Cornelis W. Oosterlee : Citation Profile

14

H index

19

i10 index

696

Citations

RESEARCH PRODUCTION:

42

Articles

30

Papers

RESEARCH ACTIVITY:

   16 years (2007 - 2023). See details.
   Cites by year: 43
   Journals where Cornelis W. Oosterlee has often published
   Relations with other researchers
   Recent citing documents: 87.    Total self citations: 42 (5.69 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/poo16
   Updated: 2026-01-17    RAS profile: 2022-05-27    
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Relations with other researchers

Works with:

Grzelak, Lech (8)

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 (13)

Ballotta, Laura (10)

Schlogl, Erik (10)

Nikitopoulos-Sklibosios, Christina (8)

Orlando, Giuseppe (8)

Grzelak, Lech (8)

Itkin, Andrey (7)

Gnoatto, Alessandro (7)

Germano, Guido (6)

Boyarchenko, Svetlana (5)

Cao, Jiling (4)

Cites to:

Fang, Fang (36)

Singleton, Kenneth (11)

Longstaff, Francis (11)

Duffie, Darrell (11)

Pallavicini, Andrea (10)

Grzelak, Lech (10)

Brigo, Damiano (10)

pan, jun (9)

merton, robert (6)

Shalit, Haim (4)

Weron, Rafał (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
Energy Economics2
Insurance: Mathematics and 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 (2025 and 2024)

YearTitle of citing document
2024Participating life insurances in an equity-Libor Market Model. (2024). Devineau, Laurent ; Hainaut, Donatien. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2024015.

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2025Explicit approximations of option prices via Malliavin calculus in a general stochastic volatility framework. (2025). Langren, Nicolas ; Das, Kaustav. In: Papers. RePEc:arx:papers:2006.01542.

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2024Efficient Wrong-Way Risk Modelling for Funding Valuation Adjustments. (2024). van der Zwaard, T ; Grzelak, L A ; Oosterlee, C W. In: Papers. RePEc:arx:papers:2209.12222.

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

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2024Randomization of Short-Rate Models, Analytic Pricing and Flexibility in Controlling Implied Volatilities. (2024). Grzelak, Lech A. In: Papers. RePEc:arx:papers:2211.05014.

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

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2024Simultaneous upper and lower bounds of American-style option prices with hedging via neural networks. (2024). Langren, Nicolas ; Wu, Jiahao ; Guo, Ivan. In: Papers. RePEc:arx:papers:2302.12439.

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2024On the number of terms in the COS method for European option pricing. (2024). Junike, Gero. In: Papers. RePEc:arx:papers:2303.16012.

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2024Failure of Fourier pricing techniques to approximate the Greeks. (2024). Behrens, Tobias ; Junike, Gero. In: Papers. RePEc:arx:papers:2306.08421.

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

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2024From characteristic functions to multivariate distribution functions and European option prices by the damped COS method. (2024). Stier, Hauke ; Junike, Gero. In: Papers. RePEc:arx:papers:2307.12843.

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

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2024Fourier Neural Network Approximation of Transition Densities in Finance. (2024). Du, Rong ; Dang, Duy-Minh. In: Papers. RePEc:arx:papers:2309.03966.

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

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2025Principal Component Copulas for Capital Modelling and Systemic Risk. (2024). Gubbels, K B ; Ypma, J Y ; Oosterlee, C W. In: Papers. RePEc:arx:papers:2312.13195.

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2025A monotone piecewise constant control integration approach for the two-factor uncertain volatility model. (2025). Zhou, Hao ; Dang, Duy-Minh. In: Papers. RePEc:arx:papers:2402.06840.

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2024Optimizing Neural Networks for Bermudan Option Pricing: Convergence Acceleration, Future Exposure Evaluation and Interpolation in Counterparty Credit Risk. (2024). Dhandapani, Vikranth Lokeshwar ; Jain, Shashi. In: Papers. RePEc:arx:papers:2402.15936.

