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The seven-league scheme : deep learning for large time step Monte Carlo simulations of stochastic differential equations
Liu, Shuaiqiang; Grzelak, Lech A.; Oosterlee, Cornelis … - In: Risks : open access journal 10 (2022) 3, pp. 1-27
We propose an accurate data-driven numerical scheme to solve stochastic differential equations (SDEs), by taking large time steps. The SDE discretization is built up by means of the polynomial chaos expansion method, on the basis of accurately determined stochastic collocation (SC) points. By...
Persistent link: https://www.econbiz.de/10013093086
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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
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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
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Mathematical modeling and computation in finance : with exercises and Python and Matlab computer codes
Oosterlee, Cornelis Willebrordus; Grzelak, Lech A. - 2020
Persistent link: https://www.econbiz.de/10012121628
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Pricing and hedging prepayment risk in a mortgage portfolio
Casamassima, Emanuele; Grzelak, Lech A.; Mulder, Frank A.; … - In: International journal of theoretical and applied … 25 (2022) 4/5, pp. 1-37
Persistent link: https://www.econbiz.de/10013371214
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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
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Fast and accurate exercise policies for Bermudan swaptions in the LIBOR market model
Karlsson, Patrik; Jain, Shashi; Oosterlee, Cornelis … - In: International journal of financial engineering 3 (2016) 1, pp. 1-22
Persistent link: https://www.econbiz.de/10011532753
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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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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
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Counterparty credit exposures for interest rate derivatives using the stochastic grid bundling method
Karlsson, Patrik; Jain, Shashi; Oosterlee, Cornelis … - In: Applied mathematical finance 23 (2016) 3/4, pp. 175-196
Persistent link: https://www.econbiz.de/10011704227