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Search: person:"Oosterlee, Cornelis W."
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9
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Oosterlee, Cornelis Willebrordus
18
Grzelak, Lech A.
7
Oosterlee, Cornelis W.
7
Jain, Shashi
5
OOSTERLEE, CORNELIS W.
4
Cong, F.
3
Karlsson, Patrik
3
CHEN, BIN
2
Cirillo, Pasquale
2
Feng, Qian
2
Fontanari, Andrea
2
Le Floc'h, Fabien
2
Roelofs, Ferry
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Alberts, J. S. C.
1
Almendral, Ariel
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Boer, A.
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Bohte, Sander
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Borovykh, Anastasia
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Bragt, David D.B. van
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Cong, Fei
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Eliazar, Iddo
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FENG, QIAN
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GRAAF, CORNELIS S. L. DE
1
GRZELAK, LECH A.
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KANDHAI, DRONA
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Kandhai, Drona
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Rood, Ron
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STOEP, ANTHONIE W. VAN DER
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Singor, S. N.
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Suárez-Taboada, M.
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WEIDE, HANS VAN DER
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International Journal of Theoretical and Applied Finance (IJTAF)
4
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4
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3
Applied Mathematical Finance
2
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2
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2
Journal of economic dynamics & control
2
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2
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ECONIS (ZBW)
18
RePEc
11
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1
Relevance of wrong-way risk in funding valuation adjustments
Zwaard, Thomas van der
;
Grzelak, Lech A.
;
Oosterlee, …
- In:
Finance research letters
49
(
2022
),
pp. 1-8
Persistent link: https://www.econbiz.de/10013478834
Saved in:
2
Portfolio risk and the quantum majorization of correlation matrices
Fontanari, Andrea
;
Eliazar, Iddo
;
Cirillo, Pasquale
; …
- In:
IMA journal of management mathematics
32
(
2021
)
3
,
pp. 257-282
Persistent link: https://www.econbiz.de/10012503883
Saved in:
3
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
Saved in:
4
Collocating volatility : a competitive alternative to stochastic local volatility models
Stoep, Anthonie W. van der
;
Grzelak, Lech A.
; …
- In:
International journal of theoretical and applied finance
23
(
2020
)
6
,
pp. 1-42
Persistent link: https://www.econbiz.de/10012496758
Saved in:
5
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
Saved in:
6
Model-free stochastic collocation for an arbitrage-free implied volatility, part I
Le Floc'h, Fabien
;
Oosterlee, Cornelis Willebrordus
- In:
Decisions in economics and finance : DEF ; a journal of …
42
(
2019
)
2
,
pp. 679-714
Persistent link: https://www.econbiz.de/10012127314
Saved in:
7
The stochastic collocation Monte Carlo sampler : highly efficient sampling from "expensive" distributions
Grzelak, Lech A.
;
Witteveen, J. A. S.
;
Suárez-Taboada, M.
- In:
Quantitative finance
19
(
2019
)
2
,
pp. 339-356
Persistent link: https://www.econbiz.de/10012194657
Saved in:
8
From Concentration Profiles to Concentration Maps : new tools for the study of loss distributions
Fontanari, Andrea
;
Cirillo, Pasquale
;
Oosterlee, …
- In:
Insurance / Mathematics & economics
78
(
2018
),
pp. 13-29
Persistent link: https://www.econbiz.de/10011825063
Saved in:
9
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
Saved in:
10
Accurate and robust numerical methods for the dynamic portfolio management problem
Cong, Fei
;
Oosterlee, Cornelis Willebrordus
- In:
Computational economics
49
(
2017
)
3
,
pp. 433-458
Persistent link: https://www.econbiz.de/10011762120
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