A Robust Multigrid Method for a Discretization of the Incompressible Navier-Stokes Equations in General Coordinates. - Cornelis W. Oosterlee; P. Wesseling (IMPACT Comput. Sci. Eng., 1993)

Multigrid Schemes for Time-Dependent Incompressible Navier-Stokes Equations. - Cornelis W. Oosterlee; P. Wesseling (IMPACT Comput. Sci. Eng., 1993)

Parallel Multigrid Reesults for Euler Equations and Grid Partitioning into a Large Number of Blocks. - Cornelis W. Oosterlee; Hubert Ritzdorf; Anton Schüller; Barbara Steckel (HPCN, 1994)

A Robust Parallel Solver for 3D Fluid Flow Problems Using a High-Level Communications Library. - Cornelis W. Oosterlee; Hubert Ritzdorf (PARCO, 1995)

Real Applications on the New Parallel System NEC Cenju-3. - Rolf Hempel; Robin Calkin; Reinhold Hess; Wolfgang Joppich; Cornelis W. Oosterlee; Hubert Ritzdorf; Peter Wypior; Wolfgang Ziegler; Nubohiko Koike; Takashi Washio; Udo Keller (Parallel Comput., 1996)

An Evaluation of Parallel Multigrid as a Solver and a Preconditioner for Singularly Perturbed Problems. - Cornelis W. Oosterlee; Takumi Washio (SIAM J. Sci. Comput., 1998)

Flexible Multiple Semicoarsening for Three-Dimensional Singularly Perturbed Problems. - Takashi Washio; Cornelis W. Oosterlee (SIAM J. Sci. Comput., 1998)

Error analysis for a potential problem on locally refined grids. - Takumi Washio; Cornelis W. Oosterlee (Numerische Mathematik, 2000)

Krylov Subspace Acceleration of Nonlinear Multigrid with Application to Recirculating Flows. - Cornelis W. Oosterlee; Takumi Washio (SIAM J. Sci. Comput., 2000)

Fourier Analysis of GMRES(m) Preconditioned by Multigrid. - Roman Wienands; Cornelis W. Oosterlee; Takumi Washio (SIAM J. Sci. Comput., 2000)

On Three-Grid Fourier Analysis for Multigrid. - Roman Wienands; Cornelis W. Oosterlee (SIAM J. Sci. Comput., 2001)

A Genetic Search for Optimal Multigrid Components Within a Fourier Analysis Setting. - Cornelis W. Oosterlee; Roman Wienands (SIAM J. Sci. Comput., 2003)

An Efficient Multigrid Solver based on Distributive Smoothing for Poroelasticity Equations. - Roman Wienands; Francisco José Gaspar; Francisco Javier Lisbona; Cornelis W. Oosterlee (Computing, 2004)

A systematic comparison of coupled and distributive smoothing in multigrid for the poroelasticity system. - Francisco José Gaspar; Francisco Javier Lisbona; Cornelis W. Oosterlee; Roman Wienands (Numer. Linear Algebra Appl., 2004)

Multigrid Methods for the Stokes System. - Cornelis W. Oosterlee; Francisco José Gaspar Lorenz (Comput. Sci. Eng., 2006)

A Novel Multigrid Based Preconditioner For Heterogeneous Helmholtz Problems. - Yogi A. Erlangga; Cornelis W. Oosterlee; Cornelis Vuik (SIAM J. Sci. Comput., 2006)

A Fast Method for Pricing Early-Exercise Options with the FFT. - R. Lord; Fang Fang 002; F. Bervoets; Cornelis W. Oosterlee (International Conference on Computational Science (2), 2007)

Greedy Tikhonov regularization for large linear ill-posed problems. - Hisham Bin Zubair; Coenraad Cornelis Willem Leentvaar; Cornelis W. Oosterlee (Int. J. Comput. Math., 2007)

Preface. - Kees Oosterlee; Barry Koren; Kees Vuik (J. Comput. Phys., 2007)

