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Oosterlee, Cornelis Willebrordus

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Author ID: oosterlee.cornelis-w Recent zbMATH articles by "Oosterlee, Cornelis Willebrordus"
Published as: Oosterlee, C. W.; Oosterlee, Cornelis W.; Oosterlee, Kees
Homepage: http://ta.twi.tudelft.nl/mf/users/oosterle/index.html
External Links: MGP · dblp · GND
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Co-Authors

3 single-authored
21 Gaspar, Francisco José
20 Grzelak, Lech A.
10 Vuik, Cornelis
10 Wienands, Roman
9 Rodrigo, Carmen
9 Washio, Takumi
8 Leitao, Álvaro
7 Ortiz-Gracia, Luis
7 Ruijter, Maria J.
6 Borovykh, Anastasia
5 Erlangga, Yogi A.
5 Fang, Fang
5 Leentvaar, C. C. W.
5 Lisbona Cortés, Francisco Javier
5 Luo, Peiyao
4 Chau, Ki Wai
4 Jain, Shashi
4 MacLachlan, Scott P.
4 van der Stoep, Anthonie W.
4 Vollebregt, Edwin A. H.
4 Zhang, Bowen
4 Zubair, H. Bin
3 Almendral, Ariel
3 Feng, Qian
3 Huang, Xinzheng
3 Knibbe, H.
3 Kumar, Prashant
3 Pascucci, Andrea
3 Ritzdorf, Hubert
3 Schüller, Anton
3 Singor, Stefan N.
3 Van Weeren, Sacha
2 Andersson, Kristoffer
2 Cirillo, Pasquale
2 Colldeforns-Papiol, Gemma
2 Fontanari, Andrea
2 Frisch, J. C.
2 Larsson, Elisabeth
2 Lin, HaiXiang
2 Liu, Shuaiqiang
2 Milovanović, Slobodan
2 Mulder, Wim A.
2 Plessix, René-Edouard
2 Salvador, Beatriz
2 Shcherbakov, Victor
2 Steckel, Barbara
2 Suárez-Taboada, María
2 Toivanen, Jari
2 Vabishchevich, Pëtr Nikolaevich
2 van Kan, J. J. I. M.
2 von Sydow, Lina
2 Waldén, Johan
2 Wiktorsson, Magnus
2 Witteveen, Jeroen A. S.
1 Aalbers, R. F. T.
1 Abramyan, Andrei
1 Alberts, J. S. C.
1 Bervoets, F.
1 Bohte, Sander M.
1 Boonstra, Boris C.
1 Brandt, Ulrike
1 Bu, Linlin
1 Buist, J. F. H.
1 Calkin, R.
1 Casamassima, Emanuele
1 de Graaf, Cornelis S. L.
1 den Haan, T. R. B.
1 Gracia, José Luis
1 Guo, Shimin
1 Haentjens, Tinne
1 Henkes, Ruud A. W. M.
1 Hijmissen, Jelle
1 Höök, Lars Josef
1 Huijskens, T. P.
1 in ’t Hout, Karel J.
1 Joppich, Wolfgang
1 Kandhai, Drona
1 Karlsson, Patrik
1 Kassels, C. G. M.
1 Kassels, Kees
1 Kraaikamp, Cor
1 Le Floc’h, Fabien
1 Lemmens, Kees
1 Levesley, Jeremy
1 Li, Juxi
1 Lindström, Erik
1 Maree, S. C.
1 Mulder, Frank A.
1 Notay, Yvan
1 Oswald, Peter
1 Persson, Jonas
1 Pinto, Marcio Augusto Villela
1 Rijnks, Heueltje
1 Riyanti, C. D.
1 Rood, Ron
1 Sanderse, Benjamin
1 Schols, Eric
1 Shpolyanskiy, Yuri
1 Sirén, Samuel
1 Sonneveld, Peter
...and 18 more Co-Authors

Publications by Year

Citations contained in zbMATH Open

124 Publications have been cited 2,126 times in 1,245 Documents Cited by Year
A novel pricing method for European options based on Fourier-cosine series expansions. Zbl 1186.91214
Fang, F.; Oosterlee, C. W.
179
2008
A novel multigrid based preconditioner for heterogeneous Helmholtz problems. Zbl 1095.65109
Erlangga, Y. A.; Oosterlee, C. W.; Vuik, C.
122
2006
On a class of preconditioners for solving the Helmholtz equation. Zbl 1051.65101
Erlangga, Y. A.; Vuik, C.; Oosterlee, C. W.
103
2004
Pricing early-exercise and discrete barrier options by Fourier-cosine series expansions. Zbl 1185.91176
Fang, F.; Oosterlee, C. W.
96
2009
Geometric multigrid with applications to computational fluid dynamics. Zbl 0989.76069
Wesseling, P.; Oosterlee, C. W.
93
2001
Multigrid. With guest contributions by A. Brandt, P. Oswald, K. Stüben. Zbl 0976.65106
Trottenberg, Ulrich; Oosterlee, Cornelis W.; Schüller, Anton
92
2001
On the Heston model with stochastic interest rates. Zbl 1229.91338
Grzelak, Lech A.; Oosterlee, Cornelis W.
79
2011
A fast and accurate FFT-based method for pricing early-exercise options under Lévy processes. Zbl 1170.91389
Lord, R.; Fang, F.; Bervoets, F.; Oosterlee, C. W.
67
2008
Numerical valuation of options with jumps in the underlying. Zbl 1117.91028
Almendral, Ariel; Oosterlee, Cornelis W.
65
2005
A Fourier-based valuation method for Bermudan and barrier options under Heston’s model. Zbl 1236.65163
Fang, Fang; Oosterlee, Cornelis W.
49
2011
Comparison of multigrid and incomplete LU shifted-Laplace preconditioners for the inhomogeneous Helmholtz equation. Zbl 1094.65041
Erlangga, Y. A.; Vuik, C.; Oosterlee, C. W.
43
2006
Two-dimensional Fourier cosine series expansion method for pricing financial options. Zbl 1258.91222
Ruijter, M. J.; Oosterlee, C. W.
