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
Publications
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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
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Le Floc’h, F.L, & Oosterlee, C.W. (2019). Model-free stochastic collocation for an arbitrage-free implied volatility, part II. Risks, 7(1). doi:10.3390/risks7010030
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Liu, S, Oosterlee, C.W, & Bohte, S.M. (2019). Pricing options and computing implied volatilities using neural networks. Risks, 7(1). doi:10.3390/risks7010016
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Suárez-Taboada, M, Witteveen, J.A.S, Grzelak, L.A, & Oosterlee, C.W. (2018). Uncertainty quantification and Heston model. Journal of Mathematics in Industry, 8(1). doi:10.1186/s13362-018-0047-2
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von Sydow, L, Milovanović, S, Larsson, E, In't Hout, K, Wiktorsson, M, Oosterlee, C.W, … Waldén, J. (2018). BENCHOP–SLV: the BENCHmarking project in Option Pricing–Stochastic and Local Volatility problems. International Journal of Computer Mathematics. doi:10.1080/00207160.2018.1544368
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Borovykh, A.I, Bohte, S.M, & Oosterlee, C.W. (2018). Dilated convolutional neural networks for time series forecasting. Journal of Computational Finance. doi:10.21314/JCF.2019.358
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Kumar, P, Luo, P, Gaspar, F.J, & Oosterlee, C.W. (2018). A multigrid multilevel Monte Carlo method for transport in the Darcy–Stokes system. Journal of Computational Physics, 371, 382–408. doi:10.1016/j.jcp.2018.05.046
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Grzelak, L.A, Witteveen, J.A.S, Suárez-Taboada, M, & Oosterlee, C.W. (2018). The stochastic collocation Monte Carlo sampler: highly efficient sampling from ‘expensive’ distributions. Quantitative Finance. doi:10.1080/14697688.2018.1459807
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Sanderse, B, Misra, S, Dubinkina, S, Henkes, R.A.W.M, & Oosterlee, C.W. (2018). Numerical simulation of roll waves in pipelines using the two-fluid model. In 11th North American Conference on Multiphase Technology (pp. 373–386).
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Chau, K.W, & Oosterlee, C.W. (2018). On the wavelet-based SWIFT method for backward stochastic differential equations. IMA Journal of Numerical Analysis, 38(2), 1051–1083. doi:10.1093/imanum/drx022
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)