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Cornelis W. Oosterlee
Cornelis W. Oosterlee
Utrecht University, Mathematical Institute
Bestätigte E-Mail-Adresse bei uu.nl - Startseite
Titel
Zitiert von
Zitiert von
Jahr
Multigrid
U Trottenberg, CW Oosterlee, A Schuller
Elsevier, 2000
42062000
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
8502009
Conditional time series forecasting with convolutional neural networks
A Borovykh, S Bohte, CW Oosterlee
arXiv preprint arXiv:1703.04691, 2017
6422017
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
4272006
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
3792004
Pricing early-exercise and discrete barrier options by Fourier-cosine series expansions
F Fang, CW Oosterlee
Numerische Mathematik 114 (1), 27-62, 2009
3172009
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
3112008
On the Heston model with stochastic interest rates
LA Grzelak, CW Oosterlee
SIAM Journal on Financial Mathematics 2 (1), 255-286, 2011
2902011
Geometric multigrid with applications to computational fluid dynamics
P Wesseling, CW Oosterlee
Journal of computational and applied mathematics 128 (1-2), 311-334, 2001
2382001
Numerical valuation of options with jumps in the underlying
A Almendral, CW Oosterlee
Applied Numerical Mathematics 53 (1), 1-18, 2005
2102005
On multigrid for linear complementarity problems with application to American-style options
CW Oosterlee
Electronic Transactions on Numerical Analysis 15, 165-185, 2003
1872003
Pricing options and computing implied volatilities using neural networks
S Liu, CW Oosterlee, SM Bohte
Risks 7 (1), 16, 2019
1602019
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
1552011
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
1352012
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
1232019
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
1192022
Dilated convolutional neural networks for time series forecasting
A Borovykh, S Bohte, CW Oosterlee
Journal of Computational Finance 29, 73-101, 2018
1182018
Efficient pricing of European-style Asian options under exponential Lévy processes based on Fourier cosine expansions
B Zhang, CW Oosterlee
SIAM Journal on Financial Mathematics 4 (1), 399-426, 2013
1132013
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
1132006
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
1122000
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