A parallel multigrid-based preconditioner for the 3D heterogeneous high-frequency Helmholtz equation. - C. D. Riyanti; A. Kononov; Yogi A. Erlangga; Cornelis Vuik; Cornelis W. Oosterlee; René-Edouard Plessix; Wim A. Mulder (J. Comput. Phys., 2007)

Accurate Evaluation of European and American Options Under the CGMY Process. - Ariel Almendral; Cornelis W. Oosterlee (SIAM J. Sci. Comput., 2007)

Multigrid for High-Dimensional Elliptic Partial Differential Equations on Non-equidistant Grids. - Hisham Bin Zubair; Cornelis W. Oosterlee; Roman Wienands (SIAM J. Sci. Comput., 2007)

Distributive smoothers in multigrid for problems with dominating grad-div operators. - Francisco José Gaspar; José Luis Gracia; Francisco Javier Lisbona; Cornelis W. Oosterlee (Numer. Linear Algebra Appl., 2008)

A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions. - Fang Fang 002; Cornelis W. Oosterlee (SIAM J. Sci. Comput., 2008)

A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under L[e-acute]vy Processes. - R. Lord; Fang Fang 002; F. Bervoets; Cornelis W. Oosterlee (SIAM J. Sci. Comput., 2008)

Algebraic Multigrid Solvers for Complex-Valued Matrices. - Scott P. MacLachlan; Cornelis W. Oosterlee (SIAM J. Sci. Comput., 2008)

Option pricing with COS method on graphics processing units. - Bowen Zhang 008; Cornelis W. Oosterlee (IPDPS, 2009)

Improving Banks' Credit Risk Management. - Xinzheng Huang; Cornelis W. Oosterlee (ERCIM News, 2009)

Fast Pricing of Hybrid Derivative Products. - Cornelis W. Oosterlee; Lech A. Grzelak (ERCIM News, 2009)

Adaptive integration for multi-factor portfolio credit loss models. - Xinzheng Huang; Cornelis W. Oosterlee (J. Comput. Appl. Math., 2009)

A multigrid-based shifted Laplacian preconditioner for a fourth-order Helmholtz discretization. - N. Umetani; Scott P. MacLachlan; Cornelis W. Oosterlee (Numer. Linear Algebra Appl., 2009)

Pricing early-exercise and discrete barrier options by fourier-cosine series expansions. - Fang Fang 002; Cornelis W. Oosterlee (Numerische Mathematik, 2009)

A geometric multigrid method based on L-shaped coarsening for PDEs on stretched grids. - Hisham Bin Zubair; Scott P. MacLachlan; Cornelis W. Oosterlee (Numer. Linear Algebra Appl., 2010)

Accuracy Measures and Fourier Analysis for the Full Multigrid Algorithm. - Carmen Rodrigo; Francisco José Gaspar; Cornelis W. Oosterlee; Irad Yavneh (SIAM J. Sci. Comput., 2010)

Special issue in computing and visualization in science (CVS), related to the European multigrid conference, EMG 2010. - Alfio Borzì; Cornelis W. Oosterlee (Comput. Vis. Sci., 2011)

GPU implementation of a Helmholtz Krylov solver preconditioned by a shifted Laplace multigrid method. - H. Knibbe; Cornelis W. Oosterlee; Cornelis Vuik (J. Comput. Appl. Math., 2011)

Local Fourier analysis for multigrid with overlapping smoothers applied to systems of PDEs. - Scott P. MacLachlan; Cornelis W. Oosterlee (Numer. Linear Algebra Appl., 2011)

A Fourier-Based Valuation Method for Bermudan and Barrier Options under Heston's Model. - Fang Fang 002; Cornelis W. Oosterlee (SIAM J. Financial Math., 2011)

On the Heston Model with Stochastic Interest Rates. - Lech A. Grzelak; Cornelis W. Oosterlee (SIAM J. Financial Math., 2011)

Saddlepoint Approximations for Expectations and an Application to CDO Pricing. - Xinzheng Huang; Cornelis W. Oosterlee (SIAM J. Financial Math., 2011)

