Suárez-Taboada, María; Witteveen, Jeroen A. S.; Grzelak, Lech A.; Oosterlee, Cornelis W. Uncertainty quantification and Heston model. (English) Zbl 1418.91603 J. Math. Ind. 8, Paper No. 5, 12 p. (2018). MSC: 91G60 65N35 91B70 91G20 PDFBibTeX XMLCite \textit{M. Suárez-Taboada} et al., J. Math. Ind. 8, Paper No. 5, 12 p. (2018; Zbl 1418.91603) Full Text: DOI
Leitao, Álvaro; Grzelak, Lech A.; Oosterlee, Cornelis W. On a one time-step Monte Carlo simulation approach of the SABR model: application to European options. (English) Zbl 1411.91625 Appl. Math. Comput. 293, 461-479 (2017). MSC: 91G60 91G20 60H30 60H35 PDFBibTeX XMLCite \textit{Á. Leitao} et al., Appl. Math. Comput. 293, 461--479 (2017; Zbl 1411.91625) Full Text: DOI Link
Leitao, Álvaro; Grzelak, Lech A.; Oosterlee, Cornelis W. On an efficient multiple time step Monte Carlo simulation of the SABR model. (English) Zbl 1402.91894 Quant. Finance 17, No. 10, 1549-1565 (2017). MSC: 91G60 91G20 65C05 PDFBibTeX XMLCite \textit{Á. Leitao} et al., Quant. Finance 17, No. 10, 1549--1565 (2017; Zbl 1402.91894) Full Text: DOI
Cong, F.; Oosterlee, C. W. On robust multi-period pre-commitment and time-consistent mean-variance portfolio optimization. (English) Zbl 1415.91257 Int. J. Theor. Appl. Finance 20, No. 7, Article ID 1750049, 26 p. (2017). MSC: 91G10 93E20 91G60 PDFBibTeX XMLCite \textit{F. Cong} and \textit{C. W. Oosterlee}, Int. J. Theor. Appl. Finance 20, No. 7, Article ID 1750049, 26 p. (2017; Zbl 1415.91257) Full Text: DOI
Borovykh, A.; Pascucci, A.; Oosterlee, C. W. Pricing Bermudan options under local Lévy models with default. (English) Zbl 1377.91155 J. Math. Anal. Appl. 450, No. 2, 929-953 (2017). MSC: 91G20 60G51 60H30 91G60 65T50 PDFBibTeX XMLCite \textit{A. Borovykh} et al., J. Math. Anal. Appl. 450, No. 2, 929--953 (2017; Zbl 1377.91155) Full Text: DOI arXiv Link
Singor, Stefan N.; Grzelak, Lech A.; van Bragt, David D. B.; Oosterlee, Cornelis W. Pricing inflation products with stochastic volatility and stochastic interest rates. (English) Zbl 1284.91554 Insur. Math. Econ. 52, No. 2, 286-299 (2013). MSC: 91G20 91G30 91B70 PDFBibTeX XMLCite \textit{S. N. Singor} et al., Insur. Math. Econ. 52, No. 2, 286--299 (2013; Zbl 1284.91554) Full Text: DOI
Grzelak, Lech A.; Oosterlee, Cornelis W. On cross-currency models with stochastic volatility and correlated interest rates. (English) Zbl 1372.91075 Appl. Math. Finance 19, No. 1-2, 1-35 (2012). MSC: 91B70 91G30 PDFBibTeX XMLCite \textit{L. A. Grzelak} and \textit{C. W. Oosterlee}, Appl. Math. Finance 19, No. 1--2, 1--35 (2012; Zbl 1372.91075) Full Text: DOI
Chen, Bin; Oosterlee, Cornelis W.; van der Weide, Hans A low-bias simulation scheme for the SABR stochastic volatility model. (English) Zbl 1282.91374 Int. J. Theor. Appl. Finance 15, No. 2, Article ID 1250016, 37 p. (2012). MSC: 91G60 91B70 PDFBibTeX XMLCite \textit{B. Chen} et al., Int. J. Theor. Appl. Finance 15, No. 2, Article ID 1250016, 37 p. (2012; Zbl 1282.91374) Full Text: DOI
Grzelak, Lech A.; Oosterlee, Cornelis W.; Van Weeren, Sacha The affine Heston model with correlated Gaussian interest rates for pricing hybrid derivatives. (English) Zbl 1277.91171 Quant. Finance 11, No. 11, 1647-1663 (2011). MSC: 91G20 60H30 60E10 91G30 91G60 PDFBibTeX XMLCite \textit{L. A. Grzelak} et al., Quant. Finance 11, No. 11, 1647--1663 (2011; Zbl 1277.91171) Full Text: DOI
Chen, Bin; Oosterlee, Cornelis W.; van Weeren, Sacha Analytical approximation to constant maturity swap convexity corrections in a multi-factor SABR model. (English) Zbl 1203.91287 Int. J. Theor. Appl. Finance 13, No. 7, 1019-1046 (2010). MSC: 91G20 91G30 41A58 PDFBibTeX XMLCite \textit{B. Chen} et al., Int. J. Theor. Appl. Finance 13, No. 7, 1019--1046 (2010; Zbl 1203.91287) Full Text: DOI