41
2012
BENCHOP – the benchmarking project in option pricing. Zbl 1335.91113
von Sydow, Lina; Höök, Lars Josef; Larsson, Elisabeth; Lindström, Erik; Milovanović, Slobodan; Persson, Jonas; Shcherbakov, Victor; Shpolyanskiy, Yuri; Sirén, Samuel; Toivanen, Jari; Waldén, Johan; Wiktorsson, Magnus; Levesley, Jeremy; Li, Juxi; Oosterlee, Cornelis W.; Ruijter, Maria J.; Toropov, Alexander; Zhao, Yangzhang
33
2015
On multigrid for linear complementarity problems with application to American-style options. Zbl 1031.65072
Oosterlee, C. W.
32
2003
Efficient pricing of European-style Asian options under exponential Lévy processes based on Fourier cosine expansions. Zbl 1282.65023
Zhang, B.; Oosterlee, C. W.
32
2013
Local Fourier analysis for multigrid with overlapping smoothers applied to systems of PDEs. Zbl 1265.65256
MacLachlan, Scott P.; Oosterlee, C. W.
29
2011
A parallel multigrid-based preconditioner for the 3D heterogeneous high-frequency Helmholtz equation. Zbl 1120.65127
Riyanti, C. D.; Kononov, A.; Erlangga, Y. A.; Vuik, C.; Oosterlee, C. W.; Plessix, R.-E.; Mulder, W. A.
29
2007
Krylov subspace acceleration for nonlinear multigrid schemes. Zbl 0903.65096
Washio, T.; Oosterlee, C. W.
28
1997
A Fourier cosine method for an efficient computation of solutions to BSDEs. Zbl 1314.65011
Ruijter, M. J.; Oosterlee, C. W.
28
2015
On three-grid Fourier analysis for multigrid. Zbl 0992.65137
Wienands, Roman; Oosterlee, Cornelis W.
26
2001
The Heston stochastic-local volatility model: efficient Monte Carlo simulation. Zbl 1303.91194
van der Stoep, Anthonie W.; Grzelak, Lech A.; Oosterlee, Cornelis W.
26
2014
The stochastic grid bundling method: efficient pricing of Bermudan options and their Greeks. Zbl 1410.91486
Jain, Shashi; Oosterlee, Cornelis W.
25
2015
A highly efficient Shannon wavelet inverse Fourier technique for pricing European options. Zbl 1330.91184
Ortiz-Gracia, Luis; Oosterlee, Cornelis W.
25
2016
On American options under the variance gamma process. Zbl 1160.91346
Almendral, Ariel; Oosterlee, Cornelis W.
24
2007
Extension of stochastic volatility equity models with the Hull-White interest rate process. Zbl 1241.91124
Grzelak, Lech A.; Oosterlee, Cornelis W.; Van Weeren, Sacha
23
2012
Accurate evaluation of European and American options under the CGMY process. Zbl 1151.91473
Almendral, Ariel; Oosterlee, Cornelis W.
23
2007
An evaluation of parallel multigrid as a solver and a preconditioner for singularly perturbed problems. Zbl 0913.65109
Oosterlee, C. W.; Washio, T.
21
1998
Multigrid line smoothers for higher order upwind discretizations of convection- dominated problems. Zbl 0908.65111
Oosterlee, C. W.; Gaspar, F. J.; Washio, T.; Wienands, R.
19
1998
On cross-currency models with stochastic volatility and correlated interest rates. Zbl 1372.91075
Grzelak, Lech A.; Oosterlee, Cornelis W.
19
2012
Multi-period mean-variance portfolio optimization based on Monte-Carlo simulation. Zbl 1401.91513
Cong, F.; Oosterlee, C. W.
19
2016
Benchmark solutions for the incompressible Navier–Stokes equations in general co-ordinates on staggered grids. Zbl 0800.76334
Oosterlee, C. W.; Wesseling, P.; Segal, A.; Brakkee, E.
18
1993
Robust pricing of European options with wavelets and the characteristic function. Zbl 1281.62227
Ortiz-Gracia, Luis; Oosterlee, Cornelis W.
18
2013
A systematic comparison of coupled and distributive smoothing in multigrid for the poroelasticity system. Zbl 1164.65344
Gaspar, F. J.; Lisbona, F. J.; Oosterlee, C. W.; Wienands, R.
18
2004
Krylov subspace acceleration of nonlinear multigrid with application to recirculating flows. Zbl 0968.76061
Oosterlee, C. W.; Washio, T.
18
2000
Numerical Fourier method and second-order Taylor scheme for backward SDEs in finance. Zbl 1386.91166
Ruijter, M. J.; Oosterlee, C. W.
17
2016
A multigrid-based shifted Laplacian preconditioner for a fourth-order Helmholtz discretization. Zbl 1224.65078
Umetani, N.; MacLachlan, S. P.; Oosterlee, C. W.
17
2009
Algebraic multigrid solvers for complex-valued matrices. Zbl 1165.65013
MacLachlan, Scott P.; Oosterlee, Cornelis W.
16
2008
Multigrid relaxation methods for systems of saddle point type. Zbl 1148.76040
Oosterlee, C. W.; Gaspar, F. J.
16
2008
A low-bias simulation scheme for the SABR stochastic volatility model. Zbl 1282.91374
Chen, Bin; Oosterlee, Cornelis W.; van der Weide, Hans
15
2012
Fourier analysis of GMRES(m) preconditioned by multigrid. Zbl 0967.65101
Wienands, Roman; Oosterlee, Cornelis W.; Washio, Takumi
15
2000
A simple and efficient segregated smoother for the discrete Stokes equations. Zbl 1299.76171
Gaspar, Francisco J.; Notay, Yvan; Oosterlee, Cornelis W.; Rodrigo, Carmen
15
2014
Invariant discretization of the incompressible Navier-Stokes equations in boundary fitted co-ordinates. Zbl 0753.76140
Segal, A.; Wesseling, P.; van Kan, J.; Oosterlee, C. W.; Kassels, K.
14
1992
On coordinate transformation and grid stretching for sparse grid pricing of basket options. Zbl 1152.91529
Leentvaar, C. C. W.; Oosterlee, C. W.