Pricing high-dimensional Bermudan options using the stochastic grid method. - Shashi Jain; Cornelis W. Oosterlee (Int. J. Comput. Math., 2012)

Computational methods for PDEs in finance. - Jari Toivanen; Cornelis W. Oosterlee; Song-Ping Zhu (Int. J. Comput. Math., 2012)

An ENO-Based Method for Second-Order Equations and Application to the Control of Dike Levels. - S. P. van der Pijl; Cornelis W. Oosterlee (J. Sci. Comput., 2012)

Two-Dimensional Fourier Cosine Series Expansion Method for Pricing Financial Options. - Marjon J. Ruijter; Cornelis W. Oosterlee (SIAM J. Sci. Comput., 2012)

Fast solvers for simulation, inversion, and control of wave propagation problems. - Alfio Borzì; Cornelis W. Oosterlee (Numer. Linear Algebra Appl., 2013)

On the Fourier cosine series expansion method for stochastic control problems. - Marjon J. Ruijter; Cornelis W. Oosterlee; Rob F. T. Aalbers (Numer. Linear Algebra Appl., 2013)

Efficient Pricing of European-Style Asian Options under Exponential Lévy Processes Based on Fourier Cosine Expansions. - Bowen Zhang 008; Cornelis W. Oosterlee (SIAM J. Financial Math., 2013)

Robust Pricing of European Options with Wavelets and the Characteristic Function. - Luis Ortiz-Gracia; Cornelis W. Oosterlee (SIAM J. Sci. Comput., 2013)

Efficient VaR and Expected Shortfall computations for nonlinear portfolios within the delta-gamma approach. - Luis Ortiz-Gracia; Cornelis W. Oosterlee (Appl. Math. Comput., 2014)

Acceleration of option pricing technique on graphics processing units. - Bowen Zhang 008; Cornelis W. Oosterlee (Concurr. Comput. Pract. Exp., 2014)

Multigrid with FFT smoother for a simplified 2D frictional contact problem. - Jing Zhao; Edwin A. H. Vollebregt; Cornelis W. Oosterlee (Numer. Linear Algebra Appl., 2014)

A Simple and Efficient Segregated Smoother for the Discrete Stokes Equations. - Francisco José Gaspar; Yvan Notay; Cornelis W. Oosterlee; Carmen Rodrigo (SIAM J. Sci. Comput., 2014)

The Stochastic Grid Bundling Method: Efficient pricing of Bermudan options and their Greeks. - Shashi Jain; Cornelis W. Oosterlee (Appl. Math. Comput., 2015)

Multigrid method for nonlinear poroelasticity equations. - Peiyao Luo; Carmen Rodrigo; Francisco José Gaspar; Cornelis W. Oosterlee (Comput. Vis. Sci., 2015)

Pricing Bermudan options under Merton jump-diffusion asset dynamics. - Fei Cong; Cornelis W. Oosterlee (Int. J. Comput. Math., 2015)

Editorial. - Karel J. in 't Hout; Andrey Itkin; Cornelis W. Oosterlee; Jari Toivanen (Int. J. Comput. Math., 2015)

GPU acceleration of the stochastic grid bundling method for early-exercise options. - Álvaro Leitao; Cornelis W. Oosterlee (Int. J. Comput. Math., 2015)

BENCHOP - The BENCHmarking project in option pricing. - Lina von Sydow; Lars Josef Höök; Elisabeth Larsson; Erik Lindström; Slobodan Milovanovic; Jonas Persson; Victor Shcherbakov; Yuri Shpolyanskiy; Samuel Sirén; Jari Toivanen; Johan Waldén; Magnus Wiktorsson; et al. (Int. J. Comput. Math., 2015)

A fast nonlinear conjugate gradient based method for 3D concentrated frictional contact problems. - Jing Zhao; Edwin A. H. Vollebregt; Cornelis W. Oosterlee (J. Comput. Phys., 2015)

