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Publications by Cornelis W. Oosterlee
Robust Pricing of European Options With Wavelets and the Characteristic Function
SIAM Journal of Scientific Computing
Computational Mathematics
Applied Mathematics
A Highly Efficient Shannon Wavelet Inverse Fourier Technique for Pricing European Options
SIAM Journal of Scientific Computing
Computational Mathematics
Applied Mathematics
A Parametric Acceleration of Multilevel Monte Carlo Convergence for Nonlinear Variably Saturated Flow
Computational Geosciences
Computational Theory
Computer Science Applications
Computers in Earth Sciences
Computational Mathematics
Mathematics
The Affine Heston Model With Correlated Gaussian Interest Rates for Pricing Hybrid Derivatives
Quantitative Finance
Economics
Econometrics
Finance
Quantifying Credit Portfolio Losses Under Multi-Factor Models
International Journal of Computer Mathematics
Computational Theory
Applied Mathematics
Computer Science Applications
Mathematics
Acceleration of Option Pricing Technique on Graphics Processing Units
Concurrency Computation Practice and Experience
Computer Networks
Communications
Computer Science Applications
Computational Theory
Mathematics
Theoretical Computer Science
Software
Pricing Early-Exercise and Discrete Barrier Options by Shannon Wavelet Expansions
SSRN Electronic Journal
Efficient VAR and Expected Shortfall Computations for Non-Linear Portfolios Within the Delta-Gamma Approach
SSRN Electronic Journal
Modern Monte Carlo Methods and GPU Computing
Mathematics in Industry
Robust Pricing of European Options With Wavelets and the Characteristic Function
SSRN Electronic Journal
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