375 citations · 608 across the 47 of their papers we have counts for
6 papers · 1 filter
AIDA: Analytic Isolation and Distance-based Anomaly Detection Algorithm
Luis Antonio Souto Arias, Cornelis W. Oosterlee, Pasquale Cirillo
We combine the metrics of distance and isolation to develop the Analytic Isolation and Distance-based Anomaly (AIDA) detection algorithm. AIDA is the first distance-based method th…
Efficient Wrong-Way Risk Modelling for Funding Valuation Adjustments
T. van der Zwaard, L. A. Grzelak, C. W. Oosterlee
Wrong-Way Risk (WWR) is an important component in Funding Valuation Adjustment (FVA) modelling. Yet, the standard assumption is independence between market risks and the counterpar…
A new self-exciting jump-diffusion process for option pricing
Luis A. Souto Arias, Pasquale Cirillo, Cornelis W. Oosterlee
We propose a new jump-diffusion process, the Heston-Queue-Hawkes (HQH) model, combining the well-known Heston model and the recently introduced Queue-Hawkes (Q-Hawkes) jump process…
Relevance of Wrong-Way Risk in Funding Valuation Adjustments
T. van der Zwaard, L. A. Grzelak, C. W. Oosterlee
In March 2020, the world was thrown into financial distress. This manifested itself in increased uncertainty in the financial markets. Many interest rates collapsed, and funding sp…
Solution of integrals with fractional Brownian motion for different Hurst indices
Fei Gao, Shuaiqiang Liu, Cornelis W. Oosterlee +1
In this paper, we will evaluate integrals that define the conditional expectation, variance and characteristic function of stochastic processes with respect to fractional Brownian…
Convergence of a robust deep FBSDE method for stochastic control
Kristoffer Andersson, Adam Andersson, Cornelis W. Oosterlee
In this paper, we propose a deep learning based numerical scheme for strongly coupled FBSDEs, stemming from stochastic control. It is a modification of the deep BSDE method in whic…