Cornelis W. Oosterlee

Publication Activity (10 Years)

Years Active: 1998-2024
Publications (10 Years): 49

Top Topics

Top Venues

Appl. Math. Comput.

Int. J. Comput. Math.

SIAM J. Sci. Comput.

Publications

Nikolaj Takata Mücke, Sander M. Bohté, Cornelis W. Oosterlee
The Deep Latent Space Particle Filter for Real-Time Data Assimilation with Uncertainty Quantification. CoRR (2024)
Balint Negyesi, Zhipeng Huang, Cornelis W. Oosterlee
Generalized convergence of the deep BSDE method: a step towards fully-coupled FBSDEs and applications in stochastic control. CoRR (2024)
Xian-Ming Gu, Jun Liu, Cornelis W. Oosterlee
Parallel-in-Time Iterative Methods for Pricing American Options. CoRR (2024)
Yong-Liang Zhao, Xian-Ming Gu, Cornelis W. Oosterlee
A parallel preconditioner for the all-at-once linear system from evolutionary PDEs with Crank-Nicolson discretization. CoRR (2024)
Zhipeng Huang, Balint Negyesi, Cornelis W. Oosterlee
Convergence of the deep BSDE method for stochastic control problems formulated through the stochastic maximum principle. CoRR (2024)
Fei Gao, Cornelis W. Oosterlee, Jiangshe Zhang
A deep learning-based Monte Carlo simulation scheme for stochastic differential equations driven by fractional Brownian motion. Neurocomputing 574 (2024)
Shuaiqiang Liu, Graziana Colonna, Lech A. Grzelak, Cornelis W. Oosterlee
GPU acceleration of the Seven-League Scheme for large time step simulations of stochastic differential equations. CoRR (2023)
Nikolaj Takata Mücke, Benjamin Sanderse, Sander M. Bohté, Cornelis W. Oosterlee
Markov chain generative adversarial neural networks for solving Bayesian inverse problems in physics applications. Comput. Math. Appl. 147 (2023)
Luis Antonio Souto Arias, Cornelis W. Oosterlee, Pasquale Cirillo
AIDA: Analytic isolation and distance-based anomaly detection algorithm. Pattern Recognit. 141 (2023)
Nikolaj Takata Mücke, Prerna Pandey, Shashi Jain, Sander M. Bohté, Cornelis W. Oosterlee
A Probabilistic Digital Twin for Leak Localization in Water Distribution Networks Using Generative Deep Learning. Sensors 23 (13) (2023)
J. F. H. Buist, Benjamin Sanderse, S. Dubinkina, Cornelis W. Oosterlee, R. A. W. M. Henkes
Energy-stable discretization of the one-dimensional two-fluid model. CoRR (2023)
Fei Gao, Shuaiqiang Liu, Cornelis W. Oosterlee, Nico M. Temme
Evaluation of integrals with fractional Brownian motion for different Hurst indices. Int. J. Comput. Math. 100 (4) (2023)
Remco van der Meer, Cornelis W. Oosterlee, Anastasia Borovykh
Optimally weighted loss functions for solving PDEs with Neural Networks. J. Comput. Appl. Math. 405 (2022)
Kristoffer Andersson, Adam Andersson, Cornelis W. Oosterlee
Convergence of a robust deep FBSDE method for stochastic control. CoRR (2022)
Luis Antonio Souto Arias, Cornelis W. Oosterlee, Pasquale Cirillo
AIDA: Analytic Isolation and Distance-based Anomaly Detection Algorithm. CoRR (2022)
Fei Gao, Shuaiqiang Liu, Cornelis W. Oosterlee, Nico M. Temme
Solution of integrals with fractional Brownian motion for different Hurst indices. CoRR (2022)
Boris C. Boonstra, Cornelis W. Oosterlee
Valuation of electricity storage contracts using the COS method. Appl. Math. Comput. 410 (2021)
Beatriz Salvador, Cornelis W. Oosterlee
Total value adjustment for a stochastic volatility model. A comparison with the Black-Scholes model. Appl. Math. Comput. 391 (2021)