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2025Quasi-Monte Carlo with Domain Transformation for Efficient Fourier Pricing of Multi-Asset Options. (2025). Tempone, Ra'Ul ; Samet, Michael ; Bayer, Christian ; ben Hammouda, Chiheb ; Papapantoleon, Antonis. In: Papers. RePEc:arx:papers:2403.02832.

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2024On the Hull-White model with volatility smile for Valuation Adjustments. (2024). van der Zwaard, T ; Grzelak, L A ; Oosterlee, C W. In: Papers. RePEc:arx:papers:2403.14841.

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2024Deep Joint Learning valuation of Bermudan Swaptions. (2024). Casanova, Francisco G'Omez ; de Lope, Fernando ; 'Alvaro Leitao, . In: Papers. RePEc:arx:papers:2404.11257.

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2025Operator Deep Smoothing for Implied Volatility. (2024). Wiedemann, Ruben ; Gonon, Lukas ; Jacquier, Antoine. In: Papers. RePEc:arx:papers:2406.11520.

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2025Liquidity Adjustment in Multivariate Volatility Modeling: Evidence from Portfolios of Cryptocurrencies and US Stocks. (2025). Zhou, Zhong-Guo ; Deng, QI. In: Papers. RePEc:arx:papers:2407.00813.

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2025Calibrating the Heston model with deep differential networks. (2025). Morandotti, Marco ; Amici, Giovanni ; Zhang, Chen. In: Papers. RePEc:arx:papers:2407.15536.

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2024On Deep Learning for computing the Dynamic Initial Margin and Margin Value Adjustment. (2024). Villarino, Joel P ; 'Alvaro Leitao, . In: Papers. RePEc:arx:papers:2407.16435.

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2025Efficient simulation of the SABR model. (2024). Kwok, Yue Kuen ; Hu, Lilian ; Choi, Jaehyuk. In: Papers. RePEc:arx:papers:2408.01898.

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2024Option Pricing with Stochastic Volatility, Equity Premium, and Interest Rates. (2024). Hao, Nicole ; Li, Echo ; Luong-Le, Diep. In: Papers. RePEc:arx:papers:2408.15416.

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2024A second order finite volume IMEX Runge-Kutta scheme for two dimensional PDEs in finance. (2024). Garc, J A ; Ferreiro-Ferreiro, A M ; Castro, M J ; Su, M ; L'Opez-Salas, J G. In: Papers. RePEc:arx:papers:2410.02925.

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2024The Fourier Cosine Method for Discrete Probability Distributions. (2024). Liu, Chengguang ; Fang, Fang ; Shen, Xiaoyu. In: Papers. RePEc:arx:papers:2410.04487.

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2025Numerical analysis of American option pricing in a two-asset jump-diffusion model. (2025). Dang, Duy-Minh ; Zhou, Hao. In: Papers. RePEc:arx:papers:2410.04745.

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2024Whack-a-mole Online Learning: Physics-Informed Neural Network for Intraday Implied Volatility Surface. (2024). Barucca, Paolo ; Phelan, Carolyn E ; Hoshisashi, Kentaro. In: Papers. RePEc:arx:papers:2411.02375.

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2024Volatility Parametrizations with Random Coefficients: Analytic Flexibility for Implied Volatility Surfaces. (2024). Grzelak, Lech A ; Perotti, Leonardo ; Zaugg, Nicola F. In: Papers. RePEc:arx:papers:2411.04041.

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2024Deep learning interpretability for rough volatility. (2024). Brigo, Damiano ; Yuan, BO ; Jacquier, Antoine ; Pede, Nicola. In: Papers. RePEc:arx:papers:2411.19317.

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2024Unsupervised learning-based calibration scheme for Rough Bergomi model. (2024). Teng, Changqing ; Li, Guanglian. In: Papers. RePEc:arx:papers:2412.02135.

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2024The AI Black-Scholes: Finance-Informed Neural Network. (2024). Patel, Raj ; Chi, Cheng ; Li, Xuanze ; Aboussalah, Amine M. In: Papers. RePEc:arx:papers:2412.12213.

