Cornelis W. Oosterlee
Reports and Publications, sorted
Monte Carlo methods for American options (with Shashi Jain)
`Decision-support tool for assessing future nuclear reactor generation portfolios.'
(with S. Jain, F. Roelofs) Submitted 2013.
`Valuing modular nuclear powerplants in finite time decision horizon.'
(with S. Jain, F. Roelofs) Energy Economics 2013.
`The Stochastic Grid Bundling Method: Efficient pricing of multidimensional Bermudan options and the Greeks .'
(with S. Jain) submitted 2012.
`Pricing higher-dimensional American options using the stochastic grid method.'
(with S. Jain) Int. J. Comp. Mathematics 2012.
Fourier and Wavelet Option Pricing Methods (with Fang Fang, Bowen Zhang, Marjon Ruijter, Luis Ortiz-Gracia)
`On the application of spectral filters in a Fourier option pricing technique.'
(with M.J. Ruijter, M. Versteegh) submitted 2013.
`A Fourier-cosine method for an efficient computation of solutions to BSDEs.'
(with M.J. Ruijter) submitted 2013.
`Robust pricing of European options with wavelets and the characteristic function.'
(with L. Ortiz-Gracia) submitted 2013.
`Two-dimensional Fourier cosine series expansion method for pricing financial options.'
(with M.J. Ruijter) SISC 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
(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).
Hybrid Financial Derivatives (with Lech Grzelak, Anton vd Stoep, Bin Chen, Stefan Singor)
`The Heston Stochastic-Local Volatility Model: Efficient Monte Carlo Simulation .'
(with A. van der Stoep. L. Grzelak) submitted for publication.
`Calibration and Monte Carlo pricing of the SABR-Hull-White model for long maturity equity derivatives.'
(with B. Chen, L. Grzelak) JCF 2012.
`Inflation products with stochastic volatility and stochastic interest rates.'
(with S. Singor, L. Grzelak and D.D.B. van Bragt) Insurance: Math. and Economics, to appear.
`On cross-currency models with stochastic volatility and correlated interest rates.'
(with L. Grzelak) Applied Math. Finance, 2012.
`An equity-interest rate hybrid model with stochastic volatility and the interest rate smile.'
(with L. Grzelak) JCF 2012.
`The affine Heston model with correlated Gaussian interest rates for pricing hybrid derivatives.'
(with L. Grzelak, S. van Weeren) Quant. Finance, 2012.
`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, 2012.
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) IJTAF 2012.
`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).
Risk Management; Saddlepoint Approximation (with Xinzheng Huang, Yu Tian)
`Efficient portfolio valuation incorporating liquidity risk.'
(with Y. Tian, R. Rood) Quant. Finance, to appear.
`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).
PDE Option Pricing Methods (with Coen Leentvaar, Ariel Almendral)
`Analysis of an affine version of the Heston-Hull-White option pricing partial differential equation.'
(with S.Guo, Lech Grzelak) 2013.
`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).