Cornelis W. Oosterlee

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Lech A. GrzelakUtrecht UniversityVerified email at uu.nl
Kees VuikDelft University of TechnologyVerified email at tudelft.nl
Francisco GasparZaragoza UniverrsityVerified email at unizar.es
Yogi Ahmad ErlanggaZayed University, Mathematics and StatisticsVerified email at zu.ac.ae
Anastasia BorovykhAssistant Professor Imperial College LondonVerified email at imperial.ac.uk
Sander BohteCWI AmsterdamVerified email at cwi.nl
Alvaro Leitao RodriguezCITIC, University of A CoruñaVerified email at udc.es
Shashi JainAssociate Professor, Indian Institute of Science, BangaloreVerified email at iisc.ac.in
Luis Ortiz-GraciaAssociate Professor at Universitat de BarcelonaVerified email at ub.edu
Carmen RodrigoUniversidad de ZaragozaVerified email at unizar.es
Wim MulderShell Global Solutions International; Professor of Geophysical Imaging Methods, Delft University ofVerified email at tudelft.nl
Scott MacLachlanProfessor, Memorial University of NewfoundlandVerified email at mun.ca
Edwin VollebregtResearcher, Vtech CMCCVerified email at cmcc.nl
H. bin ZubairInstitute of Business Administration, KarachiVerified email at iba.edu.pk
Anton van der StoepRabobankVerified email at rabobank.com
Jari ToivanenUniversity of JyväskyläVerified email at jyu.fi
D. KandhaiProfessor - Data-driven Computational Finance, University of AmsterdamVerified email at uva.nl
Lina von SydowProfessor of Scientific Computing, Department of Information Technology, Uppsala UniversityVerified email at it.uu.se
Andrea PascucciUniversity of BolognaVerified email at unibo.it

Cornelis W. Oosterlee

Utrecht University, Mathematical Institute

Verified email at uu.nl - Homepage

Applied Mathematics Numerical Mathematics Scientific computing Multigrid Computational Finance


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Multigrid methods U Trottenberg, CW Oosterlee, A Schuller Academic press, 2001	4356	2001
A novel pricing method for European options based on Fourier-cosine series expansions F Fang, CW Oosterlee SIAM Journal on Scientific Computing 31 (2), 826-848, 2009	919	2009
Conditional time series forecasting with convolutional neural networks A Borovykh, S Bohte, CW Oosterlee arXiv preprint arXiv:1703.04691, 2017	761	2017
A novel multigrid based preconditioner for heterogeneous Helmholtz problems YA Erlangga, CW Oosterlee, C Vuik SIAM Journal on Scientific Computing 27 (4), 1471-1492, 2006	432	2006
On a class of preconditioners for solving the Helmholtz equation YA Erlangga, C Vuik, CW Oosterlee Applied Numerical Mathematics 50 (3-4), 409-425, 2004	387	2004
Pricing early-exercise and discrete barrier options by Fourier-cosine series expansions F Fang, CW Oosterlee Numerische Mathematik 114 (1), 27-62, 2009	338	2009
A fast and accurate FFT-based method for pricing early-exercise options under Lévy processes R Lord, F Fang, F Bervoets, CW Oosterlee SIAM Journal on Scientific Computing 30 (4), 1678-1705, 2008	325	2008
On the Heston model with stochastic interest rates LA Grzelak, CW Oosterlee SIAM Journal on Financial Mathematics 2 (1), 255-286, 2011	299	2011
Geometric multigrid with applications to computational fluid dynamics P Wesseling, CW Oosterlee Journal of computational and applied mathematics 128 (1-2), 311-334, 2001	254	2001
Numerical valuation of options with jumps in the underlying A Almendral, CW Oosterlee Applied Numerical Mathematics 53 (1), 1-18, 2005	211	2005
Pricing options and computing implied volatilities using neural networks S Liu, CW Oosterlee, SM Bohte Risks 7 (1), 16, 2019	191	2019
On multigrid for linear complementarity problems with application to American-style options CW Oosterlee Electronic Transactions on Numerical Analysis 15 (1), 165-185, 2003	188	2003
A Fourier-based valuation method for Bermudan and barrier options under Heston's model F Fang, CW Oosterlee SIAM Journal on Financial Mathematics 2 (1), 439-463, 2011	165	2011
Optimally weighted loss functions for solving pdes with neural networks R van der Meer, CW Oosterlee, A Borovykh Journal of Computational and Applied Mathematics 405, 113887, 2022	155	2022
Two-dimensional Fourier cosine series expansion method for pricing financial options MJ Ruijter, CW Oosterlee SIAM Journal on Scientific Computing 34 (5), B642-B671, 2012	155	2012
A neural network-based framework for financial model calibration S Liu, A Borovykh, LA Grzelak, CW Oosterlee Journal of Mathematics in Industry 9 (1), 9, 2019	149	2019
Dilated convolutional neural networks for time series forecasting A Borovykh, S Bohte, CW Oosterlee Journal of Computational Finance 29, 73-101, 2018	146	2018
Mathematical modeling and computation in finance: with exercises and Python and MATLAB computer codes CW Oosterlee, LA Grzelak World Scientific, 2019	132	2019
Krylov subspace acceleration of nonlinear multigrid with application to recirculating flows CW Oosterlee, T Washio SIAM Journal on Scientific Computing 21 (5), 1670-1690, 2000	120	2000
The stochastic grid bundling method: Efficient pricing of Bermudan options and their Greeks S Jain, CW Oosterlee Applied Mathematics and Computation 269, 412-431, 2015	118	2015

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