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2024Correct implied volatility shapes and reliable pricing in the rough Heston model. (2024). Boyarchenko, Svetlana ; Levendorskivi, Sergei. In: Papers. RePEc:arx:papers:2412.16067.

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2025A Space Mapping approach for the calibration of financial models with the application to the Heston model. (2025). Ehrhardt, Matthias ; Totzeck, Claudia ; Clevenhaus, Anna. In: Papers. RePEc:arx:papers:2501.14521.

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2025Calibration and Option Pricing with Stochastic Volatility and Double Exponential Jumps. (2025). Agazzotti, Gaetano ; Rinella, Claudio Aglieri ; Kirkby, Justin Lars ; Aguilar, Jean-Philippe. In: Papers. RePEc:arx:papers:2502.13824.

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2025Multi-Layer Deep xVA: Structural Credit Models, Measure Changes and Convergence Analysis. (2025). Andersson, Kristoffer ; Gnoatto, Alessandro. In: Papers. RePEc:arx:papers:2502.14766.

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2025Adaptive Nesterov Accelerated Distributional Deep Hedging for Efficient Volatility Risk Management. (2025). Lu, Wu-Sheng ; Cai, Lin ; Zhao, Lei. In: Papers. RePEc:arx:papers:2502.17777.

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2025The Volterra Stein-Stein model with stochastic interest rates. (2025). Hainaut, Donatien ; Motte, Edouard ; Jaber, Eduardo Abi. In: Papers. RePEc:arx:papers:2503.01716.

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2025Numerical analysis of a particle system for the calibrated Heston-type local stochastic volatility model. (2025). Reisinger, Christoph ; Tsianni, Maria Olympia. In: Papers. RePEc:arx:papers:2504.14343.

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2025Error Analysis of Deep PDE Solvers for Option Pricing. (2025). Rou, Jasper. In: Papers. RePEc:arx:papers:2505.05121.

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2025Fast Learning in Quantitative Finance with Extreme Learning Machine. (2025). Liu, Shuaiqiang ; Cheng, Xue. In: Papers. RePEc:arx:papers:2505.09551.

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2025Neural Jumps for Option Pricing. (2025). Liu, Yanchu ; Guo, Hanzhong ; Zheng, Duosi ; Huang, Wei. In: Papers. RePEc:arx:papers:2506.05137.

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2025Function approximations for counterparty credit exposure calculations. (2025). Demeterfi, Domagoj ; Glau, Kathrin ; Wunderlich, Linus. In: Papers. RePEc:arx:papers:2507.09004.

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2025Joint deep calibration of the 4-factor PDV model. (2025). Baschetti, Fabio ; Bormetti, Giacomo ; Rossi, Pietro. In: Papers. RePEc:arx:papers:2507.09412.

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2025Marketron Through the Looking Glass: From Equity Dynamics to Option Pricing in Incomplete Markets. (2025). Halperin, Igor ; Itkin, Andrey. In: Papers. RePEc:arx:papers:2508.09863.

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2025Deep Learning Option Pricing with Market Implied Volatility Surfaces. (2025). Cheung, Kin ; Lu, Egang ; Ding, Lijie. In: Papers. RePEc:arx:papers:2509.05911.

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2025Lifted Heston Model: Efficient Monte Carlo Simulation with Large Time Steps. (2025). Grzelak, Lech A ; Zaugg, Nicola F. In: Papers. RePEc:arx:papers:2510.08805.

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2025Learning the Exact SABR Model. (2025). Rossi, Pietro ; Bianchetti, Marco ; Rensi, Giorgia. In: Papers. RePEc:arx:papers:2510.10343.

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2025Portfolio selection with exogenous and endogenous transaction costs under a two-factor stochastic volatility model. (2025). Wang, Zirun ; He, Xin-Jiang ; Zhou, KE ; Yan, Dong. In: Papers. RePEc:arx:papers:2510.21156.

