Prof.dr.ir. C.W. Oosterlee

publicaties
On the data-driven COS method

peer reviewed : Y

Applied Mathematics and Computation (2018) 17 pagina's , p. 68-84

auteurs

  • Álvaro Leitao
  • Cornelis W. Oosterlee
  • Luis Ortiz-Gracia
  • Sander Bohte
From Concentration Profiles to Concentration Maps

peer reviewed : Y

Insurance: Mathematics and Economics (2018) 17 pagina's , p. 13-29

auteurs

  • Andrea Fontanari
  • Pasquale Cirillo
  • Cornelis W. Oosterlee
A novel Monte Carlo approach to hybrid local volatility models

peer reviewed : Y

Quantitative Finance (2017) 20 pagina's , p. 1347-1366

auteurs

  • Anthonie W. van der Stoep
  • Lech A. Grzelak
  • Cornelis W. Oosterlee
The COS method for option valuation under the SABR dynamics

peer reviewed : Y

International Journal of Computer Mathematics (2017) 21 pagina's , p. 1-21

auteurs

  • Z. van der Have
  • C. W. Oosterlee
A multigrid multilevel monte carlo method using high-order finite-volume scheme for lognormal diffusion problems

peer reviewed : Y

International Journal of Uncertainty Quantification (2017) 25 pagina's , p. 57-81

auteurs

  • Prashant Kumar
  • Cornelis W. Oosterlee
  • Richard P. Dwight
On a one time-step Monte Carlo simulation approach of the SABR model

peer reviewed : Y

Applied Mathematics and Computation (2017) 19 pagina's , p. 461-479

auteurs

  • A. Leitao Rodriguez
  • Lech A. Grzelak
  • Cornelis W. Oosterlee
On an efficient multiple time step Monte Carlo simulation of the SABR model

peer reviewed : Y

Quantitative Finance (2017) 17 pagina's , p. 1549-1565

auteurs

  • Álvaro Leitao
  • Lech A. Grzelak
  • Cornelis W. Oosterlee
Pricing early-exercise and discrete barrier options by Shannon wavelet expansions

peer reviewed : Y

Numerische Mathematik (2017) 36 pagina's , p. 1-36

auteurs

  • S. C. Maree
  • L. Ortiz-Gracia
  • C. W. Oosterlee
Accurate and Robust Numerical Methods for the Dynamic Portfolio Management Problem

peer reviewed : Y

Computational Economics (2016) 26 pagina's , p. 433-458

auteurs

  • Fei Cong
  • Cornelis W. Oosterlee
A Highly Efficient Shannon Wavelet Inverse Fourier Technique for Pricing European Options

peer reviewed : Y

SIAM Journal on Scientific Computing (2016) 26 pagina's , p. B118-B143

auteurs

  • Luis Ortiz-Gracia
  • Cornelis W. Oosterlee
Reduction of computing time for least-squares migration based on the Helmholtz equation by graphics processing units

peer reviewed : Y

Computational Geosciences: modeling, simulation and data analysis (2015) 19 pagina's , p. 297-315

auteurs

  • Hans Knibbe
  • Kees Vuik
  • Kees Oosterlee
vakken
2006 - Analyse 1
2006 - Scientific Computing
2006 - Advanced Numerical Methods
2006 - Computational Finance
2005 - Computational Science and Engineering
2007 - Computational Finance
2009 - Computational Finance
2008 - Computational Finance
2011 - Option Valuation Methods
2012 - Option Valuation Methods
2010 - Computational Finance
2011 - Computational Finance
2014 - Special topics in Financial Engineering
2014 - Computational Finance
2014 - Option Valuation Methods
2012 - Special topics in Financial Engineering
2013 - Option Valuation Methods
2012 - Computational Finance
2013 - Special topics in Financial Engineering
2013 - Computational Finance
2016 - Computational Finance
2016 - Special topics in Financial Engineering
2016 - Option Valuation Methods
2015 - Special topics in Financial Engineering
2015 - Computational Finance
2015 - Option Valuation Methods
2017 - Option Valuation Methods
2017 - Computational Finance
2017 - Special topics in Financial Engineering
nevenwerkzaamheden
-Geen nevenwerkzaamheden -

2016-01-01 - 2018-01-01

zbMATH

Short CV:

Cornelis Oosterlee got his PhD in 1993, after which he spent eight years at the German National Research Center for Information Technology (GMD-SCAI) in Sankt Augustin. There, he co-authored a monograph called "Multigrid" (Academic Press 2001).

Since 2007 he is a full professor, 0.2fte, on Hierarchical Numerical Methods at DIAM. He is also a group leader at the CWI, Centrum Wiskunde & Informatica, Amsterdam, on Scientific Computing and Control. Oosterlee develops computational methods for applications in Finance, Economic Decision Making, but also in classical engineering areas like Fluid Mechanics.

Research interest:
His research interests include numerical methods for partial differential equations, iterative solution methods for discrete systems, multigrid methods, Fourier methods, Scientific Computing.

Homepage