375 citations · 608 across the 47 of their papers we have counts for
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Modeling and Replication of the Prepayment Option of Mortgages including Behavioral Uncertainty
Leonardo Perotti, Lech A. Grzelak, Cornelis W. Oosterlee
Prepayment risk embedded in fixed-rate mortgages forms a significant fraction of a financial institution's exposure, and it receives particular attention because of the magnitude o…
The Deep Latent Space Particle Filter for Real-Time Data Assimilation with Uncertainty Quantification
Nikolaj T. Mücke, Sander M. Bohté, Cornelis W. Oosterlee
In Data Assimilation, observations are fused with simulations to obtain an accurate estimate of the state and parameters for a given physical system. Combining data with a model, h…
Parallel-in-Time Iterative Methods for Pricing American Options
Xian-Ming Gu, Jun Liu, Cornelis W. Oosterlee
For pricing American options, %after suitable discretization in space and time, a sequence of discrete linear complementarity problems (LCPs) or equivalently Hamilton-Jacobi-Bellma…
Generalized convergence of the deep BSDE method: a step towards fully-coupled FBSDEs and applications in stochastic control
Balint Negyesi, Zhipeng Huang, Cornelis W. Oosterlee
We are concerned with high-dimensional coupled FBSDE systems approximated by the deep BSDE method of Han et al. (2018). It was shown by Han and Long (2020) that the errors induced…
Convergence of the deep BSDE method for stochastic control problems formulated through the stochastic maximum principle
Zhipeng Huang, Balint Negyesi, Cornelis W. Oosterlee
It is well-known that decision-making problems from stochastic control can be formulated by means of a forward-backward stochastic differential equation (FBSDE). Recently, the auth…
A Generalized Block Circulant Preconditioner for Crank-Nicolson All-at-Once Systems with Applications to Option Pricing PDEs
Yong-Liang Zhao, Yao Li, Xian-Ming Gu +1
The Crank--Nicolson (CN) method is a widely used time integration scheme for evolutionary partial differential equations (PDEs) arising in various scientific and engineering discip…