Kristoffer Andersson, Cornelis W. Oosterlee
Deep learning for CVA computations of large portfolios of financial derivatives. Appl. Math. Comput. 409 (2021)
Thomas van der Zwaard, Lech A. Grzelak, Cornelis W. Oosterlee
A computational approach to hedging Credit Valuation Adjustment in a jump-diffusion setting. Appl. Math. Comput. 391 (2021)
Balint Negyesi, Kristoffer Andersson, Cornelis W. Oosterlee
The One Step Malliavin scheme: new discretization of BSDEs implemented with deep learning regressions. CoRR (2021)
Beatriz Salvador, Cornelis W. Oosterlee
Corrigendum to "Total value adjustment for a stochastic volatility model. A comparison with the Black-Scholes model". Appl. Math. Comput. 406 (2021)
Jorino van Rhijn, Cornelis W. Oosterlee, Lech A. Grzelak, Shuaiqiang Liu
Monte Carlo Simulation of SDEs using GANs. CoRR (2021)
Nikolaj Takata Mücke, Sander M. Bohté, Cornelis W. Oosterlee
Reduced order modeling for parameterized time-dependent PDEs using spatially and memory aware deep learning. J. Comput. Sci. 53 (2021)
Kristoffer Andersson, Cornelis W. Oosterlee
A deep learning approach for computations of exposure profiles for high-dimensional Bermudan options. Appl. Math. Comput. 408 (2021)
Nikolaj Takata Mücke, Benjamin Sanderse, Sander M. Bohté, Cornelis W. Oosterlee
Markov Chain Generative Adversarial Neural Networks for Solving Bayesian Inverse Problems in Physics Applications. CoRR (2021)
Nikolaj Takata Mücke, Sander M. Bohté, Cornelis W. Oosterlee
Reduced Order Modeling for Parameterized Time-Dependent PDEs using Spatially and Memory Aware Deep Learning. CoRR (2020)
Shuaiqiang Liu, Álvaro Leitao, Anastasia Borovykh, Cornelis W. Oosterlee
On Calibration Neural Networks for extracting implied information from American options. CoRR (2020)
Shuaiqiang Liu, Lech A. Grzelak, Cornelis W. Oosterlee
The Seven-League Scheme: Deep learning for large time step Monte Carlo simulations of stochastic differential equations. CoRR (2020)
Remco van der Meer, Cornelis W. Oosterlee, Anastasia Borovykh
Optimally weighted loss functions for solving PDEs with Neural Networks. CoRR (2020)
Linlin Bu, Cornelis W. Oosterlee
On high-order schemes for tempered fractional partial differential equations. CoRR (2020)
Shuaiqiang Liu, Cornelis W. Oosterlee, Sander M. Bohté
Pricing options and computing implied volatilities using neural networks. CoRR (2019)
Anastasia Borovykh, Cornelis W. Oosterlee, Sander M. Bohté
Generalization in fully-connected neural networks for time series forecasting. J. Comput. Sci. 36 (2019)
Ki Wai Chau, Cornelis W. Oosterlee
Exploration of a Cosine Expansion Lattice Scheme. CoRR (2019)
Shashi Jain, Álvaro Leitao, Cornelis W. Oosterlee
: Fast Greeks along Monte Carlo scenarios for early-exercise options. J. Comput. Sci. 33 (2019)
Stefan N. Singor, Eric Schols, Cornelis W. Oosterlee
Approximation of insurance liability contracts using radial basis functions. Int. J. Comput. Math. 96 (11) (2019)
Lina von Sydow, Slobodan Milovanovic, Elisabeth Larsson, Karel J. in 't Hout, Magnus Wiktorsson, Cornelis W. Oosterlee, Victor Shcherbakov, Maarten Wyns, Álvaro Leitao, Shashi Jain, Tinne Haentjens, Johan Waldén
BENCHOP - SLV: the BENCHmarking project in Option Pricing - Stochastic and Local Volatility problems. Int. J. Comput. Math. 96 (10) (2019)
Ki Wai Chau, Cornelis W. Oosterlee
Stochastic grid bundling method for backward stochastic differential equations. Int. J. Comput. Math. 96 (11) (2019)
