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Research Output

2020

An SGBM-XVA demonstrator: a scalable Python tool for pricing XVA

Chau, K. W., Tang, J. & Oosterlee, C. W., 19 Feb 2020, In : Journal of Mathematics in Industry. 10, 1, 7.

Research output: Contribution to journalArticleScientificpeer-review

Open Access
File
33 Downloads (Pure)
2019

A neural network-based framework for financial model calibration

Liu, S., Borovykh, A., Grzelak, L. & Oosterlee, C. W., 2019, In : Journal of Mathematics in Industry. 9, 1, p. 1-28 28 p., 9.

Research output: Contribution to journalArticleScientificpeer-review

Open Access
File
4 Citations (Scopus)
97 Downloads (Pure)

A parametric acceleration of multilevel Monte Carlo convergence for nonlinear variably saturated flow

Kumar, P., Rodrigo, C., Gaspar, F. J. & Oosterlee, C. W., 20 Dec 2019, In : Computational Geosciences. p. 1-21 21 p.

Research output: Contribution to journalArticleScientificpeer-review

Open Access
File
11 Downloads (Pure)

Approximation of insurance liability contracts using radial basis functions

Singor, S. N., Schols, E. & Oosterlee, C. W., 2019, In : International Journal of Computer Mathematics. 96, 11, p. 2245-2271 27 p.

Research output: Contribution to journalArticleScientificpeer-review

Dilated convolutional neural networks for time series forecasting

Borovykh, A., Bohte, S. & Oosterlee, C. W., 1 Feb 2019, In : Journal of Computational Finance. 22, 4, p. 73-101 29 p.

Research output: Contribution to journalArticleScientificpeer-review

8 Citations (Scopus)

Model-free stochastic collocation for an arbitrage-free implied volatility: Part I

Le Floch, F. & Oosterlee, K., 1 Dec 2019, In : Decisions in Economics and Finance. 42, 2, p. 679-714 36 p.

Research output: Contribution to journalArticleScientificpeer-review

Open Access
File
2 Citations (Scopus)
139 Downloads (Pure)

Model-free stochastic collocation for an arbitrage-free implied volatility, part II

Le Floch, F. & Oosterlee, C. W., 2019, In : Risks. 7, 1, p. 1-21 21 p., 30.

Research output: Contribution to journalArticleScientificpeer-review

Open Access
File
76 Downloads (Pure)

Pricing Options and Computing Implied Volatilities using Neural Networks

Liu, S., Oosterlee, C. W. & Bohte, S. M., 2019, In : Risks. 7, 1, p. 1-22 22 p., 16.

Research output: Contribution to journalArticleScientificpeer-review

Open Access
File
8 Citations (Scopus)
77 Downloads (Pure)

Rolling Adjoints: Fast Greeks along Monte Carlo scenarios for early-exercise options

Jain, S., Leitao, Á. & Oosterlee, C. W., 2019, In : Journal of Computational Science. 33, p. 95-112 18 p.

Research output: Contribution to journalArticleScientificpeer-review

Stochastic grid bundling method for backward stochastic differential equations

Chau, K. W. & Oosterlee, C. W., 29 Aug 2019, In : International Journal of Computer Mathematics. 96, 11, p. 2272-2301 30 p.

Research output: Contribution to journalArticleScientificpeer-review

2 Citations (Scopus)
2018

A multigrid multilevel Monte Carlo method for transport in the Darcy–Stokes system

Kumar, P., Luo, P., Gaspar, F. J. & Oosterlee, C. W., 15 Oct 2018, In : Journal of Computational Physics. 371, p. 382-408 27 p.

Research output: Contribution to journalArticleScientificpeer-review

Open Access
File
4 Citations (Scopus)
2 Downloads (Pure)

BENCHOP–SLV: The BENCHmarking project in Option Pricing–Stochastic and Local Volatility problems

von Sydow, L., Milovanović, S., Larsson, E., In 't Hout, K., Wiktorsson, M., Oosterlee, C. W., Shcherbakov, V., Wyns, M., Leitao, A., Jain, S., Haentjens, T. & Waldén, J., 2018, In : International Journal of Computer Mathematics. p. 1-15 15 p.

Research output: Contribution to journalArticleScientificpeer-review

Open Access
File
3 Citations (Scopus)
35 Downloads (Pure)

Computing credit valuation adjustment for Bermudan options with wrong way risk

Feng, Q. & Oosterlee, C. W., 2018, In : International Journal of Theoretical and Applied Finance. 20, 8, p. 1-31 31 p., 1750056.

