Searched for: author%3A%22Oosterlee%2C+C.W.%22
(1 - 20 of 87)

Pages

document
Salvador, Beatriz (author), Oosterlee, C.W. (author), van der Meer, R. (author)
Artificial neural networks (ANNs) have recently also been applied to solve partial differential equations (PDEs). The classical problem of pricing European and American financial options, based on the corresponding PDE formulations, is studied here. Instead of using numerical techniques based on finite element or difference methods, we...
journal article 2021
document
Andersson, K.H. (author), Oosterlee, C.W. (author)
In this paper, we propose a neural network-based method for CVA computations of a portfolio of derivatives. In particular, we focus on portfolios consisting of a combination of derivatives, with and without true optionality, e.g., a portfolio of a mix of European- and Bermudan-type derivatives. CVA is computed, with and without netting, for...
journal article 2021
document
Chau, K.W. (author), Tang, Jok (author), Oosterlee, C.W. (author)
In this work, we developed a Python demonstrator for pricing total valuation adjustment (XVA) based on the stochastic grid bundling method (SGBM). XVA is an advanced risk management concept which became relevant after the recent financial crisis. This work is a follow-up work on Chau and Oosterlee in (Int J Comput Math 96(11):2272–2301, 2019)...
journal article 2020
document
Fontanari, A. (author), Cirillo, Pasquale (author), Oosterlee, C.W. (author)
A novel generating mechanism for non-strict bivariate Archimedean copulas via the Lorenz curve of a non-negative random variable is proposed. Lorenz curves have been extensively studied in economics and statistics to characterize wealth inequality and tail risk. In this paper, these curves are seen as integral transforms generating increasing...
journal article 2020
document
van der Stoep, A.W. (author), Grzelak, L.A. (author), Oosterlee, C.W. (author)
We discuss a competitive alternative to stochastic local volatility models, namely the Collocating Volatility (CV) framework, introduced in [L. A. Grzelak (2019) The CLV framework-A fresh look at efficient pricing with smile, International Journal of Computer Mathematics 96 (11), 2209-2228]. The CV framework consists of two elements, a ...
journal article 2020
document
Kumar, P. (author), Rodrigo, Carmen (author), Gaspar, Francisco J. (author), Oosterlee, C.W. (author)
We present a multilevel Monte Carlo (MLMC) method for the uncertainty quantification of variably saturated porous media flow that is modeled using the Richards equation. We propose a stochastic extension for the empirical models that are typically employed to close the Richards equations. This is achieved by treating the soil parameters in...
journal article 2019
document
Le Floch, F.L.Y. (author), Oosterlee, C.W. (author)
This paper explains how to calibrate a stochastic collocation polynomial against market option prices directly. The method is first applied to the interpolation of short-maturity equity option prices in a fully arbitrage-free manner and then to the joint calibration of the constant maturity swap convexity adjustments with the interest rate...
journal article 2019
document
Liu, S. (author), Borovykh, Anastasia (author), Grzelak, L.A. (author), Oosterlee, C.W. (author)
A data-driven approach called CaNN (Calibration Neural Network) is proposed to calibrate financial asset price models using an Artificial Neural Network (ANN). Determining optimal values of the model parameters is formulated as training hidden neurons within a machine learning framework, based on available financial option prices. The...
journal article 2019
document
Liu, S. (author), Oosterlee, C.W. (author), Bohte, Sander M. (author)
This paper proposes a data-driven approach, by means of an Artificial Neural Network (ANN), to value financial options and to calculate implied volatilities with the aim of accelerating the corresponding numerical methods. With ANNs being universal function approximators, this method trains an optimized ANN on a data set generated by a...
journal article 2019
document
Le Floch, F.L.Y. (author), Oosterlee, C.W. (author)
This paper explores the stochastic collocation technique, applied on a monotonic spline, as an arbitrage-free and model-free interpolation of implied volatilities. We explore various spline formulations, including B-spline representations. We explain how to calibrate the different representations against market option prices, detail how to...
journal article 2019
document
Kumar, P. (author), Luo, P. (author), Gaspar, Francisco J. (author), Oosterlee, C.W. (author)
