Cornelis W. Oosterlee

Utrecht University — Netherlands

Economics, Econometrics and Finance · Social Sciences

39h-index7.0kcitations403works1.12yr avg
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Research Topics

Stochastic processes and financial applications(194), Financial Risk and Volatility Modeling(98), Advanced Numerical Methods in Computational Mathematics(88), Insurance, Mortality, Demography, Risk Management(57), Computational Fluid Dynamics and Aerodynamics(49)

Publications403 total

Modeling and replication of the prepayment option of mortgages including behavioral uncertainty
Journal of Computational and Applied Mathematics·2025
On the Hull-White model with volatility smile for Valuation Adjustments
Quantitative Finance·2025
Principal Component Copulas for Capital Modelling and Systemic Risk
Computational Economics·2025Open Access
Convergence of the Markovian iteration for coupled FBSDEs via a differentiation approach
arXiv (Cornell University)·2025Open Access
A deep BSDE approach for the simultaneous pricing and delta-gamma hedging of large portfolios consisting of high-dimensional multi-asset Bermudan options
arXiv (Cornell University)·2025Open Access
A numerical Fourier cosine expansion method with higher order Taylor schemes for fully coupled FBSDEs
arXiv (Cornell University)·2025Open Access
Quantum Majorization in Market Crash Prediction
Risks·2024Open Access
Modeling and Replication of the Prepayment Option of Mortgages including Behavioral Uncertainty
arXiv (Cornell University)·2024Open Access
Machine Learning-Based Digital Twin for Water Distribution Network Anomaly Detection and Localization
2024· 3 citedOpen Access
The deep latent space particle filter for real-time data assimilation with uncertainty quantification
Scientific Reports·2024· 4 citedOpen Access
Convergence of the deep BSDE method for stochastic control problems formulated through the stochastic maximum principle
Mathematics and Computers in Simulation·2024· 2 cited
Editorial
International Journal of Computer Mathematics·2024
The Heston–Queue-Hawkes process: A new self-exciting jump–diffusion model for options pricing, and an extension of the COS method for discrete distributions
Journal of Computational and Applied Mathematics·2024· 4 citedOpen Access
The Deep Latent Space Particle Filter for Real-Time Data Assimilation with Uncertainty Quantification
2024Open Access
The Deep Latent Space Particle Filter for Real-Time Data Assimilation with Uncertainty Quantification
arXiv (Cornell University)·2024Open Access
Parallel-in-Time Iterative Methods for Pricing American Options
arXiv (Cornell University)·2024Open Access
Generalized convergence of the deep BSDE method: a step towards fully-coupled FBSDEs and applications in stochastic control
arXiv (Cornell University)·2024Open Access
On the Hull-White model with volatility smile for Valuation Adjustments
arXiv (Cornell University)·2024Open Access
EFFICIENT WRONG-WAY RISK MODELING FOR FUNDING VALUATION ADJUSTMENTS
International Journal of Theoretical and Applied Finance·2024
The One Step Malliavin scheme: new discretization of BSDEs implemented with deep learning regressions
IMA Journal of Numerical Analysis·2024· 7 cited
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Frequent Co-authors

Takumi Washio(6), C. Vuik(5), M. J. Ruijter(5), Lech A. Grzelak(5), Anastasia Borovykh(4), Yogi A. Erlangga(4), R. Wienands(4), Sander M. Bohté(3), Ariel Almendral(3), Pieter Wesseling(3), Scott MacLachlan(3), F. Fang(2), C.D. Riyanti(2), René-Édouard Plessix(2), W. A. Mulder(2), Shashi Jain(2), Sacha van Weeren(2), Luis Ortiz-Gracia(2), A. Śegal(2), Francisco J. Gaspar(2)