Research output: Contribution to journalArticleScientificpeer-review

Open Access
File
2 Downloads (Pure)

Fourier and wavelet option pricing methods

Oosterlee, K., Ortiz-Gracia, L. & Maree, S. C., 2018, High-Performance Computing in Finance: Problems, Methods, and Solutions. Dempster, M. A. H., Kanniainen, J., Keane, J. & Vynckier, E. (eds.). 1st ed. Boca Raton: Taylor & Francis, p. 249-272 24 p. (Chapman and Hall/CRC Financial Mathematics Series).

Research output: Chapter in Book/Conference proceedings/Edited volumeChapterScientific

1 Citation (Scopus)

From Concentration Profiles to Concentration Maps: New tools for the study of loss distributions

Fontanari, A., Cirillo, P. & Oosterlee, C. W., 2018, In : Insurance: Mathematics and Economics. 78, p. 13-29 17 p.

Research output: Contribution to journalArticleScientificpeer-review

2 Citations (Scopus)

Numerical simulation of roll waves in pipelines using the two-fluid model

Sanderse, B., Misra, S., Dubinkina, S., Henkes, R. A. W. M. & Oosterlee, C. W., 2018, Proceedings 11th North American Conference on Multiphase Technology. BHR Group, p. 373-386

Research output: Chapter in Book/Conference proceedings/Edited volumeConference contributionScientificpeer-review

3 Citations (Scopus)

On the data-driven COS method

Leitao, Á., Oosterlee, C. W., Ortiz-Gracia, L. & Bohte, S., 2018, In : Applied Mathematics and Computation. 317, p. 68-84 17 p.

Research output: Contribution to journalArticleScientificpeer-review

5 Citations (Scopus)

On the wavelet-based SWIFT method for backward stochastic differential equations

Chau, K. W. & Oosterlee, C. W., 2018, In : IMA Journal of Numerical Analysis. 38, 2, p. 1051-1083 33 p.

Research output: Contribution to journalArticleScientificpeer-review

Open Access
File
2 Citations (Scopus)
12 Downloads (Pure)

Quantifying credit portfolio losses under multi-factor models

Colldeforns-Papiol, G., Ortiz-Gracia, L. & Oosterlee, C. W., 2018, In : International Journal of Computer Mathematics. p. 1-22 22 p.

Research output: Contribution to journalArticleScientificpeer-review

The COS method for option valuation under the SABR dynamics

van der Have, Z. & Oosterlee, C. W., 2018, In : International Journal of Computer Mathematics. 95, 2, p. 444-464 21 p.

Research output: Contribution to journalArticleScientificpeer-review

Open Access
File
1 Citation (Scopus)
17 Downloads (Pure)

The stochastic collocation Monte Carlo sampler: Highly efficient sampling from ‘expensive’ distributions

Grzelak, L. A., Witteveen, J. A. S., Oosterlee, C. W. & Suárez-Taboada, M., 2018, In : Quantitative Finance. p. 1-18 18 p.

Research output: Contribution to journalArticleScientificpeer-review

File
3 Citations (Scopus)
1 Downloads (Pure)

Uncertainty quantification and Heston model

Suárez-Taboada, M., Witteveen, J. A. S., Grzelak, L. A. & Oosterlee, C. W., 2018, In : Journal of Mathematics in Industry. 8, 1, p. 1-12 12 p.

Research output: Contribution to journalArticleScientificpeer-review

Open Access
File
21 Downloads (Pure)
2017

A Highly Efficient Pricing Method for European-Style Options Based on Shannon Wavelets

Ortiz-Gracia, L. & Oosterlee, C. W., 2017, Extended Abstracts Summer 2015: Strategic Behavior in Combinatorial Structures; Quantitative Finance. Diaz, J., Kirousis, L., Ortiz-Gracia, L. & Serna, M. (eds.). Cham: Springer, p. 127-131 5 p. (Trends in Mathematics; vol. 6)(Research Perspectives CRM Barcelona (RPCRMB); vol. 6).

Research output: Chapter in Book/Conference proceedings/Edited volumeChapterScientific

A multigrid multilevel monte carlo method using high-order finite-volume scheme for lognormal diffusion problems

Kumar, P., Oosterlee, C. W. & Dwight, R. P., 2017, In : International Journal of Uncertainty Quantification. 7, 1, p. 57-81 25 p.