A Fourier Cosine Method for an Efficient Computation of Solutions to BSDEs. - Marjon J. Ruijter; Cornelis W. Oosterlee (SIAM J. Sci. Comput., 2015)

Efficient numerical Fourier methods for coupled forward-backward SDEs. - T. P. Huijskens; Maria J. Ruijter; Cornelis W. Oosterlee (J. Comput. Appl. Math., 2016)

A Highly Efficient Shannon Wavelet Inverse Fourier Technique for Pricing European Options. - Luis Ortiz-Gracia; Cornelis W. Oosterlee (SIAM J. Sci. Comput., 2016)

On a one time-step Monte Carlo simulation approach of the SABR model: Application to European options. - Álvaro Leitao; Lech A. Grzelak; Cornelis W. Oosterlee (Appl. Math. Comput., 2017)

On an Uzawa smoother in multigrid for poroelasticity equations. - Peiyao Luo; Carmen Rodrigo; Francisco José Gaspar; Cornelis W. Oosterlee (Numer. Linear Algebra Appl., 2017)

Pricing early-exercise and discrete barrier options by Shannon wavelet expansions. - S. C. Maree; Luis Ortiz-Gracia; Cornelis W. Oosterlee (Numerische Mathematik, 2017)

Uzawa Smoother in Multigrid for the Coupled Porous Medium and Stokes Flow System. - Peiyao Luo; Carmen Rodrigo; Francisco José Gaspar Lorenz; Cornelis W. Oosterlee (SIAM J. Sci. Comput., 2017)

On the data-driven COS method. - Álvaro Leitao; Cornelis W. Oosterlee; Luis Ortiz-Gracia; Sander M. Bohté (Appl. Math. Comput., 2018)

The COS method for option valuation under the SABR dynamics. - Z. van der Have; Cornelis W. Oosterlee (Int. J. Comput. Math., 2018)

A multigrid multilevel Monte Carlo method for transport in the Darcy-Stokes system. - Prashant Kumar 001; Peiyao Luo; Francisco José Gaspar; Cornelis W. Oosterlee (J. Comput. Phys., 2018)

Monolithic multigrid method for the coupled Stokes flow and deformable porous medium system. - Peiyao Luo; Carmen Rodrigo; Francisco José Gaspar; Cornelis W. Oosterlee (J. Comput. Phys., 2018)

Efficient Computation of Various Valuation Adjustments Under Local Lévy Models. - Anastasia Borovykh; Andrea Pascucci; Cornelis W. Oosterlee (SIAM J. Financial Math., 2018)

Pricing options and computing implied volatilities using neural networks. - Shuaiqiang Liu; Cornelis W. Oosterlee; Sander M. Bohté (CoRR, 2019)

Generalisation in fully-connected neural networks for time series forecasting. - Anastasia Borovykh; Cornelis W. Oosterlee; Sander M. Bohté (CoRR, 2019)

A neural network-based framework for financial model calibration. - Shuaiqiang Liu; Anastasia Borovykh; Lech A. Grzelak; Cornelis W. Oosterlee (CoRR, 2019)

Exploration of a Cosine Expansion Lattice Scheme. - Ki Wai Chau; Cornelis W. Oosterlee (CoRR, 2019)

Stochastic grid bundling method for backward stochastic differential equations. - Ki Wai Chau; Cornelis W. Oosterlee (Int. J. Comput. Math., 2019)

Quantifying credit portfolio losses under multi-factor models. - Gemma Colldeforns-Papiol; Luis Ortiz-Gracia; Cornelis W. Oosterlee (Int. J. Comput. Math., 2019)

Approximation of insurance liability contracts using radial basis functions. - Stefan N. Singor; Eric Schols; Cornelis W. Oosterlee (Int. J. Comput. Math., 2019)

BENCHOP - SLV: the BENCHmarking project in Option Pricing - Stochastic and Local Volatility problems. - Lina von Sydow; Slobodan Milovanovic; Elisabeth Larsson; Karel J. in 't Hout; Magnus Wiktorsson; Cornelis W. Oosterlee; Victor Shcherbakov; Maarten Wyns; Álvaro Leitao; Shashi Jain; Tinne Haentjens; Johan Waldén (Int. J. Comput. Math., 2019)

