoust, Farshid ; Ascione, Giacomo. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:446:y:2023:i:c:s0096300323000206.

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2023Finite-time expected present value of operating costs until ruin in a Cox risk model with periodic observation. (2023). Zhang, Zhimin ; Teng, YE. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:452:y:2023:i:c:s0096300323002436.

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2023A discrete-time hedging framework with multiple factors and fat tails: On what matters. (2023). Begin, Jean-Franois ; Badescu, Alexandru ; Augustyniak, Maciej. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:2:p:416-444.

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2023Hybrid equity swap, cap, and floor pricing under stochastic interest by Markov chain approximation. (2023). Kirkby, Lars J. In: European Journal of Operational Research. RePEc:eee:ejores:v:305:y:2023:i:2:p:961-978.

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2023Robust retirement and life insurance with inflation risk and model ambiguity. (2023). Yan, Tingjin ; Wong, Hoi Ying ; Park, Kyunghyun. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:110:y:2023:i:c:p:1-30.

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2023Efficient Quasi-Bayesian Estimation of Affine Option Pricing Models Using Risk-Neutral Cumulants. (2023). Lutkebohmert, Eva ; Gonzato, Luca ; Brignone, Riccardo. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:148:y:2023:i:c:s0378426622003259.

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2023XVA in a multi-currency setting with stochastic foreign exchange rates. (2023). Vazquez, Carlos ; Simonella, Roberta. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:207:y:2023:i:c:p:59-79.

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2023On a time-changed Lévy risk model with capital injections and periodic observation. (2023). Zhang, Zhimin ; Teng, YE. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:214:y:2023:i:c:p:290-314.

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2023Pricing Multi-Asset Bermudan Commodity Options with Stochastic Volatility Using Neural Networks. (2023). Yamada, Yuji ; Hoshisashi, Kentaro. In: JRFM. RePEc:gam:jjrfmx:v:16:y:2023:i:3:p:192-:d:1094945.

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2023A Semi-Static Replication Method for Bermudan Swaptions under an Affine Multi-Factor Model. (2023). Kandhai, Drona ; Jain, Shashi ; Hoencamp, Jori. In: Risks. RePEc:gam:jrisks:v:11:y:2023:i:10:p:168-:d:1248269.

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2023On the Stochastic Volatility in the Generalized Black-Scholes-Merton Model. (2023). Ivanov, Roman V. In: Risks. RePEc:gam:jrisks:v:11:y:2023:i:6:p:111-:d:1167116.

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2023Pricing Bermudan options using regression trees/random forests. (2023). Lelong, Jerome ; Henry-Labordere, Pierre ; el Filali, Zineb. In: Post-Print. RePEc:hal:journl:hal-03436046.

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2023Mean-variance dynamic portfolio allocation with transaction costs: a Wiener chaos expansion approach. (2023). Picard, Tom ; Lelong, Jerome ; Cousin, Areski. In: Working Papers. RePEc:hal:wpaper:hal-04086378.

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2023Pricing a Specific Equity Index Annuity in a Regime-Switching Lévy Model with Jump. (2023). Wang, Yayun. In: Computational Economics. RePEc:kap:compec:v:61:y:2023:i:3:d:10.1007_s10614-022-10238-6.

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2023On the Modeling and Simulation of Portfolio Allocation Schemes: an Approach Based on Network Community Detection. (2023). Ferretti, Stefano. In: Computational Economics. RePEc:kap:compec:v:62:y:2023:i:3:d:10.1007_s10614-022-10288-w.

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2023A Polynomial-Affine Approximation for Dynamic Portfolio Choice. (2023). Escobar Anel, Marcos ; Zhu, Yichen ; Davison, Matt ; Escobar-Anel, Marcos. In: Computational Economics. RePEc:kap:compec:v:62:y:2023:i:3:d:10.1007_s10614-022-10297-9.

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2023Machine Learning Applications to Valuation of Options on Non-liquid Markets. (2023). Fiura, Milan ; Witzany, Jii. In: FFA Working Papers. RePEc:prg:jnlwps:v:5:y:2023:id:5.001.

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2023Fractional factorial designs for Fourier-cosine models. (2023). Liu, Min-Qian ; Xu, Hongquan ; Wang, Lin. In: Metrika: International Journal for Theoretical and Applied Statistics. RePEc:spr:metrik:v:86:y:2023:i:3:d:10.1007_s00184-022-00881-2.

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2023Sequential Itô–Taylor expansions and characteristic functions of stochastic volatility models. (2023). Cui, Zhenyu ; Ding, Kailin ; Liu, Yanchu. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:12:p:1750-1769.

