Articles by Cornelis W. Oosterlee
Numerical techniques for the Heston collocated volatility model
In this paper, the authors discuss all aspects of derivative pricing under the Heston–CLV model: calibration with an efficient Fourier method; a Monte Carlo simulation with second-order convergence; and accurate partial differential equation pricing…
Dilated convolutional neural networks for time series forecasting
In this paper, the authors present a method for conditional time series forecasting based on an adaptation of the recent deep convolutional WaveNet architecture.
Efficient computation of exposure profiles on real-world and risk-neutral scenarios for Bermudan swaptions
In the paper, real-world and risk-neutral scenarios are combined for the valuation of the exposure values of Bermudan swaptions on real-world Monte Carlo paths.
From arbitrage to arbitrage-free implied volatilities
The authors propose a method for determining an arbitrage-free density implied by the Hagan formula.