14
2008
On an Uzawa smoother in multigrid for poroelasticity equations. Zbl 1424.76041
Luo, P.; Rodrigo, C.; Gaspar, F. J.; Oosterlee, C. W.
13
2017
Multigrid for high-dimensional elliptic partial differential equations on non-equidistant grids. Zbl 1145.65109
Zubair, H. Bin; Oosterlee, C. W.; Wienands, R.
13
2007
On pre-commitment aspects of a time-consistent strategy for a mean-variance investor. Zbl 1401.91512
Cong, F.; Oosterlee, C. W.
13
2016
Flexible multiple semicoarsening for three-dimensional singularly perturbed problems. Zbl 0913.65110
Washio, T.; Oosterlee, C. W.
12
1998
A multigrid method for an invariant formulation of the incompressible Navier-Stokes equations in general co-ordinates. Zbl 0758.76057
Oosterlee, C. W.; Wesseling, P.
12
1992
An efficient multigrid solver for a reformulated version of the poroelasticity system. Zbl 1173.74460
Gaspar, F. J.; Lisbona, F. J.; Oosterlee, C. W.; Vabishchevich, P. N.
11
2007
Efficient VaR and expected shortfall computations for nonlinear portfolios within the delta-gamma approach. Zbl 1335.91107
Ortiz-Gracia, Luis; Oosterlee, Cornelis W.
11
2014
Two-dimensional Shannon wavelet inverse Fourier technique for pricing European options. Zbl 1414.91409
Colldeforns-Papiol, G.; Ortiz-Gracia, L.; Oosterlee, C. W.
10
2017
A GMRES-based plane smoother in multigrid to solve 3D anisotropic fluid flow problems. Zbl 0869.76066
Oosterlee, C. W.
10
1997
Shifted-Laplacian preconditioners for heterogeneous Helmholtz problems. Zbl 1190.65183
Oosterlee, C. W.; Vuik, C.; Mulder, W. A.; Plessix, R.-E.
10
2010
The affine Heston model with correlated Gaussian interest rates for pricing hybrid derivatives. Zbl 1277.91171
Grzelak, Lech A.; Oosterlee, Cornelis W.; Van Weeren, Sacha
10
2011
An efficient multigrid solver based on distributive smoothing for poroelasticity equations. Zbl 1089.74051
Wienands, R.; Gaspar, F. J.; Lisbona, F. J.; Oosterlee, C. W.
10
2004
Efficient computation of exposure profiles for counterparty credit risk. Zbl 1304.91245
de Graaf, Cornelis S. L.; Feng, Qian; Kandhai, Drona; Oosterlee, Cornelis W.
10
2014
A neural network-based framework for financial model calibration. Zbl 1461.91318
Liu, Shuaiqiang; Borovykh, Anastasia; Grzelak, Lech A.; Oosterlee, Cornelis W.
9
2019
A robust multigrid method for a discretization of the incompressible Navier–Stokes equations in general coordinates. Zbl 0773.76053
Oosterlee, C. W.; Wesseling, P.
9
1993
Distributive smoothers in multigrid for problems with dominating \(\mathrm{grad}\)-\(\mathrm{div}\) operators. Zbl 1212.65484
Gaspar, F. J.; Gracia, J. L.; Lisbona, F. J.; Oosterlee, C. W.
9
2008
Efficient numerical Fourier methods for coupled forward-backward SDEs. Zbl 1336.65010
Huijskens, T. P.; Ruijter, M. J.; Oosterlee, C. W.
9
2016
Multigrid schemes for time-dependent incompressible Navier-Stokes equations. Zbl 0785.76058
Oosterlee, C. W.; Wesseling, P.
8
1993
The convergence of parallel multiblock multigrid methods. Zbl 0853.65131
Oosterlee, C. W.
8
1995
Pricing high-dimensional Bermudan options using the stochastic grid method. Zbl 1255.91430
Jain, Shashi; Oosterlee, Cornelis W.
8
2012
Pricing early-exercise and discrete barrier options by Shannon wavelet expansions. Zbl 1378.91124
Maree, S. C.; Ortiz-Gracia, L.; Oosterlee, C. W.
8
2017
Pricing of early-exercise Asian options under Lévy processes based on Fourier cosine expansions. Zbl 1282.91381
Zhang, B.; Oosterlee, C. W.
7
2014
TVD, WENO and blended BDF discretizations for Asian options. Zbl 1079.91039
Oosterlee, C. W.; Frisch, J. C.; Gaspar, F. J.
7
2004
On local Fourier analysis of multigrid methods for PDEs with jumping and random coefficients. Zbl 1435.65053
Kumar, Prashant; Rodrigo, Carmen; Gaspar, Francisco J.; Oosterlee, Cornelis W.
7
2019
Monolithic multigrid method for the coupled Stokes flow and deformable porous medium system. Zbl 1380.76142
Luo, P.; Rodrigo, C.; Gaspar, F. J.; Oosterlee, C. W.
7
2018
Uzawa smoother in multigrid for the coupled porous medium and Stokes flow system. Zbl 1422.65438
Luo, Peiyao; Rodrigo, Carmen; Gaspar, Francisco J.; Oosterlee, Cornelis W.
7
2017
Multigrid method for nonlinear poroelasticity equations. Zbl 1388.74013
Luo, P.; Rodrigo, Carmen; Gaspar, F. J.; Oosterlee, C. W.
7
2015
Accuracy measures and Fourier analysis for the full multigrid algorithm. Zbl 1217.65230
Rodrigo, Carmen; Gaspar, Francisco J.; Oosterlee, Cornelis W.; Yavneh, Irad
7
2010
GPU implementation of a Helmholtz Krylov solver preconditioned by a shifted Laplace multigrid method. Zbl 1228.65208
Knibbe, H.; Oosterlee, C. W.; Vuik, C.
7
2011
Pricing multi-asset options with sparse grids and fourth order finite differences. Zbl 1278.91181
Leentvaar, C. C. W.; Oosterlee, C. W.
6
2006
GPU acceleration of the stochastic grid bundling method for early-exercise options. Zbl 1335.91105
Leitao, Álvaro; Oosterlee, Cornelis W.