A multilevel Monte Carlo (MLMC) method for Uncertainty Quantification (UQ) of advection-dominated contaminant transport in a coupled Darcy–Stokes flow system is described. In particular, we focus on high-dimensional epistemic uncertainty due to an unknown permeability field in the Darcy domain that is modelled as a lognormal random field....
journal article 2018
document
van der Have, Z. (author), Oosterlee, C.W. (author)
In this paper, we consider the COS method for pricing European and Bermudan options under the stochastic alpha beta rho (SABR) model. In the COS pricing method, we make use of the characteristic function of the discrete forward process. We observe second-order convergence by using a second-order Taylor scheme in the discretization, or by...
journal article 2018
document
Suárez-Taboada, María (author), Witteveen, Jeroen A.S. (author), Grzelak, L.A. (author), Oosterlee, C.W. (author)
In this paper, we study the impact of the parameters involved in Heston model by means of Uncertainty Quantification. The Stochastic Collocation Method already used for example in computational fluid dynamics, has been applied throughout this work in order to compute the propagation of the uncertainty from the parameters of the model to the...
journal article 2018
document
Feng, Q. (author), Oosterlee, C.W. (author)
We study the impact of wrong way risk (WWR) on credit valuation adjustment (CVA) for Bermudan options. WWR is modeled by a dependency between the underlying asset and the intensity of the counterparty's default. Two WWR models are proposed, based on a deterministic function and a CIR-jump (CIRJ) model, respectively. We present a nonnested...
journal article 2018
document
Grzelak, L.A. (author), Witteveen, J.A.S. (author), Oosterlee, C.W. (author), Suárez-Taboada, M. (author)
In this article, we propose an efficient approach for inverting computationally expensive cumulative distribution functions. A collocation method, called the Stochastic Collocation Monte Carlo sampler (SCMC sampler), within a polynomial chaos expansion framework, allows us the generation of any number of Monte Carlo samples based on only a...
journal article 2018
document
Chau, K.W. (author), Oosterlee, C.W. (author)
We propose a numerical algorithm for backward stochastic differential equations based on time discretization and trigonometric wavelets. This method combines the effectiveness of Fourier-based methods and the simplicity of a wavelet-based formula, resulting in an algorithm that is both accurate and easy to implement. Furthermore, we mitigate...
journal article 2018
document
von Sydow, Lina (author), Milovanović, Slobodan (author), Larsson, Elisabeth (author), In 't Hout, Karel (author), Wiktorsson, Magnus (author), Oosterlee, C.W. (author), Shcherbakov, Victor (author), Wyns, Maarten (author), Leitao Rodriguez, A. (author), Jain, S. (author), Haentjens, Tinne (author), Waldén, Johan (author)
In the recent project BENCHOP–the BENCHmarking project in Option Pricing we found that Stochastic and Local Volatility problems were particularly challenging. Here we continue the effort by introducing a set of benchmark problems for this type of problems. Eight different methods targeted for the Stochastic Differential Equation (SDE)...
journal article 2018
document
van der Stoep, A.W. (author), Grzelak, L.A. (author), Oosterlee, C.W. (author)
We present in a Monte Carlo simulation framework, a novel approach for the evaluation of hybrid local volatility [Risk, 1994, 7, 18–20], [Int. J. Theor. Appl. Finance, 1998, 1, 61–110] models. In particular, we consider the stochastic local volatility model—see e.g. Lipton et al. [Quant. Finance, 2014, 14, 1899–1922], Piterbarg [Risk, 2007,...
journal article 2017
document
Leitao Rodriguez, A. (author), Grzelak, L.A. (author), Oosterlee, C.W. (author)
In this paper, we will present a multiple time step Monte Carlo simulation technique for pricing options under the Stochastic Alpha Beta Rho model. The proposed method is an extension of the one time step Monte Carlo method that we proposed in an accompanying paper Leitao et al. [Appl. Math. Comput. 2017, 293, 461–479], for pricing European...
journal article 2017
document
Cong, F. (author), Oosterlee, C.W. (author)
This paper enhances a well-known dynamic portfolio management algorithm, the BGSS algorithm, proposed by Brandt et al. (Review of Financial Studies, 18(3):831–873, 2005). We equip this algorithm with the components from a recently developed method, the Stochastic Grid Bundling Method (SGBM), for calculating conditional expectations. When solving...
journal article 2016
Searched for: author%3A%22Oosterlee%2C+C.W.%22
(1 - 20 of 87)

Pages