Research output per year
Research output per year
Search results
-
2018
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 and Francis, p. 249-272 24 p. (Chapman and Hall/CRC Financial Mathematics Series).Research output: Chapter in Book/Conference proceedings/Edited volume › Chapter › Scientific
1 Citation (Scopus) -
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 volume › Chapter › Scientific
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2012
The COS method for pricing options under uncertain volatility
Ruijter, MJ. & Oosterlee, CW., 2012, Topics in Numerical Methods for Finance. Cummins, M., Miller, JJH. & Murphy, F. (eds.). New York, USA: Springer, p. 95-113 204 p.Research output: Chapter in Book/Conference proceedings/Edited volume › Chapter › Scientific
Open Access3 Citations (Scopus) -
2010
Multigrid methods
Oosterlee, CW., 2010, Enclopedia of Quantitative Finance. Cont, R. (ed.). Hoboken, NJ, USA: Wiley, p. 1283-1288 2194 p.Research output: Chapter in Book/Conference proceedings/Edited volume › Chapter › Scientific
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2009
Shifted-Laplacian preconditioners for heterogeneous Helmholtz problems
Oosterlee, CW., Vuik, C., Mulder, WA. & Plessix, RE., 2009, Advanced Computational Methods in Science and Engineering. Koren, B. & Vuik, C. (eds.). Berlin Heidelberg: Springer, p. 21-46 498 p.Research output: Chapter in Book/Conference proceedings/Edited volume › Chapter › Scientific