Kees Oosterlee

Full Name: Prof.dr.ir. C.W. Oosterlee
Function(s): Professor - TU Delft, MT member

Email: C.W.Oosterlee@cwi.nl
Telephone: +31 20 592 4108
Room: M130
Department(s): Scientific Computing

Publications

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
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
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
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
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
Colldeforns-Papiol, G, Ortiz Gracia, L, & Oosterlee, C.W. (2018). Quantifying credit portfolio losses under multi-factor models. International Journal of Computer Mathematics. doi:10.1080/00207160.2018.1447666
Maree, S.C, Ortiz Gracia, L, & Oosterlee, C.W. (2018). Fourier and wavelet option pricing methods. In M.A.H Dempster, J Kanniainen, J Keane, & E Vynckier (Eds.), High-Performance Computing in Finance: Problems, Methods, and Solutions (pp. 249–272). doi:10.1201/9781315372006
Borovykh, A, Pascucci, A, & Oosterlee, C.W. (2018). Efficient computation of various valuation adjustments under local Lévy models. SIAM Journal on Financial Mathematics, 9(1), 251–273. doi:10.1137/16M1099005
Leitao Rodriguez, A, Oosterlee, C.W, Ortiz Gracia, L, & Bohte, S.M. (2018). On the data-driven COS method. Applied Mathematics and Computation, 317, 68–84. doi:10.1016/j.amc.2017.09.002
Luo, P, Rodrigo, C, Gaspar, F.J, & Oosterlee, C.W. (2018). Monolithic multigrid method for the coupled Stokes flow and deformable porous medium system. Journal of Computational Physics, 353, 148–168. doi:10.1016/j.jcp.2017.09.062

Current projects with external funding

Uncertainty Quantication in Hydraulic Fracturing using Multi-Level Monte Carlo and Multigrid
Efficient numerical methods for deformable porous media. Application to carbon dioxide storage (PORO SOS)
Applied mathematics for risk measures in finance and insurance, in the wake of the crisis (WAKEUPCALL)

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)