Research output: Contribution to journalArticleScientificpeer-review

5 Citations (Scopus)

A novel Monte Carlo approach to hybrid local volatility models

van der Stoep, A. W., Grzelak, L. A. & Oosterlee, C. W., 10 Mar 2017, In : Quantitative Finance. 17, 9, p. 1347-1366 20 p.

Research output: Contribution to journalArticleScientificpeer-review

Open Access
File
2 Citations (Scopus)
17 Downloads (Pure)

On an efficient multiple time step Monte Carlo simulation of the SABR model

Leitao, Á., Grzelak, L. A. & Oosterlee, C. W., 2017, In : Quantitative Finance. 17, 10, p. 1549-1565 17 p.

Research output: Contribution to journalArticleScientificpeer-review

Open Access
File
4 Citations (Scopus)
125 Downloads (Pure)

On a one time-step Monte Carlo simulation approach of the SABR model: Application to European options

Leitao Rodriguez, A., Grzelak, L. A. & Oosterlee, C. W., 2017, In : Applied Mathematics and Computation. 293, p. 461-479 19 p.

Research output: Contribution to journalArticleScientificpeer-review

7 Citations (Scopus)

On Robust Multi-Period Pre-Commitment and Time-Consistent Mean-Variance Portfolio Optimization

Cong, F. & Oosterlee, C. W., 2017, In : International Journal of Theoretical and Applied Finance. 20, 7, 26 p., 1750049.

Research output: Contribution to journalArticleScientificpeer-review

2 Citations (Scopus)

Pricing early-exercise and discrete barrier options by Shannon wavelet expansions

Maree, S. C., Ortiz-Gracia, L. & Oosterlee, C. W., 2017, In : Numerische Mathematik. 136, 4, p. 1035-1070 36 p.

Research output: Contribution to journalArticleScientificpeer-review

10 Citations (Scopus)

Two-dimensional Shannon wavelet inverse Fourier technique for pricing European options

Colldeforns-Papiol, G., Ortiz-Gracia, L. & Oosterlee, C. W., 2017, In : Applied Numerical Mathematics. 117, p. 115-138 24 p.

Research output: Contribution to journalArticleScientificpeer-review

10 Citations (Scopus)
2016

Accurate and Robust Numerical Methods for the Dynamic Portfolio Management Problem

Cong, F. & Oosterlee, C. W., 3 Mar 2016, In : Computational Economics. 49, 3, p. 433-458 26 p.

Research output: Contribution to journalArticleScientificpeer-review

Open Access
File
4 Citations (Scopus)
20 Downloads (Pure)

A Highly Efficient Shannon Wavelet Inverse Fourier Technique for Pricing European Options

Ortiz-Gracia, L. & Oosterlee, C. W., 26 Jan 2016, In : SIAM Journal on Scientific Computing. 38, 1, p. B118-B143 26 p.

Research output: Contribution to journalArticleScientificpeer-review

Open Access
File
25 Citations (Scopus)
26 Downloads (Pure)

Counterparty Credit Exposures for Interest Rate Derivatives using the Stochastic Grid Bundling Method

Karlsson, P., Jain, S. & Oosterlee, C. W., 2016, In : Applied Mathematical Finance. 23, 3, p. 175-196 22 p.

Research output: Contribution to journalArticleScientificpeer-review

4 Citations (Scopus)

Extending the BEM for Elastic Contact Problems Beyond the Half-Space Approach

Zhao, J., Vollebregt, E. & Oosterlee, K., 2016, In : Mathematical Modelling and Analysis. 21, 1, p. 119-141 23 p.

Research output: Contribution to journalArticleScientificpeer-review

Open Access
File
1 Citation (Scopus)
12 Downloads (Pure)

Multi-period mean-variance portfolio optimization based on Monte-Carlo simulation

Cong, F. & Oosterlee, K., 2016, In : Journal of Economic Dynamics and Control. 64, p. 23-38 16 p.

Research output: Contribution to journalArticleScientificpeer-review

21 Citations (Scopus)

On pre-commitment aspects of a time-consistent strategy for a mean-variance investor

Cong, F. & Oosterlee, C. W., 2016, In : Journal of Economic Dynamics and Control. 70, p. 178-193 16 p.