Generalization in fully-connected neural networks for time series forecasting. - Anastasia Borovykh; Cornelis W. Oosterlee; Sander M. Bohté (J. Comput. Sci., 2019)

Rolling Adjoints: Fast Greeks along Monte Carlo scenarios for early-exercise options. - Shashi Jain; Álvaro Leitao; Cornelis W. Oosterlee (J. Comput. Sci., 2019)

On Local Fourier Analysis of Multigrid Methods for PDEs with Jumping and Random Coefficients. - Prashant Kumar 001; Carmen Rodrigo; Francisco José Gaspar; Cornelis W. Oosterlee (SIAM J. Sci. Comput., 2019)

On Calibration Neural Networks for extracting implied information from American options. - Shuaiqiang Liu; Álvaro Leitao; Anastasia Borovykh; Cornelis W. Oosterlee (CoRR, 2020)

The Seven-League Scheme: Deep learning for large time step Monte Carlo simulations of stochastic differential equations. - Shuaiqiang Liu; Lech A. Grzelak; Cornelis W. Oosterlee (CoRR, 2020)

On high-order schemes for tempered fractional partial differential equations. - Linlin Bu; Cornelis W. Oosterlee (CoRR, 2020)

Dronesurance: Using AI Models to Predict Drone Damage for Insurance Policies. - Andrea Fontanari; Kees Oosterlee (ERCIM News, 2020)

A deep learning approach for computations of exposure profiles for high-dimensional Bermudan options. - Kristoffer Andersson 003; Cornelis W. Oosterlee (Appl. Math. Comput., 2021)

Deep learning for CVA computations of large portfolios of financial derivatives. - Kristoffer Andersson 003; Cornelis W. Oosterlee (Appl. Math. Comput., 2021)

Valuation of electricity storage contracts using the COS method. - Boris C. Boonstra; Cornelis W. Oosterlee (Appl. Math. Comput., 2021)

Total value adjustment for a stochastic volatility model. A comparison with the Black-Scholes model. - Beatriz Salvador; Cornelis W. Oosterlee (Appl. Math. Comput., 2021)

Corrigendum to "Total value adjustment for a stochastic volatility model. A comparison with the Black-Scholes model". - Beatriz Salvador; Cornelis W. Oosterlee (Appl. Math. Comput., 2021)

A computational approach to hedging Credit Valuation Adjustment in a jump-diffusion setting. - Thomas van der Zwaard; Lech A. Grzelak; Cornelis W. Oosterlee (Appl. Math. Comput., 2021)

Monte Carlo Simulation of SDEs using GANs. - Jorino van Rhijn; Cornelis W. Oosterlee; Lech A. Grzelak; Shuaiqiang Liu (CoRR, 2021)

Energy-conserving formulation of the two-fluid model for incompressible two-phase flow in channels and pipes. - J. F. H. Buist; Benjamin Sanderse; S. Dubinkina; R. A. W. M. Henkes; Cornelis W. Oosterlee (CoRR, 2021)

The One Step Malliavin scheme: new discretization of BSDEs implemented with deep learning regressions. - Balint Negyesi; Kristoffer Andersson 003; Cornelis W. Oosterlee (CoRR, 2021)

Reduced order modeling for parameterized time-dependent PDEs using spatially and memory aware deep learning. - Nikolaj Takata Mücke; Sander M. Bohté; Cornelis W. Oosterlee (J. Comput. Sci., 2021)

Solution of integrals with fractional Brownian motion for different Hurst indices. - Fei Gao; Shuaiqiang Liu; Cornelis W. Oosterlee; Nico M. Temme (CoRR, 2022)

Optimally weighted loss functions for solving PDEs with Neural Networks. - Remco van der Meer; Cornelis W. Oosterlee; Anastasia Borovykh (J. Comput. Appl. Math., 2022)