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2025Numerical valuation of European options under two-asset infinite-activity exponential L\evy models. (2025). Moda, Massimiliano ; Vanmaele, Michele ; In, Karel J ; Benth, Fred Espen. In: Papers. RePEc:arx:papers:2511.02700.

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2024Efficient valuation of guaranteed minimum accumulation benefits in regime switching jump diffusion models with lapse risk. (2024). Zhang, Zhimin ; Zhong, Wei. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:478:y:2024:i:c:s0096300324002947.

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2025A unified model of SABR and mean-reverting stochastic volatility for derivative pricing. (2025). Choi, Sun-Yong ; Kim, Jeong-Hoon. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:507:y:2025:i:c:s009630032500325x.

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2026On randomization of affine diffusion processes with application to pricing of options on VIX and S&P 500. (2026). Grzelak, Lech A. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:508:y:2026:i:c:s0096300325003248.

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2024Exact simulation of the Hull and White stochastic volatility model. (2024). Brignone, Riccardo ; Gonzato, Luca. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:163:y:2024:i:c:s0165188924000538.

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2024Estimating option pricing models using a characteristic function-based linear state space representation. (2024). Laeven, Roger ; Vladimirov, Evgenii ; Boswijk, Peter H. In: Journal of Econometrics. RePEc:eee:econom:v:244:y:2024:i:1:s0304407624002094.

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2025Evaluation of counterparty credit risk under netting agreements. (2025). Tavasoli, Ahmadreza ; Breton, Michle. In: European Journal of Operational Research. RePEc:eee:ejores:v:320:y:2025:i:2:p:402-416.

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2025A general valuation framework for rough stochastic local volatility models and applications. (2025). Ma, Jingtang ; Yang, Wensheng ; Cui, Zhenyu. In: European Journal of Operational Research. RePEc:eee:ejores:v:322:y:2025:i:1:p:307-324.

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2025Robust portfolio optimization considering the value of flexibility: Application to WTE technology portfolios. (2025). Chen, Huanyue ; Hu, Junfei ; Bai, Sijun ; Shi, Guodong. In: Energy Economics. RePEc:eee:eneeco:v:147:y:2025:i:c:s0140988325002993.

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2025Skew–Brownian processes for estimating the volatility of crude oil Brent. (2025). Orlando, Giuseppe ; Bufalo, Michele ; Liseo, Brunero. In: International Journal of Forecasting. RePEc:eee:intfor:v:41:y:2025:i:2:p:763-780.

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2024A monotone numerical integration method for mean–variance portfolio optimization under jump-diffusion models. (2024). Zhang, Hanwen ; Dang, Duy-Minh. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:219:y:2024:i:c:p:112-140.

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2025Some bivariate options pricing in a regime-switching stochastic volatility jump-diffusion model with stochastic intensity, stochastic interest and dependent jump. (2025). Liu, Lixia ; Wang, Libin. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:229:y:2025:i:c:p:468-490.

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2025Does bid-ask spread explains the smile? On DVF and DML. (2025). Yu, Xing ; Liu, Guifang ; Lin, Yan. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:90:y:2025:i:c:s0927538x24003974.

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2024A sequential real options analysis for renewable power-to-hydrogen plants for Germany and California. (2024). Madlener, Reinhard ; Fabianek, Paul ; Glensk, Barbara. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:192:y:2024:i:c:s1364032123010171.

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2025Portfolio optimization of diversified energy transition investments with multiple risks. (2025). Ding, Hao ; Zhou, Peng ; Su, Qing. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:219:y:2025:i:c:s1364032125005179.

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2024Option pricing under jump diffusion model. (2024). Li, Qian ; Wang, LI. In: Statistics & Probability Letters. RePEc:eee:stapro:v:211:y:2024:i:c:s0167715224001068.

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2024A Stochastically Correlated Bivariate Square-Root Model. (2024). Machado, Jose Valentim ; Baczynski, Jack ; da Silva, Allan Jonathan. In: IJFS. RePEc:gam:jijfss:v:12:y:2024:i:2:p:31-:d:1363241.

