**Cornelis W. Oosterlee**
### Reports and Publications, sorted

## Computational Finance

### 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
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).

### 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).