C. W. Oosterlee

Publication Activity (10 Years)

Years Active: 1993-2023
Publications (10 Years): 7

Top Topics

Multiclass Queueing Networks

Black Scholes Model

Multiresolution Analysis

Top Venues

Int. J. Comput. Math.

J. Comput. Phys.

Numerische Mathematik

Publications

Kristoffer Andersson, Adam Andersson, C. W. Oosterlee
Convergence of a Robust Deep FBSDE Method for Stochastic Control. SIAM J. Sci. Comput. 45 (1) (2023)
J. F. H. Buist, Benjamin Sanderse, S. Dubinkina, R. A. W. M. Henkes, C. W. Oosterlee
Energy-conserving formulation of the two-fluid model for incompressible two-phase flow in channels and pipes. CoRR (2021)
Peiyao Luo, Carmen Rodrigo, Francisco José Gaspar, C. W. Oosterlee
Monolithic multigrid method for the coupled Stokes flow and deformable porous medium system. J. Comput. Phys. 353 (2018)
Z. van der Have, C. W. Oosterlee
The COS method for option valuation under the SABR dynamics. Int. J. Comput. Math. 95 (2) (2018)
Peiyao Luo, Carmen Rodrigo, Francisco José Gaspar, C. W. Oosterlee
On an Uzawa smoother in multigrid for poroelasticity equations. Numer. Linear Algebra Appl. 24 (1) (2017)
S. C. Maree, Luis Ortiz-Gracia, C. W. Oosterlee
Pricing early-exercise and discrete barrier options by Shannon wavelet expansions. Numerische Mathematik 136 (4) (2017)
Fei Cong, C. W. Oosterlee
Pricing Bermudan options under Merton jump-diffusion asset dynamics. Int. J. Comput. Math. 92 (12) (2015)
S. P. van der Pijl, C. W. Oosterlee
An ENO-Based Method for Second-Order Equations and Application to the Control of Dike Levels. J. Sci. Comput. 50 (2) (2012)
Marjon J. Ruijter, C. W. Oosterlee
Two-Dimensional Fourier Cosine Series Expansion Method for Pricing Financial Options. SIAM J. Sci. Comput. 34 (5) (2012)
H. Knibbe, C. W. Oosterlee, Cornelis Vuik
GPU implementation of a Helmholtz Krylov solver preconditioned by a shifted Laplace multigrid method. J. Comput. Appl. Math. 236 (3) (2011)
R. Lord, Fang Fang, F. Bervoets, C. W. Oosterlee
A Fast Method for Pricing Early-Exercise Options with the FFT. International Conference on Computational Science (2) (2007)
Takumi Washio, C. W. Oosterlee
Error analysis for a potential problem on locally refined grids. Numerische Mathematik 86 (3) (2000)
Rolf Hempel, Robin Calkin, Reinhold Hess, Wolfgang Joppich, C. W. Oosterlee, Hubert Ritzdorf, Peter Wypior, Wolfgang Ziegler, Nubohiko Koike, Takashi Washio, Udo Keller
Real Applications on the New Parallel System NEC Cenju-3. Parallel Comput. 22 (1) (1996)
C. W. Oosterlee, Hubert Ritzdorf
A Robust Parallel Solver for 3D Fluid Flow Problems Using a High-Level Communications Library. PARCO (1995)
C. W. Oosterlee, Hubert Ritzdorf, Anton Schüller, Barbara Steckel
Parallel Multigrid Reesults for Euler Equations and Grid Partitioning into a Large Number of Blocks. HPCN (1994)
C. W. Oosterlee, P. Wesseling
Multigrid Schemes for Time-Dependent Incompressible Navier-Stokes Equations. IMPACT Comput. Sci. Eng. 5 (3) (1993)
C. W. Oosterlee, P. Wesseling
A Robust Multigrid Method for a Discretization of the Incompressible Navier-Stokes Equations in General Coordinates. IMPACT Comput. Sci. Eng. 5 (2) (1993)