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2024Optimal Market Completion through Financial Derivatives with Applications to Volatility Risk. (2024). Escobar Anel, Marcos ; Zhu, Yichen ; Escobar-Anel, Marcos ; Davison, Matt. In: JRFM. RePEc:gam:jjrfmx:v:17:y:2024:i:10:p:457-:d:1494361.

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2024A Threshold Estimator for Ruin Probability Using the Fourier-Cosine Method in the Wiener–Poisson Risk Model. (2024). You, Honglong ; Xie, Chongkai. In: Mathematics. RePEc:gam:jmathe:v:12:y:2024:i:18:p:2945-:d:1483098.

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2025From Inequality to Extremes and Back: A Lorenz Representation of the Pickands Dependence Function. (2025). Fontanari, Andrea ; Cirillo, Pasquale. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:13:p:2047-:d:1683715.

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2024Method of Lines for Valuation and Sensitivities of Bermudan Options. (2024). Murthy, Vasudeva ; Jain, Shashi ; Banerjee, Purba. In: Computational Economics. RePEc:kap:compec:v:63:y:2024:i:1:d:10.1007_s10614-022-10339-2.

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2024Comparative Analysis of Root Finding Algorithms for Implied Volatility Estimation of Ethereum Options. (2024). Sapna, S ; Mohan, Biju R. In: Computational Economics. RePEc:kap:compec:v:64:y:2024:i:1:d:10.1007_s10614-023-10446-8.

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2025Enhancing Option Pricing Accuracy in the Indian Market: A CNN-BiLSTM Approach. (2025). Singh, Priya ; Verma, Chandan Kumar ; Sharma, Akanksha. In: Computational Economics. RePEc:kap:compec:v:65:y:2025:i:6:d:10.1007_s10614-024-10689-z.

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2025Considering Appropriate Input Features of Neural Network to Calibrate Option Pricing Models. (2025). Kim, Hyun-Gyoon ; Huh, Jeonggyu. In: Computational Economics. RePEc:kap:compec:v:66:y:2025:i:1:d:10.1007_s10614-024-10686-2.

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2025Pricing Variable Annuity Contract with GMAB Guarantee Under a Regime Switching Local Volatility Model. (2025). Selvamuthu, Dharmaraja ; Arunachalam, Viswanathan ; Mohammad, Sarfraz. In: Computational Economics. RePEc:kap:compec:v:66:y:2025:i:2:d:10.1007_s10614-024-10764-5.

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2025Neural Network for Valuing Bitcoin Options Under Jump-Diffusion and Market Sentiment Model. (2025). Pindza, Edson ; Clement, Jules ; Umeorah, Nneka ; Mwambi, Sutene. In: Computational Economics. RePEc:kap:compec:v:66:y:2025:i:3:d:10.1007_s10614-024-10792-1.

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2024Robust reinsurance and investment strategies under principal–agent framework. (2024). Siu, Tak Kuen ; Wang, Ning ; Fan, Kun. In: Annals of Operations Research. RePEc:spr:annopr:v:336:y:2024:i:1:d:10.1007_s10479-022-04696-2.

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2024Implied value-at-risk and model-free simulation. (2024). Vanduffel, Steven ; Bernard, Carole ; Perchiazzo, Andrea. In: Annals of Operations Research. RePEc:spr:annopr:v:336:y:2024:i:1:d:10.1007_s10479-022-05048-w.

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2024Commodity Asian option pricing and simulation in a 4-factor model with jump clusters. (2024). Brignone, Riccardo ; Sgarra, Carlo ; Gonzato, Luca. In: Annals of Operations Research. RePEc:spr:annopr:v:336:y:2024:i:1:d:10.1007_s10479-022-05152-x.

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2024A general framework for a joint calibration of VIX and VXX options. (2024). Pallavicini, Andrea ; Mazzoran, Andrea ; Grasselli, Martino. In: Annals of Operations Research. RePEc:spr:annopr:v:336:y:2024:i:1:d:10.1007_s10479-023-05205-9.