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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.
[Full Text][Citation analysis]		paper0
2016Pricing Bermudan options under local L\evy models with default In: Papers.
[Full Text][Citation analysis]		paper1
2016On the wavelets-based SWIFT method for backward stochastic differential equations In: Papers.
[Full Text][Citation analysis]		paper0
2019Pricing options and computing implied volatilities using neural networks In: Papers.
[Full Text][Citation analysis]		paper30
2019Pricing Options and Computing Implied Volatilities using Neural Networks.(2019) In: Risks.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 30		article
2019A neural network-based framework for financial model calibration In: Papers.
[Full Text][Citation analysis]		paper25
2019Efficient Computation of Various Valuation Adjustments Under Local L\evy Models In: Papers.
[Full Text][Citation analysis]		paper1
2020On Calibration Neural Networks for extracting implied information from American options In: Papers.
[Full Text][Citation analysis]		paper0
2020A deep learning approach for computations of exposure profiles for high-dimensional Bermudan options In: Papers.
[Full Text][Citation analysis]		paper6
2021A deep learning approach for computations of exposure profiles for high-dimensional Bermudan options.(2021) In: Applied Mathematics and Computation.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 6		article
2020A Computational Approach to Hedging Credit Valuation Adjustment in a Jump-Diffusion Setting In: Papers.
[Full Text][Citation analysis]		paper2
2021A computational approach to hedging Credit Valuation Adjustment in a jump-diffusion setting.(2021) In: Applied Mathematics and Computation.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		article
2020Financial option valuation by unsupervised learning with artificial neural networks In: Papers.
[Full Text][Citation analysis]		paper0
.() In: .
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This paper has nother version. Agregated cites: 0		article
2021The Seven-League Scheme: Deep learning for large time step Monte Carlo simulations of stochastic differential equations In: Papers.
[Full Text][Citation analysis]		paper3
2022The Seven-League Scheme: Deep Learning for Large Time Step Monte Carlo Simulations of Stochastic Differential Equations.(2022) In: Risks.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		article
2020Deep learning for CVA computations of large portfolios of financial derivatives In: Papers.
[Full Text][Citation analysis]		paper2
2021Deep learning for CVA computations of large portfolios of financial derivatives.(2021) In: Applied Mathematics and Computation.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		article
2020Rule-based Strategies for Dynamic Life Cycle Investment In: Papers.
[Full Text][Citation analysis]		paper0
2021Valuation of electricity storage contracts using the COS method In: Papers.
[Full Text][Citation analysis]		paper0
2021Valuation of electricity storage contracts using the COS method.(2021) In: Applied Mathematics and Computation.
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This paper has nother version. Agregated cites: 0		article
2021Monte Carlo Simulation of SDEs using GANs In: Papers.
[Full Text][Citation analysis]		paper2
2021Positive Stochastic Collocation for the Collocated Local Volatility Model In: Papers.
[Full Text][Citation analysis]		paper0
2021Pricing and Hedging Prepayment Risk in a Mortgage Portfolio In: Papers.
[Full Text][Citation analysis]		paper0
2022Solution of integrals with fractional Brownian motion for different Hurst indices In: Papers.
[Full Text][Citation analysis]		paper0
2022Relevance of Wrong-Way Risk in Funding Valuation Adjustments In: Papers.
[Full Text][Citation analysis]		paper1
2023A new self-exciting jump-diffusion process for option pricing In: Papers.
[Full Text][Citation analysis]		paper0
2012Two-dimensional Fourier cosine series expansion method for pricing financial options In: CPB Discussion Paper.
[Full Text][Citation analysis]		paper28
2014The social discount rate under a stochastic A2 scenario In: CPB Discussion Paper.
[Full Text][Citation analysis]		paper0
2015The Stochastic Grid Bundling Method: Efficient pricing of Bermudan options and their Greeks In: Applied Mathematics and Computation.
[Full Text][Citation analysis]		article28
2017On a one time-step Monte Carlo simulation approach of the SABR model: Application to European options In: Applied Mathematics and Computation.
[Full Text][Citation analysis]		article2
2018On the data-driven COS method In: Applied Mathematics and Computation.
[Full Text][Citation analysis]		article9
2021Total value adjustment for a stochastic volatility model. A comparison with the Black–Scholes model In: Applied Mathematics and Computation.
[Full Text][Citation analysis]		article3
2021Corrigendum to ``Total value adjustment for a stochastic volatility model. A comparison with the Black–Scholes model In: Applied Mathematics and Computation.
[Full Text][Citation analysis]		article3
2016Multi-period mean–variance portfolio optimization based on Monte-Carlo simulation In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article18
2016On pre-commitment aspects of a time-consistent strategy for a mean-variance investor In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article7
2013Valuing modular nuclear power plants in finite time decision horizon In: Energy Economics.
[Full Text][Citation analysis]		article5
