Cornelis W. Oosterlee

Reports and Publications, sorted

Computational Finance

Monte Carlo methods for American options (with Shashi Jain)

  • `Pricing higher-dimensional American options using the stochastic grid method.' (with S. Jain).

    The SABR Model (with Bin Chen)

  • `Efficient unbiased simulation scheme for the SABR stochastic volatility model.' (with B. Chen, J.A.M van der Weide).
  • `Analytic approximation to constant maturity swap convexity correction in a multi-factor SABR model.' (with B. Chen, S. van Weeren) Int. J. Theoret. Applied Finance 13(7) 1019-1046 (2010).

    Hybrid Financial Derivatives (with Lech Grzelak, Stefan Singor)

  • `Inflation products with stochastic volatility and stochastic interest rates.' (with S. Singor, L. Grzelak and D.D.B. van Bragt) submitted.
  • `On cross-currency models with stochastic volatility and correlated interest rates.' (with L. Grzelak) to appear in Applied Math. Finance.
  • `An equity-interest rate hybrid model with stochastic volatility and the interest rate smile.' (with L. Grzelak) submitted 2010.
  • `The affine Heston model with correlated Gaussian interest rates for pricing hybrid derivatives.' (with L. Grzelak, S. van Weeren) Quant. Finance, to appear 2011.
  • `On the Heston model with stochastic interest rates.' (with L. Grzelak) SIAM J. Fin. Math. 2: 255-286, 2011.
  • `Extension of stochastic volatility models with Hull-White interest rate process.' (with L.A. Grzelak and S. van Weeren) Quant. Finance, to appear 2010/2011.

    Risk Management; Saddlepoint Approximation (with Xinzheng Huang, Yu Tian)

  • `Efficient portfolio valuation incorporating liquidity risk.' (with Y. Tian, R. Rood) submitted.
  • `Saddlepoint approximations for expectations.' (with X. Huang) SIAM J. Fin. Math. to appear 2011.
  • `Generalized Beta regression models for random Loss-Given-Default.' (with X. Huang) submitted.
  • `Nonnegative matrix factorization of a correlation matrix.' (with P. Sonneveld, J.J.I.M. van Kan and X. Huang) Linear Algebra and Its Applications 431: 334-349 (2009).
  • `Adaptive integration for multi-factor portfolio credit loss models.' (with X. Huang), J. Comp. Appl. Math. 231: 506-516 (2009).
  • `Computation of VaR and VaR contribution in the Vasicek portfolio credit loss model.' (with X. Huang, M.A.M. Mesters) J. of Credit Risk 3(3): 75 -96 (2007).
  • `Higher order saddlepoint approximations in the Vasicek portfolio credit loss model.' (with X. Huang, J.A.M. van der Weide) J. Comp. Finance 11(1): 93 - 113 (2007).

    Fourier Option Pricing Methods (with Fang Fang, Bowen Zhang, Marjon Ruijter)

  • `Two-dimensional Fourier cosine series expansion method for pricing financial options.' (with M.J. Ruijter) submitted 2012.
  • `Efficient pricing of Asian options under Levy processes based on Fourier cosine expansions. Part I: European-style products.' (with B. Zhang) submitted 2011.
  • `On the Fourier cosine series expansion (COS) method for stochastic control problems.' (with M.J. Ruijter, R.F.T. Aalbers) submitted 2012.
  • `Efficient Pricing of Commodity Options with Early-Exercise under the Ornstein--Uhlenbeck process.' (with B. Zhang) submitted 2011.
  • `On Fourier cosine expansions and the put-call parity for pricing Bermudan options.' (with B. Zhang) submitted 2010.
  • `Pricing options under stochastic volatility with Fourier cosine expansions.' (with F. Fang) SIAM J. Fin. Math, to appear 2011.
  • `Acceleration of option pricing technique on Graphics Processing Units.' (with B. Zhang).
  • `An Efficient Pricing Algorithm for Swing Options Based on Fourier Cosine Expansions.' (with B. Zhang) JCF to appear.
  • `Fast valuation and calibration of credit default swaps under Le'vy dynamics.' (with F. Fang, H. J"onsson, W. Schoutens) Journ. Comp. Finance, 2010.
  • `Pricing early-exercise and discrete barrier options by Fourier-cosine series expansions.' (with F. Fang) Numerische Mathematik 114: 27-62 (2009).
  • `A novel pricing method for European options based on Fourier-cosine series expansions.' (with F. Fang) SIAM J. Sci. Comput. 31: 826-848 (2008).
  • `Multi-asset option pricing using a parallel Fourier-based technique.' (with C.C.W. Leentvaar) J. Comp. Finance 12(1): 1-26 (2008).
  • `A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under L'evy Processes.' (with R. Lord, F. Fang, F. Bervoets) SIAM J. Sci. Comput. 30: 1678-1705 (2008).

    PDE Option Pricing Methods (with Coen Leentvaar, Ariel Almendral)

  • `On coordinate transformation and grid stretching for sparse grid pricing of basket options.' (with C.C.W. Leentvaar) J. Comp. Appl. Math. 222: 193-209 (2008).
  • `Accurate American option pricing by grid stretching and high order finite differences.' (with C.C.W. Leentvaar, X.Huang) unpublished.
  • `Accurate Evaluation of European and American Options Under the CGMY Process'. (with A. Almendral), SIAM J. Sci Comput. 29: 93-117 (2007).
  • `On American options under the Variance Gamma process'. (with A. Almendral). Applied Math. Finance 14(2): 131-152 (2007).
  • `Highly Accurate Evaluation of European and American Options Under the Variance Gamma Process.' (with A. Almendral) J. Comp. Finance 10 (1), 21-42 (2006).
  • `Numerical valuation of options with jumps in the underlying.' Applied Num. Math. 53, 1-18 (2005).
  • `TVD, WENO and blended BDF discretizations for Asian options.'(with J.C. Frisch and F.J. Gaspar) Comp. Vis. Science, 6, 131-138 (2004).
  • `On multigrid for linear complementarity problems with application to American-style options.' Electr. Trans. on Num. Anal., 15, 165-185 (2003).