6
2015
Saddlepoint approximations for expectations and an application to CDO pricing. Zbl 1236.91142
Huang, Xinzheng; Oosterlee, Cornelis W.
5
2011
Fourier cosine expansions and put-call relations for Bermudan options. Zbl 1248.91097
Zhang, Bowen; Oosterlee, Cornelis W.
5
2012
Pricing inflation products with stochastic volatility and stochastic interest rates. Zbl 1284.91554
Singor, Stefan N.; Grzelak, Lech A.; van Bragt, David D. B.; Oosterlee, Cornelis W.
5
2013
On an efficient multiple time step Monte Carlo simulation of the SABR model. Zbl 1402.91894
Leitao, Álvaro; Grzelak, Lech A.; Oosterlee, Cornelis W.
5
2017
Mathematical modeling and computation in finance. With exercises and Python and MATLAB computer codes. Zbl 1427.91001
Oosterlee, Cornelis W.; Grzelak, Lech A.
5
2019
Efficient computation of various valuation adjustments under local Lévy models. Zbl 1408.91230
Borovykh, Anastasia; Pascucci, Andrea; Oosterlee, Cornelis W.
5
2018
On the Fourier cosine series expansion method for stochastic control problems. Zbl 1313.49037
Ruijter, M. J.; Oosterlee, C. W.; Aalbers, R. F. T.
5
2013
Counterparty credit exposures for interest rate derivatives using the stochastic grid bundling method. Zbl 1396.91741
Karlsson, Patrik; Jain, Shashi; Oosterlee, Cornelis W.
5
2016
An ENO-based method for second-order equations and application to the control of dike levels. Zbl 1245.65077
van der Pijl, S. P.; Oosterlee, C. W.
4
2012
A projected algebraic multigrid method for linear complementarity problems. Zbl 1265.65124
Toivanen, Jari; Oosterlee, Cornelis W.
4
2012
On the data-driven COS method. Zbl 1427.91297
Leitao, Álvaro; Oosterlee, Cornelis W.; Ortiz-Gracia, Luis; Bohte, Sander M.
4
2018
A multigrid multilevel Monte Carlo method for transport in the Darcy-Stokes system. Zbl 1415.76603
Kumar, Prashant; Luo, Peiyao; Gaspar, Francisco J.; Oosterlee, Cornelis W.
4
2018
A genetic search for optimal multigrid components within a Fourier analysis setting. Zbl 1035.65151
Oosterlee, C. W.; Wienands, R.
4
2002
On a one time-step Monte Carlo simulation approach of the SABR model: application to European options. Zbl 1411.91625
Leitao, Álvaro; Grzelak, Lech A.; Oosterlee, Cornelis W.
4
2017
The stochastic collocation Monte Carlo sampler: highly efficient sampling from ‘expensive’ distributions. Zbl 1428.62048
Grzelak, L. A.; Witteveen, J. A. S.; Suárez-Taboada, M.; Oosterlee, C. W.
4
2019
Pricing Bermudan options under local Lévy models with default. Zbl 1377.91155
Borovykh, A.; Pascucci, A.; Oosterlee, C. W.
4
2017
On robust multi-period pre-commitment and time-consistent mean-variance portfolio optimization. Zbl 1415.91257
Cong, F.; Oosterlee, C. W.
4
2017
Pricing Bermudan options under Merton jump-diffusion asset dynamics. Zbl 1386.91162
Cong, F.; Oosterlee, C. W.
4
2015
A full multigrid method for linear complementarity problems arising from elastic normal contact problems. Zbl 1488.65713
Zhao, Jing; Vollebregt, Edwin A. H.; Oosterlee, Cornelis W.
3
2014
Flux difference splitting for three-dimensional steady incompressible Navier-Stokes equations in curvilinear co-ordinates. Zbl 0863.76055
Oosterlee, C. W.; Ritzdorf, H.
3
1996
Computing incompressible flows in general domains. Zbl 0873.76055
Wesseling, P.; Kassels, C. G. M.; Oosterlee, C. W.; Segal, A.; Vuik, C.; Zeng, S.; Zijlema, M.
3
1994
A multigrid method for a discretization of the incompressible Navier- Stokes equations in general coordinates. Zbl 0761.76060
Oosterlee, C. W.; Wesseling, P.
3
1992
Efficient pricing of commodity options with early-exercise under the Ornstein-Uhlenbeck process. Zbl 1229.91349
Zhang, B.; Grzelak, L. A.; Oosterlee, C. W.
3
2012
Calculation of exposure profiles and sensitivities of options under the Heston and the Heston Hull-White models. Zbl 1386.91154
Feng, Q.; Oosterlee, C. W.
3
2017
A novel Monte Carlo approach to hybrid local volatility models. Zbl 1402.91899
van der Stoep, Anthonie W.; Grzelak, Lech A.; Oosterlee, Cornelis W.
3
2017
On the wavelet-based SWIFT method for backward stochastic differential equations. Zbl 1477.65019
Chau, Ki Wai; Oosterlee, Cornelis W.
3
2018
Optimally weighted loss functions for solving PDEs with neural networks. Zbl 07460147
van der Meer, Remco; Oosterlee, Cornelis W.; Borovykh, Anastasia
2
2022
A deep learning approach for computations of exposure profiles for high-dimensional Bermudan options. Zbl 07424214
Andersson, Kristoffer; Oosterlee, Cornelis W.
2
2021
Deep learning for CVA computations of large portfolios of financial derivatives. Zbl 07425019
Andersson, Kristoffer; Oosterlee, Cornelis W.
1
2021
A parametric acceleration of multilevel Monte Carlo convergence for nonlinear variably saturated flow. Zbl 1434.76126
Kumar, Prashant; Rodrigo, Carmen; Gaspar, Francisco J.; Oosterlee, Cornelis W.
1
2020
A neural network-based framework for financial model calibration. Zbl 1461.91318
Liu, Shuaiqiang; Borovykh, Anastasia; Grzelak, Lech A.; Oosterlee, Cornelis W.
9
2019
On local Fourier analysis of multigrid methods for PDEs with jumping and random coefficients. Zbl 1435.65053
Kumar, Prashant; Rodrigo, Carmen; Gaspar, Francisco J.; Oosterlee, Cornelis W.
