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Cornelis W. Oosterlee

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Personal Details

First Name: Cornelis
Middle Name: W.
Last Name: Oosterlee
Suffix:

RePEc Short-ID: poo16

Email: [This author has chosen not to make the email address public]
Homepage: http://ta.twi.tudelft.nl/users/oosterlee/
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Affiliation

CWI - Centrum voor Wiskunde en Informatica (CWI - Center for Mathematics and Computer Science)
Homepage: http://www.cwi.nl
Location: the Netherlands, Amsterdam

Works

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Working papers

  1. Grzelak, Lech & Oosterlee, Kees, 2010. "On cross-currency models with stochastic volatility and correlated interest rates," MPRA Paper 23020, University Library of Munich, Germany.
  2. Grzelak, Lech & Oosterlee, Kees, 2010. "An Equity-Interest Rate Hybrid Model With Stochastic Volatility and the Interest Rate Smile," MPRA Paper 20574, University Library of Munich, Germany.
  3. Grzelak, Lech & Oosterlee, Kees, 2009. "On The Heston Model with Stochastic Interest Rates," MPRA Paper 20620, University Library of Munich, Germany, revised 18 Jan 2010.
  4. Fang, Fang & Oosterlee, Kees, 2008. "Pricing Early-Exercise and Discrete Barrier Options by Fourier-Cosine Series Expansions," MPRA Paper 9248, University Library of Munich, Germany.
  5. Fang, Fang & Oosterlee, Kees, 2008. "A Novel Pricing Method For European Options Based On Fourier-Cosine Series Expansions," MPRA Paper 7700, University Library of Munich, Germany.
  6. Lord, Roger & Fang, Fang & Bervoets, Frank & Oosterlee, Kees, 2007. "A fast and accurate FFT-based method for pricing early-exercise options under Lévy processes," MPRA Paper 1952, University Library of Munich, Germany.

Articles

  1. Bin Chen & Cornelis W. Oosterlee & Sacha Van Weeren, 2010. "Analytical Approximation To Constant Maturity Swap Convexity Corrections In A Multi-Factor Sabr Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 13(07), pages 1019-1046.
  2. Ariel Almendral & Cornelis W. Oosterlee, 2007. "On American Options Under the Variance Gamma Process," Applied Mathematical Finance, Taylor & Francis Journals, vol. 14(2), pages 131-152.

NEP Fields

7 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CMP: Computational Economics (1) 2007-03-03
  2. NEP-FMK: Financial Markets (1) 2010-02-20
  3. NEP-IFN: International Finance (1) 2010-06-11
  4. NEP-KNM: Knowledge Management & Knowledge Economy (1) 2007-03-03
  5. NEP-ORE: Operations Research (2) 2008-03-15 2008-07-05. Author is listed

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