The following pages link to Cornelis W. Oosterlee (Q592663):
Displaying 50 items.
- A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions (Q99433) (← links)
- (Q256111) (redirect page) (← links)
- Numerical Fourier method and second-order Taylor scheme for backward SDEs in finance (Q256112) (← links)
- Efficient VaR and expected shortfall computations for nonlinear portfolios within the delta-gamma approach (Q278288) (← links)
- On the robustness of ILU smoothers on triangular grids (Q284926) (← links)
- An ENO-based method for second-order equations and application to the control of dike levels (Q421325) (← links)
- Analysis of an affine version of the Heston-Hull-White option pricing partial differential equation (Q465088) (← links)
- GPU implementation of a Helmholtz Krylov solver preconditioned by a shifted Laplace multigrid method (Q645714) (← links)
- Efficient pricing of commodity options with early-exercise under the Ornstein-Uhlenbeck process (Q655547) (← links)
- The stochastic grid bundling method: efficient pricing of Bermudan options and their Greeks (Q668683) (← links)
- A GMRES-based plane smoother in multigrid to solve 3D anisotropic fluid flow problems (Q675178) (← links)
- TVD, WENO and blended BDF discretizations for Asian options (Q706545) (← links)
- A fast nonlinear conjugate gradient based method for 3D concentrated frictional contact problems (Q729175) (← links)
- Lorenz-generated bivariate Archimedean copulas (Q828045) (← links)
- Pricing early-exercise and discrete barrier options by Fourier-cosine series expansions (Q849055) (← links)
- Efficient numerical Fourier methods for coupled forward-backward SDEs (Q898981) (← links)
- On coordinate transformation and grid stretching for sparse grid pricing of basket options (Q952093) (← links)
- Multigrid relaxation methods for systems of saddle point type (Q952802) (← links)
- Nonnegative matrix factorization of a correlation matrix (Q1025855) (← links)
- An efficient multigrid solver for a reformulated version of the poroelasticity system (Q1033444) (← links)
- Krylov subspace acceleration for nonlinear multigrid schemes (Q1381072) (← links)
- Multigrid line smoothers for higher order upwind discretizations of convection- dominated problems (Q1387875) (← links)
- On multigrid for linear complementarity problems with application to American-style options (Q1407712) (← links)
- Error analysis for a potential problem on locally refined grids (Q1587933) (← links)
- Bermudan option valuation under state-dependent models (Q1622628) (← links)
- Reduction of computing time for least-squares migration based on the Helmholtz equation by graphics processing units (Q1640385) (← links)
- Multigrid method for nonlinear poroelasticity equations (Q1685070) (← links)
- From concentration profiles to concentration maps. New tools for the study of loss distributions (Q1697209) (← links)
- Monolithic multigrid method for the coupled Stokes flow and deformable porous medium system (Q1701274) (← links)
- On a one time-step Monte Carlo simulation approach of the SABR model: application to European options (Q1737183) (← links)
- Numerical valuation of options with jumps in the underlying (Q1775609) (← links)
- On a class of preconditioners for solving the Helmholtz equation (Q1878390) (← links)
- An efficient multigrid solver based on distributive smoothing for poroelasticity equations (Q1884642) (← links)
- The convergence of parallel multiblock multigrid methods (Q1917407) (← links)
- An SGBM-XVA demonstrator: a scalable Python tool for pricing XVA (Q1980957) (← links)
- A neural network-based framework for financial model calibration (Q2022121) (← links)
- On high-order schemes for tempered fractional partial differential equations (Q2029138) (← links)
- Optimally weighted loss functions for solving PDEs with neural networks (Q2068635) (← links)
- Rule-based strategies for dynamic life cycle investment (Q2157220) (← links)
- A parametric acceleration of multilevel Monte Carlo convergence for nonlinear variably saturated flow (Q2187918) (← links)
- Corrigendum to ``Total value adjustment for a stochastic volatility model. A comparison with the Black-Scholes model'' (Q2243260) (← links)
- A deep learning approach for computations of exposure profiles for high-dimensional Bermudan options (Q2243318) (← links)
- Deep learning for CVA computations of large portfolios of financial derivatives (Q2244169) (← links)
- Valuation of electricity storage contracts using the COS method (Q2245038) (← links)
- Adaptive integration for multi-factor portfolio credit loss models (Q2271942) (← links)
- Model-free stochastic collocation for an arbitrage-free implied volatility. I. (Q2292062) (← links)
- Uncertainty quantification and Heston model (Q2311188) (← links)
- Two-dimensional Shannon wavelet inverse Fourier technique for pricing European options (Q2397063) (← links)
- Pricing early-exercise and discrete barrier options by Shannon wavelet expansions (Q2407470) (← links)
- Pricing Bermudan options under local Lévy models with default (Q2408753) (← links)
