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Cornelis W. Oosterlee
Cornelis W. Oosterlee
Utrecht University, Mathematical Institute
Verifierad e-postadress på uu.nl - Startsida
Titel
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År
Multigrid
U Trottenberg, CW Oosterlee, A Schuller
Elsevier, 2000
43222000
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
9042009
Conditional time series forecasting with convolutional neural networks
A Borovykh, S Bohte, CW Oosterlee
arXiv preprint arXiv:1703.04691, 2017
7452017
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
4322006
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
3872004
Pricing early-exercise and discrete barrier options by Fourier-cosine series expansions
F Fang, CW Oosterlee
Numerische Mathematik 114 (1), 27-62, 2009
3352009
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
3232008
On the Heston model with stochastic interest rates
LA Grzelak, CW Oosterlee
SIAM Journal on Financial Mathematics 2 (1), 255-286, 2011
2972011
Geometric multigrid with applications to computational fluid dynamics
P Wesseling, CW Oosterlee
Journal of computational and applied mathematics 128 (1-2), 311-334, 2001
2532001
Numerical valuation of options with jumps in the underlying
A Almendral, CW Oosterlee
Applied Numerical Mathematics 53 (1), 1-18, 2005
2142005
On multigrid for linear complementarity problems with application to American-style options
CW Oosterlee
Electronic Transactions on Numerical Analysis 15, 165-185, 2003
1892003
Pricing options and computing implied volatilities using neural networks
S Liu, CW Oosterlee, SM Bohte
Risks 7 (1), 16, 2019
1872019
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
1642011
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
1482012
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
1462022
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
1442019
Dilated convolutional neural networks for time series forecasting
A Borovykh, S Bohte, CW Oosterlee
Journal of Computational Finance 29, 73-101, 2018
1412018
Mathematical modeling and computation in finance: with exercises and Python and MATLAB computer codes
CW Oosterlee, LA Grzelak
World Scientific, 2019
1322019
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
1172000
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
1162015
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Artiklar 1–20