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Prof.dr.ir. C.W. Oosterlee

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Expertise Discretization techniques and iterative solution methods for partial differential equations, parallel computing, Fourier analysis, applications in computational fluid dynamics, computational finance, poroelasticity
Expertise (NL) Discretisatie technieken en iteratieve oplosmethoden voor partiele differentiaalvergelijkingen, parallel rekenen, Fourier analyse, toepassingen in de numerieke stromingsleer, in de financiele wiskunde en in poroelasticiteit.
Digital Author ID info:eu-repo/dai/nl/086817477
Addition Editor for SIAM's Journal for Scientific Computing

Active as

Professor
Organisation Delft Institute of Applied Mathematics (TUD)
Chair (EN) Hierarchical Numerical Methods
Chair (NL) Hiërarchische Numerieke Methoden
Phone +31-15-2788283
Email C. W. Oosterlee -at- tudelft. nl

Publications

Calibration and Monte Carlo Pricing of the SABR-Hull-White Model for Long-Maturity Equity Derivatives
A low-bias simulation scheme for the SABR stochastic volatility model
Efficient pricing of commodity options with early-exercise under the Ornstein-Uhlenbeck process
Actuariële wetenschappen en financiële wiskunde: op weg naar convergentie?
Saddlepoint approximations for expectations
All publications..

Current research

(the most recent research is at the top)
Project leader Three-dimensional Numerical Simulation of Bone Ingrowth for Glenoid Component Design of Shoulder Protheses

Completed research projects

(the most recent research is at the top)
Supervisor Credit Portfolio Losses
Project leader Multi-asset options in computational finance, combining early exercise and high dimensional partial differential equations
Researcher Computing methods for free boundary problems

Classification

D11300 Functions, differential equations
D11400 Fourier analysis, functional analysis
D11800 Numerical analysis
D12200 Theoretical physics, (quantum) mechanics

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