7
2019
Mathematical modeling and computation in finance. With exercises and Python and MATLAB computer codes. Zbl 1427.91001
Oosterlee, Cornelis W.; Grzelak, Lech A.
5
2019
The stochastic collocation Monte Carlo sampler: highly efficient sampling from ‘expensive’ distributions. Zbl 1428.62048
Grzelak, L. A.; Witteveen, J. A. S.; Suárez-Taboada, M.; Oosterlee, C. W.
4
2019
Monolithic multigrid method for the coupled Stokes flow and deformable porous medium system. Zbl 1380.76142
Luo, P.; Rodrigo, C.; Gaspar, F. J.; Oosterlee, C. W.
7
2018
Efficient computation of various valuation adjustments under local Lévy models. Zbl 1408.91230
Borovykh, Anastasia; Pascucci, Andrea; Oosterlee, Cornelis W.
5
2018
On the data-driven COS method. Zbl 1427.91297
Leitao, Álvaro; Oosterlee, Cornelis W.; Ortiz-Gracia, Luis; Bohte, Sander M.
4
2018
A multigrid multilevel Monte Carlo method for transport in the Darcy-Stokes system. Zbl 1415.76603
Kumar, Prashant; Luo, Peiyao; Gaspar, Francisco J.; Oosterlee, Cornelis W.
4
2018
On the wavelet-based SWIFT method for backward stochastic differential equations. Zbl 1477.65019
Chau, Ki Wai; Oosterlee, Cornelis W.
3
2018
From concentration profiles to concentration maps. New tools for the study of loss distributions. Zbl 1398.91326
Fontanari, Andrea; Cirillo, Pasquale; Oosterlee, Cornelis W.
2
2018
The COS method for option valuation under the SABR dynamics. Zbl 1390.91328
van der Have, Z.; Oosterlee, C. W.
1
2018
On an Uzawa smoother in multigrid for poroelasticity equations. Zbl 1424.76041
Luo, P.; Rodrigo, C.; Gaspar, F. J.; Oosterlee, C. W.
13
2017
Two-dimensional Shannon wavelet inverse Fourier technique for pricing European options. Zbl 1414.91409
Colldeforns-Papiol, G.; Ortiz-Gracia, L.; Oosterlee, C. W.
10
2017
Pricing early-exercise and discrete barrier options by Shannon wavelet expansions. Zbl 1378.91124
Maree, S. C.; Ortiz-Gracia, L.; Oosterlee, C. W.
8
2017
Uzawa smoother in multigrid for the coupled porous medium and Stokes flow system. Zbl 1422.65438
Luo, Peiyao; Rodrigo, Carmen; Gaspar, Francisco J.; Oosterlee, Cornelis W.
7
2017
On an efficient multiple time step Monte Carlo simulation of the SABR model. Zbl 1402.91894
Leitao, Álvaro; Grzelak, Lech A.; Oosterlee, Cornelis W.
5
2017
On a one time-step Monte Carlo simulation approach of the SABR model: application to European options. Zbl 1411.91625
Leitao, Álvaro; Grzelak, Lech A.; Oosterlee, Cornelis W.
4
2017
Pricing Bermudan options under local Lévy models with default. Zbl 1377.91155
Borovykh, A.; Pascucci, A.; Oosterlee, C. W.
4
2017
On robust multi-period pre-commitment and time-consistent mean-variance portfolio optimization. Zbl 1415.91257
Cong, F.; Oosterlee, C. W.
4
2017
Calculation of exposure profiles and sensitivities of options under the Heston and the Heston Hull-White models. Zbl 1386.91154
Feng, Q.; Oosterlee, C. W.
3
2017
A novel Monte Carlo approach to hybrid local volatility models. Zbl 1402.91899
van der Stoep, Anthonie W.; Grzelak, Lech A.; Oosterlee, Cornelis W.
3
2017
A highly efficient Shannon wavelet inverse Fourier technique for pricing European options. Zbl 1330.91184
Ortiz-Gracia, Luis; Oosterlee, Cornelis W.
25
2016
Multi-period mean-variance portfolio optimization based on Monte-Carlo simulation. Zbl 1401.91513
Cong, F.; Oosterlee, C. W.
19
2016
Numerical Fourier method and second-order Taylor scheme for backward SDEs in finance. Zbl 1386.91166
Ruijter, M. J.; Oosterlee, C. W.
17
2016
On pre-commitment aspects of a time-consistent strategy for a mean-variance investor. Zbl 1401.91512
Cong, F.; Oosterlee, C. W.
13
2016
Efficient numerical Fourier methods for coupled forward-backward SDEs. Zbl 1336.65010
Huijskens, T. P.; Ruijter, M. J.; Oosterlee, C. W.
9
2016
Counterparty credit exposures for interest rate derivatives using the stochastic grid bundling method. Zbl 1396.91741
Karlsson, Patrik; Jain, Shashi; Oosterlee, Cornelis W.
5
2016
Reduction of computing time for least-squares migration based on the Helmholtz equation by graphics processing units. Zbl 1390.86008
Knibbe, H.; Vuik, C.; Oosterlee, C. W.
1
2016
BENCHOP – the benchmarking project in option pricing. Zbl 1335.91113
von Sydow, Lina; Höök, Lars Josef; Larsson, Elisabeth; Lindström, Erik; Milovanović, Slobodan; Persson, Jonas; Shcherbakov, Victor; Shpolyanskiy, Yuri; Sirén, Samuel; Toivanen, Jari; Waldén, Johan; Wiktorsson, Magnus; Levesley, Jeremy; Li, Juxi; Oosterlee, Cornelis W.; Ruijter, Maria J.; Toropov, Alexander; Zhao, Yangzhang
33
2015
A Fourier cosine method for an efficient computation of solutions to BSDEs. Zbl 1314.65011
Ruijter, M. J.; Oosterlee, C. W.
28
2015
The stochastic grid bundling method: efficient pricing of Bermudan options and their Greeks. Zbl 1410.91486
Jain, Shashi; Oosterlee, Cornelis W.
25
2015
Multigrid method for nonlinear poroelasticity equations. Zbl 1388.74013
Luo, P.; Rodrigo, Carmen; Gaspar, F. J.; Oosterlee, C. W.