2014Decision-support tool for assessing future nuclear reactor generation portfolios In: Energy Economics.
[Full Text][Citation analysis]		article8
2013Pricing inflation products with stochastic volatility and stochastic interest rates In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article8
2018From Concentration Profiles to Concentration Maps. New tools for the study of loss distributions In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article3
2019Model-Free Stochastic Collocation for an Arbitrage-Free Implied Volatility, Part II In: Risks.
[Full Text][Citation analysis]		article1
2019Model-free stochastic collocation for an arbitrage-free implied volatility: Part I.(2019) In: Decisions in Economics and Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		article
2017Accurate and Robust Numerical Methods for the Dynamic Portfolio Management Problem In: Computational Economics.
[Full Text][Citation analysis]		article7
2007A fast and accurate FFT-based method for pricing early-exercise options under Lévy processes In: MPRA Paper.
[Full Text][Citation analysis]		paper46
2010An Equity-Interest Rate Hybrid Model With Stochastic Volatility and the Interest Rate Smile In: MPRA Paper.
[Full Text][Citation analysis]		paper2
2010On The Heston Model with Stochastic Interest Rates In: MPRA Paper.
[Full Text][Citation analysis]		paper45
2010On cross-currency models with stochastic volatility and correlated interest rates In: MPRA Paper.
[Full Text][Citation analysis]		paper21
2012On Cross-Currency Models with Stochastic Volatility and Correlated Interest Rates.(2012) In: Applied Mathematical Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 21		article
2008A NOVEL PRICING METHOD FOR EUROPEAN OPTIONS BASED ON FOURIER-COSINE SERIES EXPANSIONS In: MPRA Paper.
[Full Text][Citation analysis]		paper148
2008A NOVEL PRICING METHOD FOR EUROPEAN OPTIONS BASED ON FOURIER-COSINE SERIES EXPANSIONS.(2008) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 148		paper
2008Pricing Early-Exercise and Discrete Barrier Options by Fourier-Cosine Series Expansions In: MPRA Paper.
[Full Text][Citation analysis]		paper15
2007On American Options Under the Variance Gamma Process In: Applied Mathematical Finance.
[Full Text][Citation analysis]		article17
2016Counterparty Credit Exposures for Interest Rate Derivatives using the Stochastic Grid Bundling Method In: Applied Mathematical Finance.
[Full Text][Citation analysis]		article9
2017On the modelling of nested risk-neutral stochastic processes with applications in insurance In: Applied Mathematical Finance.
[Full Text][Citation analysis]		article0
2011The affine Heston model with correlated Gaussian interest rates for pricing hybrid derivatives In: Quantitative Finance.
[Full Text][Citation analysis]		article9
2012Extension of stochastic volatility equity models with the Hull--White interest rate process In: Quantitative Finance.
[Full Text][Citation analysis]		article24
2013Efficient portfolio valuation incorporating liquidity risk In: Quantitative Finance.
[Full Text][Citation analysis]		article4
2017On an efficient multiple time step Monte Carlo simulation of the SABR model In: Quantitative Finance.
[Full Text][Citation analysis]		article7
2017A novel Monte Carlo approach to hybrid local volatility models In: Quantitative Finance.
[Full Text][Citation analysis]		article2
2019The stochastic collocation Monte Carlo sampler: highly efficient sampling from ‘expensive’ distributions In: Quantitative Finance.
[Full Text][Citation analysis]		article10
2011Actuariële wetenschappen en financiële wiskunde : op weg naar convergentie? In: Other publications TiSEM.
[Full Text][Citation analysis]		paper0
2020Lorenz-generated bivariate Archimedean copulas In: Dependence Modeling.
[Full Text][Citation analysis]		article0
2016Fast and accurate exercise policies for Bermudan swaptions in the LIBOR market model In: International Journal of Financial Engineering (IJFE).
[Full Text][Citation analysis]		article1
2010ANALYTICAL APPROXIMATION TO CONSTANT MATURITY SWAP CONVEXITY CORRECTIONS IN A MULTI-FACTOR SABR MODEL In: International Journal of Theoretical and Applied Finance (IJTAF).
[Full Text][Citation analysis]		article0
2012A LOW-BIAS SIMULATION SCHEME FOR THE SABR STOCHASTIC VOLATILITY MODEL In: International Journal of Theoretical and Applied Finance (IJTAF).
[Full Text][Citation analysis]		article10
2014EFFICIENT COMPUTATION OF EXPOSURE PROFILES FOR COUNTERPARTY CREDIT RISK In: International Journal of Theoretical and Applied Finance (IJTAF).
[Full Text][Citation analysis]		article7
2014THE HESTON STOCHASTIC-LOCAL VOLATILITY MODEL: EFFICIENT MONTE CARLO SIMULATION In: International Journal of Theoretical and Applied Finance (IJTAF).
[Full Text][Citation analysis]		article20
2015THE TIME-DEPENDENT FX-SABR MODEL: EFFICIENT CALIBRATION BASED ON EFFECTIVE PARAMETERS In: International Journal of Theoretical and Applied Finance (IJTAF).
[Full Text][Citation analysis]		article1
2017ON ROBUST MULTI-PERIOD PRE-COMMITMENT AND TIME-CONSISTENT MEAN-VARIANCE PORTFOLIO OPTIMIZATION In: International Journal of Theoretical and Applied Finance (IJTAF).
[Full Text][Citation analysis]		article7
2017COMPUTING CREDIT VALUATION ADJUSTMENT FOR BERMUDAN OPTIONS WITH WRONG WAY RISK In: International Journal of Theoretical and Applied Finance (IJTAF).
[Full Text][Citation analysis]		article1
2020COLLOCATING VOLATILITY: A COMPETITIVE ALTERNATIVE TO STOCHASTIC LOCAL VOLATILITY MODELS In: International Journal of Theoretical and Applied Finance (IJTAF).
[Full Text][Citation analysis]		article1

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