Cornelis W. Oosterlee

Cited by

	All	Since 2019
Citations	15051	6028
h-index	53	33
i10-index	160	107

1200

600

300

900

1993199419951996199719981999200020012002200320042005200620072008200920102011201220132014201520162017201820192020202120222023202445 39 52 46 27 62 40 57 70 77 145 185 216 261 353 387 390 534 576 629 631 685 671 784 898 838 952 907 1004 1030 1107 1011

Public access

View all

46 articles

1 article

available

not available

Based on funding mandates

Co-authors

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
Shashi JainAssociate Professor, Indian Institute of Science, BangaloreVerified email at iisc.ac.in
Alvaro Leitao RodriguezCITIC, University of A CoruñaVerified email at udc.es
Carmen RodrigoUniversidad de ZaragozaVerified email at unizar.es
Luis Ortiz-GraciaAssociate Professor at Universitat de BarcelonaVerified email at ub.edu
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


Title Sort by citations Sort by year Sort by title	Cited by Cited by	Year
Multigrid U Trottenberg, CW Oosterlee, A Schuller Elsevier, 2000	4254	2000
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	872	2009
Conditional time series forecasting with convolutional neural networks A Borovykh, S Bohte, CW Oosterlee arXiv preprint arXiv:1703.04691, 2017	690	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	427	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	382	2004
Pricing early-exercise and discrete barrier options by Fourier-cosine series expansions F Fang, CW Oosterlee Numerische Mathematik 114 (1), 27-62, 2009	327	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	320	2008
On the Heston model with stochastic interest rates LA Grzelak, CW Oosterlee SIAM Journal on Financial Mathematics 2 (1), 255-286, 2011	293	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	244	2001
Numerical valuation of options with jumps in the underlying A Almendral, CW Oosterlee Applied Numerical Mathematics 53 (1), 1-18, 2005	211	2005
On multigrid for linear complementarity problems with application to American-style options CW Oosterlee Electronic Transactions on Numerical Analysis 15, 165-185, 2003	188	2003
Pricing options and computing implied volatilities using neural networks S Liu, CW Oosterlee, SM Bohte Risks 7 (1), 16, 2019	177	2019
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	161	2011
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	143	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	138	2019
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	133	2022
Dilated convolutional neural networks for time series forecasting A Borovykh, S Bohte, CW Oosterlee Journal of Computational Finance 29, 73-101, 2018	131	2018
Comparison of multigrid and incomplete LU shifted-Laplace preconditioners for the inhomogeneous Helmholtz equation YA Erlangga, C Vuik, CW Oosterlee Applied numerical mathematics 56 (5), 648-666, 2006	114	2006
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	114	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	113	2015

The system can't perform the operation now. Try again later.

Articles 1–20

Citations per year

Duplicate citations

Merged citations

Add co-authorsCo-authors

Follow

Cited by

Co-authors