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- Cornelis W. Oosterlee

Discipline name
H-index
Citations
Publications
World Ranking
National Ranking

Mathematics
D-index
41
Citations
7,237
202
World Ranking
961
National Ranking
5

Engineering and Technology
D-index
34
Citations
5,552
171
World Ranking
3711
National Ranking
72

- Mathematical analysis
- Statistics
- Algebra

Cornelis W. Oosterlee mostly deals with Mathematical analysis, Multigrid method, Mathematical optimization, Applied mathematics and Preconditioner. His work on Discretization, Generalized minimal residual method and Finite difference as part of general Mathematical analysis study is frequently linked to Backward differentiation formula, bridging the gap between disciplines. His Multigrid method research incorporates elements of Galerkin method, Convection–diffusion equation, Computational fluid dynamics and Scalar.

He has researched Mathematical optimization in several fields, including Valuation of options, Sine and cosine transforms, Series expansion, Grid and Upper and lower bounds. Within one scientific family, Cornelis W. Oosterlee focuses on topics pertaining to Fourier transform under Applied mathematics, and may sometimes address concerns connected to Heston model. His Preconditioner study incorporates themes from Helmholtz equation, Krylov subspace and Conjugate gradient method.

- A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions (421 citations)
- A Novel Multigrid Based Preconditioner For Heterogeneous Helmholtz Problems (258 citations)
- On a class of preconditioners for solving the Helmholtz equation (215 citations)

His main research concerns Applied mathematics, Mathematical optimization, Multigrid method, Monte Carlo method and Discretization. His biological study spans a wide range of topics, including Local volatility, Stochastic volatility, Partial differential equation, Heston model and Fourier transform. His Mathematical optimization research is multidisciplinary, relying on both Valuation of options, Binomial options pricing model, Sine and cosine transforms, Artificial neural network and Grid.

The study incorporates disciplines such as Fast Fourier transform, Asset and Characteristic function in addition to Valuation of options. His Multigrid method study is related to the wider topic of Mathematical analysis. His study in Discretization is interdisciplinary in nature, drawing from both Stochastic differential equation, Navier–Stokes equations, Incompressible flow, Numerical analysis and Finite volume method.

- Applied mathematics (47.64%)
- Mathematical optimization (40.05%)
- Multigrid method (25.13%)

- Applied mathematics (47.64%)
- Artificial neural network (8.90%)
- Mathematical optimization (40.05%)

Cornelis W. Oosterlee mainly focuses on Applied mathematics, Artificial neural network, Mathematical optimization, Stochastic volatility and Implied volatility. His Applied mathematics research incorporates themes from Partial differential equation, Heston model, Discretization, Space and Monte Carlo method. His Artificial neural network research is multidisciplinary, incorporating elements of Measure, Generalization and Computation.

His Computation research focuses on Unavailability and how it connects with Characteristic function and Fourier transform. The concepts of his Mathematical optimization study are interwoven with issues in Numerical analysis and Valuation of options. He combines subjects such as Computational finance, Financial modeling and Collocation with his study of Stochastic volatility.

- Pricing Options and Computing Implied Volatilities using Neural Networks (29 citations)
- A neural network-based framework for financial model calibration (21 citations)
- A neural network-based framework for financial model calibration (21 citations)

- Statistics
- Mathematical analysis
- Algebra

Cornelis W. Oosterlee spends much of his time researching Applied mathematics, Artificial neural network, Monte Carlo method, Mathematical optimization and Stochastic volatility. While working in this field, Cornelis W. Oosterlee studies both Applied mathematics and Richards equation. His research in Monte Carlo method intersects with topics in Parametric statistics, Grid, Estimator, Random field and Collocation.

His biological study deals with issues like Discretization, which deal with fields such as Stochastic differential equation. His Mathematical optimization study combines topics in areas such as Numerical analysis, Computation and Valuation of options. His work is dedicated to discovering how Stochastic volatility, Implied volatility are connected with Computational finance and B-spline and other disciplines.

This overview was generated by a machine learning system which analysed the scientist’s body of work. If you have any feedback, you can contact us here.

A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions

F. Fang;C. W. Oosterlee.

SIAM Journal on Scientific Computing **(2008)**

647 Citations

A Novel Multigrid Based Preconditioner For Heterogeneous Helmholtz Problems

Y. A. Erlangga;C. W. Oosterlee;C. Vuik.

SIAM Journal on Scientific Computing **(2005)**

379 Citations

On a class of preconditioners for solving the Helmholtz equation

Y. A. Erlangga;C. Vuik;C. W. Oosterlee.

Applied Numerical Mathematics **(2004)**

324 Citations

A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under Lévy Processes

R. Lord;F. Fang;F. Bervoets;C. W. Oosterlee.

SIAM Journal on Scientific Computing **(2008)**

277 Citations

Pricing early-exercise and discrete barrier options by fourier-cosine series expansions

F. Fang;C. W. Oosterlee.

Numerische Mathematik **(2009)**

267 Citations

On the Heston Model with Stochastic Interest Rates

Lech A. Grzelak;Cornelis W. Oosterlee.

Siam Journal on Financial Mathematics **(2011)**

232 Citations

Conditional time series forecasting with convolutional neural networks

Anastasia Borovykh;Sander Bohte;Cornelis W. Oosterlee.

arXiv: Machine Learning **(2017)**

214 Citations

Numerical valuation of options with jumps in the underlying

Ariel Almendral;Cornelis W. Oosterlee.

Applied Numerical Mathematics **(2005)**

198 Citations

Geometric multigrid with applications to computational fluid dynamics

P. Wesseling;C. W. Oosterlee.

Journal of Computational and Applied Mathematics **(2001)**

194 Citations

On multigrid for linear complementarity problems with application to American-style options.

C.W. Oosterlee.

ETNA. Electronic Transactions on Numerical Analysis [electronic only] **(2003)**

171 Citations

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