Cornelis W. Oosterlee
Cornelis W. Oosterlee
CWI - Center for Mathematics and Computer Science, Amsterdam, Delft Univ. of Technology
Verifierad e-postadress på cwi.nl - Startsida
TitelCiteras avÅr
Multigrid
U Trottenberg, CW Oosterlee, A Schuller
Elsevier, 2000
31292000
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, 2008
5202008
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
3152006
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
2722004
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
2412008
Pricing early-exercise and discrete barrier options by Fourier-cosine series expansions
F Fang, CW Oosterlee
Numerische Mathematik 114 (1), 27, 2009
2292009
On the Heston model with stochastic interest rates
LA Grzelak, CW Oosterlee
SIAM Journal on Financial Mathematics 2 (1), 255-286, 2011
1692011
Numerical valuation of options with jumps in the underlying
A Almendral, CW Oosterlee
Applied Numerical Mathematics 53 (1), 1-18, 2005
1672005
Geometric multigrid with applications to computational fluid dynamics
P Wesseling, CW Oosterlee
Journal of computational and applied mathematics 128 (1-2), 311-334, 2001
1632001
On multigrid for linear complementarity problems with application to American-style options
CW Oosterlee
Electronic Transactions on Numerical Analysis 15 (1), 165-185, 2003
1502003
Benchmark solutions for the incompressible Navier–Stokes equations in general co‐ordinates on staggered grids
CW Oosterlee, P Wesseling, A Segal, E Brakkee
International Journal for Numerical Methods in Fluids 17 (4), 301-321, 1993
1011993
Invariant discretization of the incompressible Navier‐Stokes equations in boundary fitted co‐ordinates
A Segal, P Wesseling, J Van Kan, CW Oosterlee, K Kassels
International journal for numerical methods in fluids 15 (4), 411-426, 1992
1011992
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
912011
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
892006
Finite volume discretization of the incompressible Navier-Stokes equations in general coordinates on staggered grids
P Wesseling, A Segal, J Vankan, CW Oosterlee, CGM Kassels
Presented at the 4th International Symposium on Computational Fluid Dynamics …, 1991
851991
A parallel multigrid-based preconditioner for the 3D heterogeneous high-frequency Helmholtz equation
CD Riyanti, A Kononov, YA Erlangga, C Vuik, CW Oosterlee, RE Plessix, ...
Journal of Computational physics 224 (1), 431-448, 2007
842007
An evaluation of parallel multigrid as a solver and a preconditioner for singularly perturbed problems
CW Oosterlee, T Washio
SIAM Journal on Scientific Computing 19 (1), 87-110, 1998
811998
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
792012
A new iterative solver for the time-harmonic wave equation
CD Riyanti, YA Erlangga, RE Plessix, WA Mulder, C Vuik, C Oosterlee
Geophysics 71 (5), E57-E63, 2006
772006
Accurate evaluation of European and American options under the CGMY process
A Almendral, CW Oosterlee
SIAM Journal on Scientific Computing 29 (1), 93-117, 2007
742007
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Artiklar 1–20