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An equity-interest rate hybrid model with stochastic volatility and the interest rate smile
Grzelak, Lech A.; Oosterlee, Cornelis W. - In: The journal of computational finance 15 (2011/12) 4, pp. 45-77
Persistent link: https://www.econbiz.de/10009575390
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From arbitrage to arbitrage-free implied volatilities
Grzelak, Lech A.; Oosterlee, Cornelis Willebrordus - In: The journal of computational finance 20 (2016/2017) 3, pp. 31-49
Persistent link: https://www.econbiz.de/10011689678
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Fast valuation and calibration of credit default swaps under Lévy dynamics
Fang, Fang; Jönsson, Henrik; Oosterlee, Cornelis W.; … - In: The journal of computational finance 14 (2010/11) 2, pp. 57-86
Persistent link: https://www.econbiz.de/10008810136
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Higher-order saddlepoint approximations in the Vasicek portfolio credit loss model
Huang, Xinzheng; Oosterlee, Cornelis W.; Weide, Hans van der - In: The journal of computational finance 11 (2007/08) 1, pp. 93-113
Persistent link: https://www.econbiz.de/10003643434
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On the application of spectral filters in a Fourier option pricing technique
Ruijter, Marjon; Versteegh, M.; Oosterlee, Cornelis … - In: The journal of computational finance 19 (2015) 1, pp. 75-106
Persistent link: https://www.econbiz.de/10011480718
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Efficient computation of exposure profiles on real-world and risk-neutral scenarios for Bermudan swaptions
Feng, Qian; Jain, Shashi; Karlsson, Patrik; Kandhai, Drona - In: The journal of computational finance 20 (2016) 1, pp. 139-172
Persistent link: https://www.econbiz.de/10011639641
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Dilated convolutional neural networks for time series forecasting
Borovykh, Anastasia; Bohte, Sander; Oosterlee, Cornelis … - In: The journal of computational finance 22 (2018/2019) 4, pp. 73-101
Persistent link: https://www.econbiz.de/10012042219
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Numerical techniques for the Heston collocated volatility model
Le Floc'h, Fabien; Oosterlee, Cornelis Willebrordus - In: The journal of computational finance 24 (2020) 3, pp. 59-110
Persistent link: https://www.econbiz.de/10012544158
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Calibration and Monte Carlo pricing of the SABR-Hull-White model for long-maturity equity derivatives
Chen, Bin; Grzelak, Lech A; Oosterlee, Cornelis W - In: The journal of computational finance 15 (2012) 4, pp. 79-115
Persistent link: https://www.econbiz.de/10009993876