Shuaiqiang Liu, Anastasia Borovykh, Lech A. Grzelak, Cornelis W. Oosterlee
A neural network-based framework for financial model calibration. CoRR (2019)
Prashant Kumar, Carmen Rodrigo, Francisco José Gaspar, Cornelis W. Oosterlee
On Local Fourier Analysis of Multigrid Methods for PDEs with Jumping and Random Coefficients. SIAM J. Sci. Comput. 41 (3) (2019)
Anastasia Borovykh, Cornelis W. Oosterlee, Sander M. Bohté
Generalisation in fully-connected neural networks for time series forecasting. CoRR (2019)
Gemma Colldeforns-Papiol, Luis Ortiz-Gracia, Cornelis W. Oosterlee
Quantifying credit portfolio losses under multi-factor models. Int. J. Comput. Math. 96 (11) (2019)
Álvaro Leitao, Cornelis W. Oosterlee, Luis Ortiz-Gracia, Sander M. Bohté
On the data-driven COS method. Appl. Math. Comput. 317 (2018)
Anastasia Borovykh, Andrea Pascucci, Cornelis W. Oosterlee
Efficient Computation of Various Valuation Adjustments Under Local Lévy Models. SIAM J. Financial Math. 9 (1) (2018)
Prashant Kumar, Peiyao Luo, Francisco José Gaspar, Cornelis W. Oosterlee
A multigrid multilevel Monte Carlo method for transport in the Darcy-Stokes system. J. Comput. Phys. 371 (2018)
Álvaro Leitao, Lech A. Grzelak, Cornelis W. Oosterlee
On a one time-step Monte Carlo simulation approach of the SABR model: Application to European options. Appl. Math. Comput. 293 (2017)
Peiyao Luo, Carmen Rodrigo, Francisco José Gaspar Lorenz, Cornelis W. Oosterlee
Uzawa Smoother in Multigrid for the Coupled Porous Medium and Stokes Flow System. SIAM J. Sci. Comput. 39 (5) (2017)
T. P. Huijskens, Maria J. Ruijter, Cornelis W. Oosterlee
Efficient numerical Fourier methods for coupled forward-backward SDEs. J. Comput. Appl. Math. 296 (2016)
Luis Ortiz-Gracia, Cornelis W. Oosterlee
A Highly Efficient Shannon Wavelet Inverse Fourier Technique for Pricing European Options. SIAM J. Sci. Comput. 38 (1) (2016)
Álvaro Leitao, Cornelis W. Oosterlee
GPU acceleration of the stochastic grid bundling method for early-exercise options. Int. J. Comput. Math. 92 (12) (2015)
Shashi Jain, Cornelis W. Oosterlee
The Stochastic Grid Bundling Method: Efficient pricing of Bermudan options and their Greeks. Appl. Math. Comput. 269 (2015)
Karel J. in 't Hout, Andrey Itkin, Cornelis W. Oosterlee, Jari Toivanen
Editorial. Int. J. Comput. Math. 92 (12) (2015)
Marjon J. Ruijter, Cornelis W. Oosterlee
A Fourier Cosine Method for an Efficient Computation of Solutions to BSDEs. SIAM J. Sci. Comput. 37 (2) (2015)
Lina von Sydow, Lars Josef Höök, Elisabeth Larsson, Erik Lindström, Slobodan Milovanovic, Jonas Persson, Victor Shcherbakov, Yuri Shpolyanskiy, Samuel Sirén, Jari Toivanen, Johan Waldén, Magnus Wiktorsson, Jeremy Levesley, Juxi Li, Cornelis W. Oosterlee, Maria J. Ruijter, Alexander Toropov, Yangzhang Zhao
BENCHOP - The BENCHmarking project in option pricing. Int. J. Comput. Math. 92 (12) (2015)
Jing Zhao, Edwin A. H. Vollebregt, Cornelis W. Oosterlee
A fast nonlinear conjugate gradient based method for 3D concentrated frictional contact problems. J. Comput. Phys. 288 (2015)
Peiyao Luo, Carmen Rodrigo, Francisco José Gaspar, Cornelis W. Oosterlee
Multigrid method for nonlinear poroelasticity equations. Comput. Vis. Sci. 17 (5) (2015)
Bowen Zhang, Cornelis W. Oosterlee
Acceleration of option pricing technique on graphics processing units. Concurr. Comput. Pract. Exp. 26 (9) (2014)