GPU acceleration of the Seven-League Scheme for large time step simulations of stochastic differential equations. - Shuaiqiang Liu; Graziana Colonna; Lech A. Grzelak; Cornelis W. Oosterlee (CoRR, 2023)

Energy-stable discretization of the one-dimensional two-fluid model. - J. F. H. Buist; Benjamin Sanderse; S. Dubinkina; Cornelis W. Oosterlee; R. A. W. M. Henkes (CoRR, 2023)

Convergence of a Robust Deep FBSDE Method for Stochastic Control. - Kristoffer Andersson 003; Adam Andersson; Cornelis W. Oosterlee (SIAM J. Sci. Comput., 2023)

Evaluation of integrals with fractional Brownian motion for different Hurst indices. - Fei Gao; Shuaiqiang Liu; Cornelis W. Oosterlee; Nico M. Temme (Int. J. Comput. Math., 2023)

A Probabilistic Digital Twin for Leak Localization in Water Distribution Networks Using Generative Deep Learning. - Nikolaj Takata Mücke; Prerna Pandey; Shashi Jain; Sander M. Bohté; Cornelis W. Oosterlee (Sensors, 2023)

AIDA: Analytic isolation and distance-based anomaly detection algorithm. - Luis Antonio Souto Arias; Cornelis W. Oosterlee; Pasquale Cirillo (Pattern Recognit., 2023)

Markov chain generative adversarial neural networks for solving Bayesian inverse problems in physics applications. - Nikolaj Takata Mücke; Benjamin Sanderse; Sander M. Bohté; Cornelis W. Oosterlee (Comput. Math. Appl., 2023)

A parallel preconditioner for the all-at-once linear system from evolutionary PDEs with Crank-Nicolson discretization. - Yong-Liang Zhao; Xian-Ming Gu; Cornelis W. Oosterlee (CoRR, 2024)

Generalized convergence of the deep BSDE method: a step towards fully-coupled FBSDEs and applications in stochastic control. - Balint Negyesi; Zhipeng Huang 020; Cornelis W. Oosterlee (CoRR, 2024)

Parallel-in-Time Iterative Methods for Pricing American Options. - Xian-Ming Gu; Jun Liu; Cornelis W. Oosterlee (CoRR, 2024)

The Deep Latent Space Particle Filter for Real-Time Data Assimilation with Uncertainty Quantification. - Nikolaj Takata Mücke; Sander M. Bohté; Cornelis W. Oosterlee (CoRR, 2024)

Editorial. - Matthias Ehrhardt 001; Maria do Rosário Grossinho; Choi-Hong Lai; Kees Oosterlee; Daniel Sevcovic; Carlos Vázquez 002 (Int. J. Comput. Math., 2024)

A deep learning-based Monte Carlo simulation scheme for stochastic differential equations driven by fractional Brownian motion. - Fei Gao; Cornelis W. Oosterlee; Jiangshe Zhang 001 (Neurocomputing, 2024)

The Heston-Queue-Hawkes process: A new self-exciting jump-diffusion model for options pricing, and an extension of the COS method for discrete distributions. - Luis Antonio Souto Arias; Pasquale Cirillo; Cornelis W. Oosterlee (J. Comput. Appl. Math., 2025)

Convergence of the deep BSDE method for stochastic control problems formulated through the stochastic maximum principle. - Zhipeng Huang 020; Balint Negyesi; Cornelis W. Oosterlee (Math. Comput. Simul., 2025)

A numerical Fourier cosine expansion method with higher order Taylor schemes for fully coupled FBSDEs. - Balint Negyesi; Cornelis W. Oosterlee (CoRR, 2025)

The deep multi-FBSDE method: a robust deep learning method for coupled FBSDEs. - Kristoffer Andersson 003; Adam Andersson; Cornelis W. Oosterlee (CoRR, 2025)

Convergence of the Markovian iteration for coupled FBSDEs via a differentiation approach. - Zhipeng Huang 020; Cornelis W. Oosterlee (CoRR, 2025)