Kees Oosterlee

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Publications

• van der Stoep, A.W, Grzelak, L.A, & Oosterlee, C.W. (2017). A novel Monte Carlo approach to hybrid local volatility models. Quantitative Finance, 17(9), 1–20. doi:10.1080/14697688.2017.1280613
• Leitao Rodriguez, A, Oosterlee, C.W, Ortiz Gracia, L, & Bohte, S.M. (2017). On the data-driven COS method. doi:10.1016/j.amc.2017.09.002
• Maree, S.C, Ortiz Gracia, L, & Oosterlee, C.W. (2017). Pricing early-exercise and discrete barrier options by Shannon wavelet expansions. Numerische Mathematik, 1–36. doi:10.1007/s00211-016-0858-2
• Luo, P, Rodrigo, C, Gaspar Lorenz, F.J, & Oosterlee, C.W. (2017). On a multigrid method for the coupled Stokes and porous media flow problem. In AIP Conference Proceedings. doi:10.1063/1.4992706
• Colldeforns-Papiol, G, Ortiz Gracia, L, & Oosterlee, C.W. (2017). Two-dimensional Shannon wavelet inverse Fourier technique for pricing European options. Applied Numerical Mathematics, 117, 115–138. doi:10.1016/j.apnum.2017.03.002
• Borovykh, A, Pascucci, A, & Oosterlee, C.W. (2017). Pricing Bermudan options under local Lévy models with default. Journal of Mathematical Analysis and Applications. doi:10.1016/j.jmaa.2017.01.071
• Leitao Rodriguez, A, Grzelak, L.A, & Oosterlee, C.W. (2017). On an efficient multiple time step Monte Carlo simulation of the SABR model. Quantitative Finance, 1–17. doi:10.1080/14697688.2017.1301676
• van der Have, Z, & Oosterlee, C.W. (2017). The COS method for option valuation under the SABR dynamics. International Journal of Computer Mathematics, 1–21. doi:10.1080/00207160.2017.1290438
• Grzelak, L.A, & Oosterlee, C.W. (2017). From arbitrage to arbitrage-free implied volatilities. Journal of Computational Finance, 20(3), 31–49. doi:10.21314/JCF.2016.316
• Leitao Rodriguez, A, Grzelak, L.A, & Oosterlee, C.W. (2017). On a one time-step Monte Carlo simulation approach of the SABR model: Application to European options. Applied Mathematics and Computation, 293, 461–479. doi:`10.1016/j.amc.2016.08.030

Projects

• Uncertainty Quantication in Hydraulic Fracturing using Multi-Level Monte Carlo and Multigrid

• PORO SOS
  Efficient numerical methods for deformable porous media. Application to carbon dioxide storage

• WAKEUPCALL
  Applied mathematics for risk measures in finance and insurance, in the wake of the crisis

Professional activities

• professor
  Technische Universiteit Delft - [TUD]

• boardMember
  Economic Development Board for Metropole Region Amsterdam

• committeeMember
  Member Innovation committee: Platform Wiskunde Nederland

• chair
  Chairman: National Committee "Scientific Computing" (Werkgemeenschap Scientific Computing) in the Netherlands

• committeeMember
  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

• editor
  Editor-in-Chief Computational Finance, Incisive Media

• editor
  Ass. Editor Computing and Visualization in Science (CVS), Springer;

• grant
  EU Marie Curie EU Marie Curie incoming fellowship, for prof. F.J. Gaspar, numerics for CO2 storage, financed by H2020, 150K Euro

• grant
  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