Kees Oosterlee
- Full Name
- Prof.dr.ir. C.W. Oosterlee
- Function(s)
- Professor - TU Delft, MT member
- C.W.Oosterlee@cwi.nl
- Telephone
- +31 20 592 4108
- Room
- M130
- Department(s)
- Scientific Computing
- Homepage
- https://keesoosterlee.com
Biography
Cornelis W ("Kees") Oosterlee is a senior scientist at CWI – Centrum Wiskunde & Informatica — and member of CWI’s management team. His research focus is on developing and analysing novel, robust and efficient algorithms, with a particular interest in computational finance. He is also professor at Delft University of Technology in Applied Numerical Mathematics. He has written two textbooks, the most recent one is “Mathematical Modeling and Computation in Finance” with Lech A. Grzelak, and approximately 150 research articles (see Repository at CWI).
Publications
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van der Zwaard, T, Grzelak, L.A, & Oosterlee, C.W. (2021). A computational approach to hedging Credit Valuation Adjustment in a jump-diffusion setting. Applied Mathematics and Computation, 391. doi:10.1016/j.amc.2020.125671
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Salvador Mancho, B, & Oosterlee, C.W. (2021). Total value adjustment for a stochastic volatility model. A comparison with the Black–Scholes model. Applied Mathematics and Computation, 391. doi:10.1016/j.amc.2020.125489
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van der Stoep, A.W, Grzelak, L.A, & Oosterlee, C.W. (2020). Collocating volatility: a competative alternative to stochastic local volatility models. International Journal of Theoretical and Applied Finance, 23(6). doi:10.1142/S0219024920500387
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Chau, K.W, Tang, J, & Oosterlee, C.W. (2020). An SGBM-XVA demonstrator: A scalable Python tool for pricing XVA. Journal of Mathematics in Industry, 10(7). doi:10.1186/s13362-020-00073-5
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Kumar, P, Rodrigo, C, Gaspar, F.J, & Oosterlee, C.W. (2019). A parametric acceleration of multilevel Monte Carlo convergence for nonlinear variably saturated flow. Computational Geosciences. doi:10.1007/s10596-019-09922-8
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Oosterlee, C.W, & Grzelak, L.A. (2019). Mathematical Modeling and Computation in Finance. World Scientific.
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Liu, S, Borovykh, A.I, Grzelak, L.A, & Oosterlee, C.W. (2019). A neural network-based framework for financial model calibration. Journal of Mathematics in Industry, 9(1). doi:10.1186/s13362-019-0066-7
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Borovykh, A.I, Oosterlee, C.W, & Bohte, S.M. (2019). Generalization in fully-connected neural networks for time series forecasting. Journal of Computational Science, 36(101020), 1–15. doi:10.1016/j.jocs.2019.07.007
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Kumar, P, Rodrigo, C, Gaspar, F.J, & Oosterlee, C.W. (2019). On local Fourier analysis of multigrid methods for PDEs with jumping and random coefficients. SIAM Journal on Scientific Computing, 41(3), A1385–A1413. doi:10.1137/18M1173769
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Jain, S, Leitao Rodriguez, Á, & Oosterlee, C.W. (2019). Rolling Adjoints: Fast Greeks along Monte Carlo scenarios for early-exercise options. Journal of Computational Science, 33, 95–112. doi:10.1016/j.jocs.2019.03.001
Current projects with external funding
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Valuation Adjustments for Improved Risk Management (ABC-EU-XVA)
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Physics based ICT: The digital twin in pipelines (DP-Trans)
Professional activities
- Professor: Technische Universiteit Delft - [TUD]
- Board Member: Economic Development Board for Metropole Region Amsterdam
- Committee member: Member Innovation committee: Platform Wiskunde Nederland
- Chair: Chairman: National Committee "Scientific Computing" (Werkgemeenschap Scientific Computing) in the Netherlands
- Committee member: Member Research Committee: PWN (Platform Wiskunde NL).
- Editor: Member editorial board Journal: Open Applied Mathematics Journal
- Editor: Member editorial board Journal: Computing and Visualization in Science - [CVS]
- Editor: Member editorial board Journal: Journal of Computational Finance 2008-01
- Editor: Editor-in-Chief Computational Finance, Incisive Media
- Editor: Ass. Editor Computing and Visualization in Science (CVS), Springer;
Grants
- EU Marie Curie EU Marie Curie incoming fellowship, for prof. F.J. Gaspar, numerics for CO2 storage, financed by H2020, 150K Euro (2016)
- EU H2020EID WAKEUPCALL financed by EU H2020, coordinator with 6 PhDs (2 of them in the Netherlands, K.W. Chau and A. Fontanari), 1.5M Euro (2016)
- PPS PhD project, A. van der Stoep (financed by Rabobank International), 190K Euro (2012)
- PPS 2 PhD projects, Q. Feng and K. de Graaf at CWI and UvA (financed by STW and ING, 500K Euro) (2012)