7
2015
GPU acceleration of the stochastic grid bundling method for early-exercise options. Zbl 1335.91105
Leitao, Álvaro; Oosterlee, Cornelis W.
6
2015
Pricing Bermudan options under Merton jump-diffusion asset dynamics. Zbl 1386.91162
Cong, F.; Oosterlee, C. W.
4
2015
A fast nonlinear conjugate gradient based method for 3D concentrated frictional contact problems. Zbl 1352.65171
Zhao, Jing; Vollebregt, Edwin A. H.; Oosterlee, Cornelis W.
3
2015
The time-dependent FX-SABR model: efficient calibration based on effective parameters. Zbl 1337.91133
van der Stoep, Anthonie W.; Grzelak, Lech A.; Oosterlee, Cornelis W.
2
2015
The Heston stochastic-local volatility model: efficient Monte Carlo simulation. Zbl 1303.91194
van der Stoep, Anthonie W.; Grzelak, Lech A.; Oosterlee, Cornelis W.
26
2014
A simple and efficient segregated smoother for the discrete Stokes equations. Zbl 1299.76171
Gaspar, Francisco J.; Notay, Yvan; Oosterlee, Cornelis W.; Rodrigo, Carmen
15
2014
Efficient VaR and expected shortfall computations for nonlinear portfolios within the delta-gamma approach. Zbl 1335.91107
Ortiz-Gracia, Luis; Oosterlee, Cornelis W.
11
2014
Efficient computation of exposure profiles for counterparty credit risk. Zbl 1304.91245
de Graaf, Cornelis S. L.; Feng, Qian; Kandhai, Drona; Oosterlee, Cornelis W.
10
2014
Pricing of early-exercise Asian options under Lévy processes based on Fourier cosine expansions. Zbl 1282.91381
Zhang, B.; Oosterlee, C. W.
7
2014
A full multigrid method for linear complementarity problems arising from elastic normal contact problems. Zbl 1488.65713
Zhao, Jing; Vollebregt, Edwin A. H.; Oosterlee, Cornelis W.
3
2014
Multigrid with FFT smoother for a simplified 2D frictional contact problem. Zbl 1340.65330
Zhao, Jing; Vollebregt, Edwin A. H.; Oosterlee, Cornelis W.
3
2014
Efficient pricing of European-style Asian options under exponential Lévy processes based on Fourier cosine expansions. Zbl 1282.65023
Zhang, B.; Oosterlee, C. W.
32
2013
Robust pricing of European options with wavelets and the characteristic function. Zbl 1281.62227
Ortiz-Gracia, Luis; Oosterlee, Cornelis W.
18
2013
Pricing inflation products with stochastic volatility and stochastic interest rates. Zbl 1284.91554
Singor, Stefan N.; Grzelak, Lech A.; van Bragt, David D. B.; Oosterlee, Cornelis W.
5
2013
On the Fourier cosine series expansion method for stochastic control problems. Zbl 1313.49037
Ruijter, M. J.; Oosterlee, C. W.; Aalbers, R. F. T.
5
2013
Analysis of an affine version of the Heston-Hull-White option pricing partial differential equation. Zbl 1300.91048
Guo, Shimin; Grzelak, Lech A.; Oosterlee, Cornelis W.
3
2013
Efficient portfolio valuation incorporating liquidity risk. Zbl 1287.91136
Tian, Yu; Rood, Ron; Oosterlee, Cornelis W.
2
2013
Two-dimensional Fourier cosine series expansion method for pricing financial options. Zbl 1258.91222
Ruijter, M. J.; Oosterlee, C. W.
41
2012
Extension of stochastic volatility equity models with the Hull-White interest rate process. Zbl 1241.91124
Grzelak, Lech A.; Oosterlee, Cornelis W.; Van Weeren, Sacha
23
2012
On cross-currency models with stochastic volatility and correlated interest rates. Zbl 1372.91075
Grzelak, Lech A.; Oosterlee, Cornelis W.
19
2012
A low-bias simulation scheme for the SABR stochastic volatility model. Zbl 1282.91374
Chen, Bin; Oosterlee, Cornelis W.; van der Weide, Hans
15
2012
Pricing high-dimensional Bermudan options using the stochastic grid method. Zbl 1255.91430
Jain, Shashi; Oosterlee, Cornelis W.
8
2012
Fourier cosine expansions and put-call relations for Bermudan options. Zbl 1248.91097
Zhang, Bowen; Oosterlee, Cornelis W.
5
2012
An ENO-based method for second-order equations and application to the control of dike levels. Zbl 1245.65077
van der Pijl, S. P.; Oosterlee, C. W.
4
2012
A projected algebraic multigrid method for linear complementarity problems. Zbl 1265.65124
Toivanen, Jari; Oosterlee, Cornelis W.
4
2012
Efficient pricing of commodity options with early-exercise under the Ornstein-Uhlenbeck process. Zbl 1229.91349
Zhang, B.; Grzelak, L. A.; Oosterlee, C. W.
3
2012
The COS method for pricing options under uncertain volatility. Zbl 1296.91286
Ruijter, M. J.; Oosterlee, C. W.
1
2012
On the Heston model with stochastic interest rates. Zbl 1229.91338
Grzelak, Lech A.; Oosterlee, Cornelis W.
79
2011
A Fourier-based valuation method for Bermudan and barrier options under Heston’s model. Zbl 1236.65163
Fang, Fang; Oosterlee, Cornelis W.
49
2011
Local Fourier analysis for multigrid with overlapping smoothers applied to systems of PDEs. Zbl 1265.65256
MacLachlan, Scott P.; Oosterlee, C. W.
29
2011
The affine Heston model with correlated Gaussian interest rates for pricing hybrid derivatives. Zbl 1277.91171
Grzelak, Lech A.; Oosterlee, Cornelis W.; Van Weeren, Sacha
10
2011
GPU implementation of a Helmholtz Krylov solver preconditioned by a shifted Laplace multigrid method. Zbl 1228.65208
Knibbe, H.; Oosterlee, C. W.; Vuik, C.