Francisco José Gaspar, Yvan Notay, Cornelis W. Oosterlee, Carmen Rodrigo
A Simple and Efficient Segregated Smoother for the Discrete Stokes Equations. SIAM J. Sci. Comput. 36 (3) (2014)
Luis Ortiz-Gracia, Cornelis W. Oosterlee
Efficient VaR and Expected Shortfall computations for nonlinear portfolios within the delta-gamma approach. Appl. Math. Comput. 244 (2014)
Jing Zhao, Edwin A. H. Vollebregt, Cornelis W. Oosterlee
Multigrid with FFT smoother for a simplified 2D frictional contact problem. Numer. Linear Algebra Appl. 21 (2) (2014)
Bowen Zhang, Cornelis W. Oosterlee
Efficient Pricing of European-Style Asian Options under Exponential Lévy Processes Based on Fourier Cosine Expansions. SIAM J. Financial Math. 4 (1) (2013)
Alfio Borzì, Cornelis W. Oosterlee
Fast solvers for simulation, inversion, and control of wave propagation problems. Numer. Linear Algebra Appl. 20 (4) (2013)
Luis Ortiz-Gracia, Cornelis W. Oosterlee
Robust Pricing of European Options with Wavelets and the Characteristic Function. SIAM J. Sci. Comput. 35 (5) (2013)
Marjon J. Ruijter, Cornelis W. Oosterlee, R. F. T. Aalbers
On the Fourier cosine series expansion method for stochastic control problems. Numer. Linear Algebra Appl. 20 (4) (2013)
Shashi Jain, Cornelis W. Oosterlee
Pricing high-dimensional Bermudan options using the stochastic grid method. Int. J. Comput. Math. 89 (9) (2012)
Jari Toivanen, Cornelis W. Oosterlee, Song-Ping Zhu
Computational methods for PDEs in finance. Int. J. Comput. Math. 89 (9) (2012)
Scott P. MacLachlan, Cornelis W. Oosterlee
Local Fourier analysis for multigrid with overlapping smoothers applied to systems of PDEs. Numer. Linear Algebra Appl. 18 (4) (2011)
Alfio Borzì, Cornelis W. Oosterlee
Special issue in computing and visualization in science (CVS), related to the European multigrid conference, EMG 2010. Comput. Vis. Sci. 14 (2) (2011)
Xinzheng Huang, Cornelis W. Oosterlee
Saddlepoint Approximations for Expectations and an Application to CDO Pricing. SIAM J. Financial Math. 2 (1) (2011)
Fang Fang, Cornelis W. Oosterlee
A Fourier-Based Valuation Method for Bermudan and Barrier Options under Heston's Model. SIAM J. Financial Math. 2 (1) (2011)
Alfio Borzì, Cornelis W. Oosterlee
Special issue in computing and visualization in science (CVS) related to the European Multigrid conference, EMG 2010. Comput. Vis. Sci. 14 (1) (2011)
Lech A. Grzelak, Cornelis W. Oosterlee
On the Heston Model with Stochastic Interest Rates. SIAM J. Financial Math. 2 (1) (2011)
Carmen Rodrigo, Francisco José Gaspar, Cornelis W. Oosterlee, Irad Yavneh
Accuracy Measures and Fourier Analysis for the Full Multigrid Algorithm. SIAM J. Sci. Comput. 32 (5) (2010)
Hisham Bin Zubair, Scott P. MacLachlan, Cornelis W. Oosterlee
A geometric multigrid method based on L-shaped coarsening for PDEs on stretched grids. Numer. Linear Algebra Appl. 17 (6) (2010)
Cornelis W. Oosterlee, Lech A. Grzelak
Fast Pricing of Hybrid Derivative Products. ERCIM News 2009 (78) (2009)
Xinzheng Huang, Cornelis W. Oosterlee
Adaptive integration for multi-factor portfolio credit loss models. J. Comput. Appl. Math. 231 (2) (2009)
Fang Fang, Cornelis W. Oosterlee
Pricing early-exercise and discrete barrier options by fourier-cosine series expansions. Numerische Mathematik 114 (1) (2009)
N. Umetani, Scott P. MacLachlan, Cornelis W. Oosterlee
