Cornelis W. Oosterlee
Orcid: 0000-0002-7322-4094Affiliations:
- Delft University of Technology, Netherlands
According to our database1,
Cornelis W. Oosterlee
authored at least 112 papers
between 1993 and 2025.
Collaborative distances:
Collaborative distances:
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Online presence:
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on zbmath.org
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on orcid.org
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on id.loc.gov
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on d-nb.info
On csauthors.net:
Bibliography
2025
Convergence of the deep BSDE method for stochastic control problems formulated through the stochastic maximum principle.
Math. Comput. Simul., 2025
The Heston-Queue-Hawkes process: A new self-exciting jump-diffusion model for options pricing, and an extension of the COS method for discrete distributions.
J. Comput. Appl. Math., 2025
2024
A deep learning-based Monte Carlo simulation scheme for stochastic differential equations driven by fractional Brownian motion.
Neurocomputing, March, 2024
The Deep Latent Space Particle Filter for Real-Time Data Assimilation with Uncertainty Quantification.
CoRR, 2024
Generalized convergence of the deep BSDE method: a step towards fully-coupled FBSDEs and applications in stochastic control.
CoRR, 2024
A parallel preconditioner for the all-at-once linear system from evolutionary PDEs with Crank-Nicolson discretization.
CoRR, 2024
2023
Markov chain generative adversarial neural networks for solving Bayesian inverse problems in physics applications.
Comput. Math. Appl., October, 2023
Pattern Recognit., September, 2023
A Probabilistic Digital Twin for Leak Localization in Water Distribution Networks Using Generative Deep Learning.
Sensors, July, 2023
Int. J. Comput. Math., April, 2023
SIAM J. Sci. Comput., February, 2023
GPU acceleration of the Seven-League Scheme for large time step simulations of stochastic differential equations.
CoRR, 2023
2022
J. Comput. Appl. Math., 2022
CoRR, 2022
2021
Reduced order modeling for parameterized time-dependent PDEs using spatially and memory aware deep learning.
J. Comput. Sci., 2021
The One Step Malliavin scheme: new discretization of BSDEs implemented with deep learning regressions.
CoRR, 2021
Energy-conserving formulation of the two-fluid model for incompressible two-phase flow in channels and pipes.
CoRR, 2021
A computational approach to hedging Credit Valuation Adjustment in a jump-diffusion setting.
Appl. Math. Comput., 2021
Corrigendum to "Total value adjustment for a stochastic volatility model. A comparison with the Black-Scholes model".
Appl. Math. Comput., 2021
Total value adjustment for a stochastic volatility model. A comparison with the Black-Scholes model.
Appl. Math. Comput., 2021
Appl. Math. Comput., 2021
Appl. Math. Comput., 2021
A deep learning approach for computations of exposure profiles for high-dimensional Bermudan options.
Appl. Math. Comput., 2021
2020
ERCIM News, 2020
CoRR, 2020
The Seven-League Scheme: Deep learning for large time step Monte Carlo simulations of stochastic differential equations.
CoRR, 2020
On Calibration Neural Networks for extracting implied information from American options.
CoRR, 2020
2019
On Local Fourier Analysis of Multigrid Methods for PDEs with Jumping and Random Coefficients.
SIAM J. Sci. Comput., 2019
<i>Rolling Adjoints</i>: Fast Greeks along Monte Carlo scenarios for early-exercise options.
J. Comput. Sci., 2019
J. Comput. Sci., 2019
BENCHOP - SLV: the BENCHmarking project in Option Pricing - Stochastic and Local Volatility problems.
Int. J. Comput. Math., 2019
Int. J. Comput. Math., 2019
Int. J. Comput. Math., 2019
Int. J. Comput. Math., 2019
CoRR, 2019
2018
SIAM J. Financial Math., 2018
Monolithic multigrid method for the coupled Stokes flow and deformable porous medium system.
J. Comput. Phys., 2018
J. Comput. Phys., 2018
Int. J. Comput. Math., 2018
2017
SIAM J. Sci. Comput., 2017
Numerische Mathematik, 2017
Numer. Linear Algebra Appl., 2017
On a one time-step Monte Carlo simulation approach of the SABR model: Application to European options.
Appl. Math. Comput., 2017
2016
A Highly Efficient Shannon Wavelet Inverse Fourier Technique for Pricing European Options.
SIAM J. Sci. Comput., 2016
J. Comput. Appl. Math., 2016
2015
SIAM J. Sci. Comput., 2015
A fast nonlinear conjugate gradient based method for 3D concentrated frictional contact problems.