7
2011
Saddlepoint approximations for expectations and an application to CDO pricing. Zbl 1236.91142
Huang, Xinzheng; Oosterlee, Cornelis W.
5
2011
Shifted-Laplacian preconditioners for heterogeneous Helmholtz problems. Zbl 1190.65183
Oosterlee, C. W.; Vuik, C.; Mulder, W. A.; Plessix, R.-E.
10
2010
Accuracy measures and Fourier analysis for the full multigrid algorithm. Zbl 1217.65230
Rodrigo, Carmen; Gaspar, Francisco J.; Oosterlee, Cornelis W.; Yavneh, Irad
7
2010
A geometric multigrid method based on \(L\)-shaped coarsening for PDEs on stretched grids. Zbl 1240.65365
Zubair, H. Bin; MacLachlan, S. P.; Oosterlee, C. W.
1
2010
Analytical approximation to constant maturity swap convexity corrections in a multi-factor SABR model. Zbl 1203.91287
Chen, Bin; Oosterlee, Cornelis W.; van Weeren, Sacha
1
2010
Pricing early-exercise and discrete barrier options by Fourier-cosine series expansions. Zbl 1185.91176
Fang, F.; Oosterlee, C. W.
96
2009
A multigrid-based shifted Laplacian preconditioner for a fourth-order Helmholtz discretization. Zbl 1224.65078
Umetani, N.; MacLachlan, S. P.; Oosterlee, C. W.
17
2009
Nonnegative matrix factorization of a correlation matrix. Zbl 1190.15018
Sonneveld, P.; van Kan, J. J. I. M.; Huang, X.; Oosterlee, C. W.
2
2009
Adaptive integration for multi-factor portfolio credit loss models. Zbl 1169.91016
Huang, Xinzheng; Oosterlee, Cornelis W.
1
2009
A novel pricing method for European options based on Fourier-cosine series expansions. Zbl 1186.91214
Fang, F.; Oosterlee, C. W.
179
2008
A fast and accurate FFT-based method for pricing early-exercise options under Lévy processes. Zbl 1170.91389
Lord, R.; Fang, F.; Bervoets, F.; Oosterlee, C. W.
67
2008
Algebraic multigrid solvers for complex-valued matrices. Zbl 1165.65013
MacLachlan, Scott P.; Oosterlee, Cornelis W.
16
2008
Multigrid relaxation methods for systems of saddle point type. Zbl 1148.76040
Oosterlee, C. W.; Gaspar, F. J.
16
2008
On coordinate transformation and grid stretching for sparse grid pricing of basket options. Zbl 1152.91529
Leentvaar, C. C. W.; Oosterlee, C. W.
14
2008
Distributive smoothers in multigrid for problems with dominating \(\mathrm{grad}\)-\(\mathrm{div}\) operators. Zbl 1212.65484
Gaspar, F. J.; Gracia, J. L.; Lisbona, F. J.; Oosterlee, C. W.
9
2008
A parallel multigrid-based preconditioner for the 3D heterogeneous high-frequency Helmholtz equation. Zbl 1120.65127
Riyanti, C. D.; Kononov, A.; Erlangga, Y. A.; Vuik, C.; Oosterlee, C. W.; Plessix, R.-E.; Mulder, W. A.
29
2007
On American options under the variance gamma process. Zbl 1160.91346
Almendral, Ariel; Oosterlee, Cornelis W.
24
2007
Accurate evaluation of European and American options under the CGMY process. Zbl 1151.91473
Almendral, Ariel; Oosterlee, Cornelis W.
23
2007
Multigrid for high-dimensional elliptic partial differential equations on non-equidistant grids. Zbl 1145.65109
Zubair, H. Bin; Oosterlee, C. W.; Wienands, R.
13
2007
An efficient multigrid solver for a reformulated version of the poroelasticity system. Zbl 1173.74460
Gaspar, F. J.; Lisbona, F. J.; Oosterlee, C. W.; Vabishchevich, P. N.
11
2007
Efficient \(d\)-multigrid preconditioners for sparse-grid solution of high-dimensional partial differential equations. Zbl 1123.65035
Zubair, H. Bin; Leentvaar, C. C. W.; Oosterlee, C. W.
2
2007
A novel multigrid based preconditioner for heterogeneous Helmholtz problems. Zbl 1095.65109
Erlangga, Y. A.; Oosterlee, C. W.; Vuik, C.
122
2006
Comparison of multigrid and incomplete LU shifted-Laplace preconditioners for the inhomogeneous Helmholtz equation. Zbl 1094.65041
Erlangga, Y. A.; Vuik, C.; Oosterlee, C. W.
43
2006
Pricing multi-asset options with sparse grids and fourth order finite differences. Zbl 1278.91181
Leentvaar, C. C. W.; Oosterlee, C. W.
6
2006
Numerical valuation of options with jumps in the underlying. Zbl 1117.91028
Almendral, Ariel; Oosterlee, Cornelis W.
65
2005
On a class of preconditioners for solving the Helmholtz equation. Zbl 1051.65101
Erlangga, Y. A.; Vuik, C.; Oosterlee, C. W.
103
2004
A systematic comparison of coupled and distributive smoothing in multigrid for the poroelasticity system. Zbl 1164.65344
Gaspar, F. J.; Lisbona, F. J.; Oosterlee, C. W.; Wienands, R.
18
2004
An efficient multigrid solver based on distributive smoothing for poroelasticity equations. Zbl 1089.74051
Wienands, R.; Gaspar, F. J.; Lisbona, F. J.; Oosterlee, C. W.
10
2004
TVD, WENO and blended BDF discretizations for Asian options. Zbl 1079.91039
Oosterlee, C. W.; Frisch, J. C.; Gaspar, F. J.
7
2004
On multigrid for linear complementarity problems with application to American-style options. Zbl 1031.65072
Oosterlee, C. W.
32
2003
On a class of preconditioners for solving the discrete Helmholtz equation. Zbl 1049.65111
Erlangga, Y. A.; Vuik, C.; Oosterlee, C. W.
2
2003
A genetic search for optimal multigrid components within a Fourier analysis setting. Zbl 1035.65151
Oosterlee, C. W.; Wienands, R.