A multigrid-based shifted Laplacian preconditioner for a fourth-order Helmholtz discretization. Numer. Linear Algebra Appl. 16 (8) (2009)
Bowen Zhang, Cornelis W. Oosterlee
Option pricing with COS method on graphics processing units. IPDPS (2009)
Xinzheng Huang, Cornelis W. Oosterlee
Improving Banks' Credit Risk Management. ERCIM News 2009 (78) (2009)
Fang Fang, Cornelis W. Oosterlee
A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions. SIAM J. Sci. Comput. 31 (2) (2008)
Scott MacLachlan, Cornelis W. Oosterlee
Algebraic Multigrid Solvers for Complex-Valued Matrices. SIAM J. Sci. Comput. 30 (3) (2008)
Francisco José Gaspar, José Luis Gracia, Francisco Javier Lisbona, Cornelis W. Oosterlee
Distributive smoothers in multigrid for problems with dominating grad-div operators. Numer. Linear Algebra Appl. 15 (8) (2008)
R. Lord, Fang Fang, F. Bervoets, Cornelis W. Oosterlee
A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under L[e-acute]vy Processes. SIAM J. Sci. Comput. 30 (4) (2008)
C. D. Riyanti, A. Kononov, Yogi A. Erlangga, Cornelis Vuik, Cornelis W. Oosterlee, René-Edouard Plessix, Wim A. Mulder
A parallel multigrid-based preconditioner for the 3D heterogeneous high-frequency Helmholtz equation. J. Comput. Phys. 224 (1) (2007)
Hisham Bin Zubair, Coenraad Cornelis Willem Leentvaar, Cornelis W. Oosterlee
Greedy Tikhonov regularization for large linear ill-posed problems. Int. J. Comput. Math. 84 (8) (2007)
Hisham Bin Zubair, Cornelis W. Oosterlee, Roman Wienands
Multigrid for High-Dimensional Elliptic Partial Differential Equations on Non-equidistant Grids. SIAM J. Sci. Comput. 29 (4) (2007)
Ariel Almendral, Cornelis W. Oosterlee
Accurate Evaluation of European and American Options Under the CGMY Process. SIAM J. Sci. Comput. 29 (1) (2007)
Yogi A. Erlangga, Cornelis W. Oosterlee, Cornelis Vuik
A Novel Multigrid Based Preconditioner For Heterogeneous Helmholtz Problems. SIAM J. Sci. Comput. 27 (4) (2006)
Cornelis W. Oosterlee, Francisco José Gaspar Lorenz
Multigrid Methods for the Stokes System. Comput. Sci. Eng. 8 (6) (2006)
Francisco José Gaspar, Francisco Javier Lisbona, Cornelis W. Oosterlee, Roman Wienands
A systematic comparison of coupled and distributive smoothing in multigrid for the poroelasticity system. Numer. Linear Algebra Appl. 11 (2-3) (2004)
Roman Wienands, Francisco José Gaspar, Francisco Javier Lisbona, Cornelis W. Oosterlee
An Efficient Multigrid Solver based on Distributive Smoothing for Poroelasticity Equations. Computing 73 (2) (2004)
Cornelis W. Oosterlee, Roman Wienands
A Genetic Search for Optimal Multigrid Components Within a Fourier Analysis Setting. SIAM J. Sci. Comput. 24 (3) (2003)
Roman Wienands, Cornelis W. Oosterlee
On Three-Grid Fourier Analysis for Multigrid. SIAM J. Sci. Comput. 23 (2) (2001)
Cornelis W. Oosterlee, Takumi Washio
Krylov Subspace Acceleration of Nonlinear Multigrid with Application to Recirculating Flows. SIAM J. Sci. Comput. 21 (5) (2000)
Roman Wienands, Cornelis W. Oosterlee, Takumi Washio
) Preconditioned by Multigrid. SIAM J. Sci. Comput. 22 (2) (2000)
Takashi Washio, Cornelis W. Oosterlee
Flexible Multiple Semicoarsening for Three-Dimensional Singularly Perturbed Problems. SIAM J. Sci. Comput. 19 (5) (1998)
Cornelis W. Oosterlee, Takumi Washio
An Evaluation of Parallel Multigrid as a Solver and a Preconditioner for Singularly Perturbed Problems. SIAM J. Sci. Comput. 19 (1) (1998)