Activities in this research area are governed by Kees Oosterlee

We develop state-of-the-art numerical solution technique to price financial derivatives, to determine optimal investment decisions or to analyze risk related to financial products.
We use Fourier series expansions, but also unbiased Monte Carlo simulations and numerical approximations of the relevant partial differential equations for this purpose.
Current projects include:
Equity and foreign-exchange hybrid models for pricing long maturity financial derivatives (with L.A. Grzelak, and Rabobank International)
We develop stochastic models with correlation for equity, interest rate and volatility for which efficient pricing techniques can be developed.
Fourier series expansions for pricing commodity options (with B. Zhang)
We focus on typical stochastic models and derivatives appearing for commodities, like oil, electricity etc.
Computational Methods for decision problems in economics (with M. Ruijter, and CPB)
We develop models for the risk-free interest rate and develop efficient pricing techniques based on Fourier expansions.
Monte Carlo Simulation of SABR-based interest rate modeling (with B. Chen, and Rabobank International)
We develop fast and robust pricing techniques for modern interest rate products and state-of-the-art interest rate models.
Monte Carlo simulation for decision-making in the energy sector with multi-D real option problems (with S. Jain, and NRG Petten)
We develop a high-dimensional Monte Carlo method for American-style real options, related to the transition to a next generation of nuclear reactors.
Advanced numerical pricing techniques in asset liability management (with S. Singor, and ORTEC Finance)
We consider inflation options, options on property and real estate and numerical methods to price those.