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- Oosterlee, C.W. (author), Wesseling, P. (author) report 1991
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- Oosterlee, C.W. (author), Wesseling, P. (author) report 1991
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- Oosterlee, C.W. (author), Wesseling, P. (author) report 1992
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- Segal, A. (author), Wesseling, P. (author), Vankan, J. (author), Oosterlee, C.W. (author), Kassels, K. (author) journal article 1992
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- Oosterlee, C.W. (author), Wesseling, P. (author) journal article 1992
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- Oosterlee, C.W. (author), Wesseling, P. (author) report 1992
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- Oosterlee, C.W. (author), Wesseling, P. (author) report 1992
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- Oosterlee, C.W. (author), Wesseling, P. (author) journal article 1993
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- Oosterlee, C.W. (author), Wesseling, P. (author) report 1993
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- Oosterlee, C.W. (author), Wesseling, P. (author) journal article 1993
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- Oosterlee, C.W. (author), Wesseling, P. (author), Segal, A. (author), Brakkee, E. (author) journal article 1993
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- Oosterlee, C.W. (author) doctoral thesis 1993
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- Oosterlee, C.W. (author), Wesseling, P. (author) journal article 1995
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- Erlangga, Y.A. (author), Vuik, C. (author), Oosterlee, C.W. (author) report 2003
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Erlangga, Y.A. (author), Oosterlee, C.W. (author), Vuik, C. (author)An iterative solution method, in the form of a preconditioner for a Krylov subspace method, is presented for the Helmholtz equation. The preconditioner is based on a Helmholtz type differential operator with a complex term. A multigrid iteration is used for approximately inverting the preconditioner. The choice of multigrid components for the...report 2004
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bin Zubair, H. (author), Oosterlee, C.E. (author), Wienands, R. (author)This work presents techniques, theory and numbers for multigrid in a general d-dimensional setting. The main focus is the multigrid convergence for high-dimensional partial differential equations (PDEs). As a model problem we have chosen the anisotropic diffusion equation, on a unit hypercube. We present some techniques for building the general...report 2006
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Huang, X. (author), Oosterlee, C.W. (author), van der Weide, J.A.M. (author)This paper utilizes the saddlepoint approximation as an efficient tool to estimate the portfolio credit loss distribution in the Vasicek model. Value at Risk (VaR), the risk measure chosen in the Basel II Accord for the evaluation of capital requirement, can then be found by inverting the loss distribution. VaR Contribution (VaRC), Expected...report 2006
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Leentvaar, C.C.W. (author), Oosterlee, C.W. (author)We evaluate two coordinate transformation techniques in combination with a coordinate stretching for pricing basket options in a sparse grid setting. The sparse grid technique is a basic technique for solving a high-dimensional partial differential equation. By creating a small hypercube sub-grid in the 'composite' sparse grid we can also...report 2006
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Riyanti, C.D. (author), Erlangga, Y.A. (author), Plessix, R.E. (author), Mulder, W.A. (author), Vuik, C. (author), Oosterlee, C. (author)The time-harmonic wave equation, also known as the Helmholtz equation, is obtained if the constant-density acoustic wave equation is transformed from the time domain to the frequency domain. Its discretization results in a large, sparse, linear system of equations. In two dimensions, this system can be solved efficiently by a direct method. In...journal article 2006
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Bin Zubair, H. (author), Oosterlee, C.W. (author)This paper discusses multigrid for high dimensional partial differential equations (PDEs). We present partial grid-coarsening strategies for excellent multigrid convergence in the context of elliptic PDEs. We show that the multigrid convergence rate can satisfactorily be brought down with the grid strategies proposed herein, coupled with...conference paper 2006