J. Comput. Phys., 2015
Int. J. Comput. Math., 2015
Int. J. Comput. Math., 2015
The Stochastic Grid Bundling Method: Efficient pricing of Bermudan options and their Greeks.
Appl. Math. Comput., 2015
2014
SIAM J. Sci. Comput., 2014
Numer. Linear Algebra Appl., 2014
Concurr. Comput. Pract. Exp., 2014
Efficient VaR and Expected Shortfall computations for nonlinear portfolios within the delta-gamma approach.
Appl. Math. Comput., 2014
2013
SIAM J. Sci. Comput., 2013
Efficient Pricing of European-Style Asian Options under Exponential Lévy Processes Based on Fourier Cosine Expansions.
SIAM J. Financial Math., 2013
Numer. Linear Algebra Appl., 2013
Numer. Linear Algebra Appl., 2013
2012
Two-Dimensional Fourier Cosine Series Expansion Method for Pricing Financial Options.
SIAM J. Sci. Comput., 2012
An ENO-Based Method for Second-Order Equations and Application to the Control of Dike Levels.
J. Sci. Comput., 2012
Int. J. Comput. Math., 2012
2011
SIAM J. Financial Math., 2011
A Fourier-Based Valuation Method for Bermudan and Barrier Options under Heston's Model.
SIAM J. Financial Math., 2011
Local Fourier analysis for multigrid with overlapping smoothers applied to systems of PDEs.
Numer. Linear Algebra Appl., 2011
GPU implementation of a Helmholtz Krylov solver preconditioned by a shifted Laplace multigrid method.
J. Comput. Appl. Math., 2011
Special issue in computing and visualization in science (CVS), related to the European multigrid conference, EMG 2010.
Comput. Vis. Sci., 2011
2010
SIAM J. Sci. Comput., 2010
A geometric multigrid method based on L-shaped coarsening for PDEs on stretched grids.
Numer. Linear Algebra Appl., 2010
2009
Pricing early-exercise and discrete barrier options by fourier-cosine series expansions.
Numerische Mathematik, 2009
A multigrid-based shifted Laplacian preconditioner for a fourth-order Helmholtz discretization.
Numer. Linear Algebra Appl., 2009
J. Comput. Appl. Math., 2009
Proceedings of the 23rd IEEE International Symposium on Parallel and Distributed Processing, 2009
2008
A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under L[e-acute]vy Processes.
SIAM J. Sci. Comput., 2008
A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions.
SIAM J. Sci. Comput., 2008
Numer. Linear Algebra Appl., 2008
2007
Multigrid for High-Dimensional Elliptic Partial Differential Equations on Non-equidistant Grids.
SIAM J. Sci. Comput., 2007
SIAM J. Sci. Comput., 2007
A parallel multigrid-based preconditioner for the 3D heterogeneous high-frequency Helmholtz equation.
J. Comput. Phys., 2007
Int. J. Comput. Math., 2007
Proceedings of the Computational Science - ICCS 2007, 7th International Conference, Beijing, China, May 27, 2007
2006
SIAM J. Sci. Comput., 2006
2004
A systematic comparison of coupled and distributive smoothing in multigrid for the poroelasticity system.
Numer. Linear Algebra Appl., 2004
An Efficient Multigrid Solver based on Distributive Smoothing for Poroelasticity Equations.
Computing, 2004
2003
SIAM J. Sci. Comput., 2003
2001
2000
SIAM J. Sci. Comput., 2000
Krylov Subspace Acceleration of Nonlinear Multigrid with Application to Recirculating Flows.
SIAM J. Sci. Comput., 2000
Numerische Mathematik, 2000
1998
Flexible Multiple Semicoarsening for Three-Dimensional Singularly Perturbed Problems.
SIAM J. Sci. Comput., 1998
An Evaluation of Parallel Multigrid as a Solver and a Preconditioner for Singularly Perturbed Problems.
SIAM J. Sci. Comput., 1998
1996
1995
A Robust Parallel Solver for 3D Fluid Flow Problems Using a High-Level Communications Library.
Proceedings of the Parallel Computing: State-of-the-Art and Perspectives, 1995
1994
Parallel Multigrid Reesults for Euler Equations and Grid Partitioning into a Large Number of Blocks.
Proceedings of the High-Performance Computing and Networking, 1994
1993
IMPACT Comput. Sci. Eng., 1993
A Robust Multigrid Method for a Discretization of the Incompressible Navier-Stokes Equations in General Coordinates.
IMPACT Comput. Sci. Eng., 1993