Concepedia

Cornelis W. Oosterlee

CW

133

Publications

6.2K

Citations

38

H-Index

1992

Active since

Affiliations

Delft University of Technology(Current)

Centrum Wiskunde & Informatica

Universidad de Zaragoza

Utrecht University

Fraunhofer Institute for Algorithms and Scientific Computing

Cornelis W. Oosterlee is an author at Delft University of Technology specializing in engineering, numerical analysis, and business.

Top concepts

EngineeringNumerical AnalysisBusinessAsset PricingOption PricingFinanceNumerical SimulationComputational MechanicsFinancial EngineeringApproximation Theory

Publications per year

1992–2023

133

Publications

133

A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions

F. Fang, Cornelis W. Oosterlee · SIAM Journal on Scientific Computing · 2008 · 738 citations

Option Pricing, Computational Finance, Asset Pricing +13

Conditional Time Series Forecasting with Convolutional Neural Networks

Anastasia Borovykh, Sander M. Bohté, Cornelis W. Oosterlee · arXiv (Cornell University) · 2017 · 376 citations · Full text

Forecasting Methodology, Convolutional Neural Network, Sequence Modelling +15

A Novel Multigrid Based Preconditioner For Heterogeneous Helmholtz Problems

Yogi A. Erlangga, Cornelis W. Oosterlee, C. Vuik · SIAM Journal on Scientific Computing · 2006 · 314 citations

Numerical Analysis, Novel Multigrid, Method Of Fundamental Solution +11

Pricing early-exercise and discrete barrier options by fourier-cosine series expansions

F. Fang, Cornelis W. Oosterlee · Numerische Mathematik · 2009 · 291 citations · Full text

Spectral Theory, Option Pricing, Computational Finance +15

Numerical valuation of options with jumps in the underlying

Ariel Almendral, Cornelis W. Oosterlee · Applied Numerical Mathematics · 2004 · 163 citations

Mathematical Programming, Numerical Valuation, Option Pricing +5

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