Research output: Contribution to journalArticleScientificpeer-review

9 Citations (Scopus)
2015

BENCHOP – The BENCHmarking project in option pricing

von Sydow, L., Höök, L. J., Larsson, E., Lindström, E., Milovanović, S., Persson, J., Shcherbakov, V., Shpolyanskiy, Y., Sirén, S., Toivanen, J., Waldén, J., Wiktorsson, M., Levesley, J., Li, J., Oosterlee, C. W., Ruijter, M. J., Toropov, A. & Zhao, Y., 2015, In : International Journal of Computer Mathematics. 92, 12, p. 2361-2379 19 p.

Research output: Contribution to journalArticleScientificpeer-review

42 Citations (Scopus)

Extending the BEM for elastic contact problems beyond the half-space approach

Zhao, J., Vollebregt, EAH. & Oosterlee, CW., 2015, Delft: EWI Dept. Applied Mathematics. 21 p.

Research output: Book/ReportReportProfessional

GPU acceleration of the stochastic grid bundling method for early-exercise options

Leitao Rodriguez, A. & Oosterlee, K., 2 Sep 2015, In : International Journal of Computer Mathematics. 92, 12, p. 2433-2454 22 p.

Research output: Contribution to journalArticleScientificpeer-review

5 Citations (Scopus)

Multigrid method for nonlinear poroelasticity equations

Luo, P., Rodrigo, C., Gaspar, F. J. & Oosterlee, C. W., 2015, In : Computing and Visualization in Science. 17, 5, p. 255-265 11 p.

Research output: Contribution to journalArticleScientificpeer-review

Open Access
File
7 Citations (Scopus)
19 Downloads (Pure)

Reduction of computing time for least-squares migration based on the Helmholtz equation by graphics processing units

Knibbe, H., Vuik, K. & Oosterlee, K., 30 Dec 2015, In : Computational Geosciences: modeling, simulation and data analysis. 20, 2, p. 297-315 19 p.

Research output: Contribution to journalArticleScientificpeer-review

Open Access
File
4 Citations (Scopus)
22 Downloads (Pure)
2014

Acceleration of option pricing technique on graphics processing units

Zhang, B. & Oosterlee, CW., 2014, In : Concurrency and Computation: Practice & Experience. 26, 9, p. 1626-1639 14 p.

Research output: Contribution to journalArticleScientificpeer-review

Open Access
3 Citations (Scopus)

A fast nonlinear conjugate gradient based method for 3D frictional contact problems

Zhao, J., Vollebregt, EAH. & Oosterlee, CW., 2014, Delft: EWI Dept. Applied Mathematics. 22 p.

Research output: Book/ReportReportProfessional

A full multigrid method for linear complementarity problems arising from elastic normal contact problems

Zhao, J., Vollebregt, EAH. & Oosterlee, CW., 2014, In : Mathematical Modelling and Analysis. 19, 2, p. 216-240 25 p.

Research output: Contribution to journalArticleScientificpeer-review

Open Access
3 Citations (Scopus)

A simple and efficient segregated smoother for the discrete stokes equations

Gaspar, FJ., Notay, Y., Oosterlee, CW. & Rodrigo, C., 2014, In : SIAM Journal on Scientific Computing. 36, 3, p. 1187-1206 20 p.

Research output: Contribution to journalArticleScientificpeer-review

Open Access
15 Citations (Scopus)

Closing the performance gap between an iterative frequency-domain solver and an explicit time-domain scheme for 3D migration on parallel architectures

Knibbe, HP., Mulder, WA., Oosterlee, CW. & Vuik, C., 2014, In : Geophysics. 79, 2, p. S47-S61

Research output: Contribution to journalArticleScientificpeer-review

Open Access
5 Citations (Scopus)

Decision-support tool for assessing future nuclear reactor generation portfolios

Jain, S., Roelofs, F. & Oosterlee, CW., 2014, In : Energy Economics. 44, 7, p. 99-112 14 p.

Research output: Contribution to journalArticleScientificpeer-review

Open Access
6 Citations (Scopus)

Efficient computation of exposure profiles for counterparty credit risk

de Graaf, CSL., Feng, Q., Kandhai, D. & Oosterlee, CW., 2014, In : International Journal of Theoretical and Applied Finance. 17, 4, p. 1-23 23 p.

Research output: Contribution to journalArticleScientificpeer-review

Open Access
11 Citations (Scopus)

Efficient VaR and expected shortfall computations for nonlinear portfolios within the delta-gamma approach

Ortiz-Gracia, L. & Oosterlee, CW., 2014, In : Applied Mathematics and Computation. 244, p. 16-31 16 p.

Research output: Contribution to journalArticleScientificpeer-review

Open Access
12 Citations (Scopus)