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2024Neural network expression rates and applications of the deep parametric PDE method in counterparty credit risk. (2024). Wunderlich, Linus ; Glau, Kathrin. In: Annals of Operations Research. RePEc:spr:annopr:v:336:y:2024:i:1:d:10.1007_s10479-023-05315-4.

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2024Exploring non-analytical affine jump-diffusion models for path-dependent interest rate derivatives. (2024). Baczynski, Jack ; da Silva, Allan Jonathan. In: Computational Management Science. RePEc:spr:comgts:v:21:y:2024:i:1:d:10.1007_s10287-024-00514-1.

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2024Predicting Economic Advantages in Smart Innovative City Development: A CSO-MCNN Approach. (2024). Guo, Yao ; Li, Huwei. In: Journal of the Knowledge Economy. RePEc:spr:jknowl:v:15:y:2024:i:4:d:10.1007_s13132-024-01939-4.

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2024Modelling the industrial production of electric and gas utilities through the $$CIR^3$$ C I R 3 model. (2024). Orlando, Giuseppe ; Ceci, Claudia ; Bufalo, Michele. In: Mathematics and Financial Economics. RePEc:spr:mathfi:v:18:y:2024:i:1:d:10.1007_s11579-023-00350-y.

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2024Stochastic Inflation and the Term Structure of Interest Rates: a Simple Diffusion Model. (2024). Nascenzi, Paola ; Meschini, Massimiliano ; Baldassari, Cristiano. In: Journal of Finance and Investment Analysis. RePEc:spt:fininv:v:13:y:2024:i:4:f:13_4_2.

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2024Joint calibration of S&P 500 and VIX options under local stochastic volatility models. (2024). Zhou, Zhiqiang ; Xu, Wei ; Rubtsov, Alexey. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:29:y:2024:i:1:p:273-310.

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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]		paper41
2019Pricing Options and Computing Implied Volatilities using Neural Networks.(2019) In: Risks.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 41		article
2019A neural network-based framework for financial model calibration In: Papers.
[Full Text][Citation analysis]		paper38
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
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2021The Seven-League Scheme: Deep learning for large time step Monte Carlo simulations of stochastic differential equations In: Papers.
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2023A new self-exciting jump-diffusion process for option pricing In: Papers.
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2012Two-dimensional Fourier cosine series expansion method for pricing financial options In: CPB Discussion Paper.
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2014The social discount rate under a stochastic A2 scenario In: CPB Discussion Paper.
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2015The Stochastic Grid Bundling Method: Efficient pricing of Bermudan options and their Greeks In: Applied Mathematics and Computation.
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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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2021Total value adjustment for a stochastic volatility model. A comparison with the Black–Scholes model In: Applied Mathematics and Computation.
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2021Corrigendum to ``Total value adjustment for a stochastic volatility model. A comparison with the Black–Scholes model.(2021) In: Applied Mathematics and Computation.
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2016Multi-period mean–variance portfolio optimization based on Monte-Carlo simulation In: Journal of Economic Dynamics and Control.
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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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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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2013Pricing inflation products with stochastic volatility and stochastic interest rates In: Insurance: Mathematics and Economics.
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2018From Concentration Profiles to Concentration Maps. New tools for the study of loss distributions In: Insurance: Mathematics and Economics.
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2018Between ℙ and ℚ: The ℙ ℚ Measure for Pricing in Asset Liability Management In: JRFM.
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2019Model-Free Stochastic Collocation for an Arbitrage-Free Implied Volatility, Part II In: Risks.
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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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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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2008Pricing Early-Exercise and Discrete Barrier Options by Fourier-Cosine Series Expansions In: MPRA Paper.
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2007On American Options Under the Variance Gamma Process In: Applied Mathematical Finance.
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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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2012Extension of stochastic volatility equity models with the Hull--White interest rate process 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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2020COLLOCATING VOLATILITY: A COMPETITIVE ALTERNATIVE TO STOCHASTIC LOCAL VOLATILITY MODELS In: International Journal of Theoretical and Applied Finance (IJTAF).
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