Cornelis W. Oosterlee

Author

Also Known As

C Oosterlee, C. Oosterlee, C. W. OOSTERLEE, C. W. Oosterlee, C.W Oosterlee, C.W. Oosterlee, CORNELIS W. OOSTERLEE, Cornelis Oosterlee, Cornelis W Oosterlee, Cornelis W. Oosterlee

403

Publications

Citations

H-Index

136

Concepts

All Affiliations

Delft University of Technology Centrum Wiskunde & Informatica Universidad de Zaragoza Utrecht University Fraunhofer Institute for Algorithms and Scientific Computing

About

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

Top Concepts

#	Concept	H-Index	Publications	Citations
1	Engineering	35	87	4.1K
2	Business	22	35	2.5K
3	Management	6	6	169
4	Natural Sciences	2	2	48
5	Civil Engineering	1	1	11

Cornelis W. Oosterlee

133

Publications

6.2K

Citations

H-Index

Page 1

	Year	Citations
A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions F. Fang, Cornelis W. Oosterlee SIAM Journal on Scientific Computing Option PricingComputational FinanceAsset PricingForeign Exchange OptionEuropean Options	2008	738
Conditional Time Series Forecasting with Convolutional Neural Networks Anastasia Borovykh, Sander M. Bohté, Cornelis W. Oosterlee arXiv (Cornell University) Forecasting MethodologyConvolutional Neural NetworkSequence ModellingEngineeringMachine Learning	2017	376
A Novel Multigrid Based Preconditioner For Heterogeneous Helmholtz Problems Yogi A. Erlangga, Cornelis W. Oosterlee, C. Vuik SIAM Journal on Scientific Computing Numerical AnalysisNovel MultigridMethod Of Fundamental SolutionNumerical ComputationEngineering	2006	314
Pricing early-exercise and discrete barrier options by fourier-cosine series expansions F. Fang, Cornelis W. Oosterlee Numerische Mathematik Spectral TheoryOption PricingComputational FinanceEngineeringAsset Pricing	2009	291
Numerical valuation of options with jumps in the underlying Ariel Almendral, Cornelis W. Oosterlee Applied Numerical Mathematics Mathematical ProgrammingNumerical ValuationOption PricingAsset PricingDerivative Pricing	2004	163
Geometric multigrid with applications to computational fluid dynamics Pieter Wesseling, Cornelis W. Oosterlee Journal of Computational and Applied Mathematics Numerical AnalysisEngineeringIncompressible FlowFluid-structure InteractionGeometric Multigrid	2001	154
A Fourier-Based Valuation Method for Bermudan and Barrier Options under Heston's Model Fang Fang, Cornelis W. Oosterlee SIAM Journal on Financial Mathematics Spectral TheoryNumerical AnalysisOption PricingComputational FinanceEngineering	2011	148
Two-Dimensional Fourier Cosine Series Expansion Method for Pricing Financial Options M. J. Ruijter, Cornelis W. Oosterlee SIAM Journal on Scientific Computing Spectral TheoryNumerical AnalysisOption PricingComputational FinanceEngineering	2012	128
Dilated convolutional neural networks for time series forecasting Anastasia Borovykh, Sander M. Bohté, Cornelis W. Oosterlee The Journal of Computational Finance	2018	117
On multigrid for linear complementarity problems with application to American-style options. Cornelis W. Oosterlee	2003	115

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