4
2002
...and 24 more Documents
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Cited by 1,890 Authors

82 Oosterlee, Cornelis Willebrordus
33 Gaspar, Francisco José
28 Rodrigo, Carmen
17 Grzelak, Lech A.
17 Vuik, Cornelis
14 MacLachlan, Scott P.
14 Toivanen, Jari
13 Ortiz-Gracia, Luis
12 Cui, Zhenyu
12 Forsyth, Peter A.
11 Leitao, Álvaro
11 Lisbona Cortés, Francisco Javier
11 von Sydow, Lina
10 Dang, Duy Minh
9 Kim, Junseok
9 Marazzina, Daniele
9 Spence, Euan A.
9 Tangman, Désiré Yannick
8 Adler, James H.
8 Ballestra, Luca Vincenzo
8 Borzì, Alfio
8 Fusai, Gianluca
8 He, Yunhui
8 Hu, Xiaozhe
8 Notay, Yvan
8 Reisinger, Christoph
8 Vanroose, Wim
8 Vázquez Cendón, Carlos
8 Wu, Tingting
7 Bhuruth, Muddun
7 Castelletto, Nicola
7 De Sterck, Hans
7 Ding, Deng
7 Graham, Ivan G.
7 He, Xinjiang
7 Ivanov, Roman V.
7 Soleymani, Fazlollah
7 Teng, Long
7 Vasseur, Xavier
7 Zhu, Songping
6 Ferronato, Massimiliano
6 Gander, Martin Jakob
6 in ’t Hout, Karel J.
6 Jentzen, Arnulf
6 Kwok, Yue-Kuen
6 Ma, Jingtang
6 Pan, Kejia
6 Rüde, Ulrich
6 Saad, Yousef
6 Vabishchevich, Pëtr Nikolaevich
6 Zhao, Weidong
6 Ziveyi, Jonathan
5 Chau, Ki Wai
5 Chen, Zhongying
5 Company, Rafael
5 Cools, Siegfried
5 Glau, Kathrin
5 Gratton, Serge
5 Günther, Michael
5 Jódar Sanchez, Lucas Antonio
5 Kyriakou, Ioannis
5 Larsson, Elisabeth
5 Levendorskiĭ, Sergeĭ Zakharovich
5 Li, Lingfei
5 Luo, Peiyao
5 Nabben, Reinhard
5 Ruijter, Maria J.
5 Sgarra, Carlo
5 Shcherbakov, Victor
5 Tuminaro, Raymond S.
5 Turkel, Eli L.
5 Van Staden, Pieter M.
5 Vanmaele, Michèle
5 Yam, Sheung Chi Phillip
5 Zikatanov, Ludmil T.
4 Ahlip, Rehez
4 Annunziato, Mario
4 Ballotta, Laura
4 Borovykh, Anastasia
4 Bungartz, Hans-Joachim
4 Chen, Ke
4 Chen, Xu
4 Chiarella, Carl
4 Cozma, Andrei
4 Dolean, Victorita
4 Donatelli, Marco
4 Erlangga, Yogi A.
4 García Ramos, Luis
4 Gracia, José Luis
4 Guo, Xu
4 Haber, Eldad
4 He, Xiaoming
4 Heikkola, Erkki
4 Jain, Shashi
4 Kadalbajoo, Mohan K.
4 Kandhai, Drona
4 Kang, Boda
4 Kelley, Carl T.
4 Khaliq, Abdul Q. M.
4 Kim, Jeong-Hoon
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Cited in 201 Serials

105 Journal of Computational Physics
80 Journal of Computational and Applied Mathematics
65 Quantitative Finance
64 SIAM Journal on Scientific Computing
53 Applied Mathematics and Computation
48 Computers & Mathematics with Applications
48 International Journal of Computer Mathematics
43 International Journal of Theoretical and Applied Finance
39 Applied Numerical Mathematics
39 Journal of Scientific Computing
36 Numerical Linear Algebra with Applications
26 Computer Methods in Applied Mechanics and Engineering
22 Computers and Fluids
20 Applied Mathematical Finance
19 European Journal of Operational Research
18 SIAM Journal on Financial Mathematics
16 Insurance Mathematics & Economics
13 Mathematics and Computers in Simulation
13 Numerische Mathematik
12 International Journal for Numerical Methods in Fluids
12 BIT
11 Numerical Algorithms
10 Computing and Visualization in Science
10 Review of Derivatives Research
9 SIAM Journal on Numerical Analysis
9 Advances in Computational Mathematics
8 Journal of Economic Dynamics & Control
8 Computational and Applied Mathematics
8 Finance and Stochastics
8 Computational Geosciences
7 SIAM Journal on Matrix Analysis and Applications
7 Mathematical Problems in Engineering
7 European Series in Applied and Industrial Mathematics (ESAIM): Mathematical Modelling and Numerical Analysis
6 Chaos, Solitons and Fractals
6 Journal of Mathematics in Industry
5 Journal of Mathematical Analysis and Applications
5 Mathematics of Computation
5 Calcolo
5 Linear Algebra and its Applications
5 Communications in Nonlinear Science and Numerical Simulation
5 Lobachevskii Journal of Mathematics
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5 AIMS Mathematics
4 International Journal for Numerical Methods in Engineering
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4 ETNA. Electronic Transactions on Numerical Analysis
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4 Decisions in Economics and Finance
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3 S\(\vec{\text{e}}\)MA Journal
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2 Acta Mechanica
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2 Inverse Problems
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2 Journal of Econometrics
2 Operations Research Letters
2 Stochastic Analysis and Applications
2 Applied Mathematics Letters
2 European Journal of Applied Mathematics
2 The Annals of Applied Probability
2 Automation and Remote Control
2 Communications in Statistics. Simulation and Computation
2 Communications in Statistics. Theory and Methods
2 SIAM Review
2 Computational Statistics and Data Analysis
2 Applied Mathematics. Series B (English Edition)
2 International Journal of Numerical Methods for Heat & Fluid Flow
2 Russian Journal of Numerical Analysis and Mathematical Modelling
2 Engineering Analysis with Boundary Elements
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2 Abstract and Applied Analysis
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Cited in 40 Fields

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