Dr. C.w. Oosterlee
Professor
Department of Electrical Engineering, Mathematics and Comput
Delft University of Technology
Netherlands
Biography
Dr. C.W. Oosterlee is a professor at Department of Electrical Engineering, Mathematics and Computer Science, Delft University of Technology.
Research Interest
Numerical Analysis
Publications
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On a one time-step Monte Carlo simulation approach of the SABR model: Application to European options
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A multigrid multilevel monte carlo method using high-order finite-volume scheme for lognormal diffusion problems
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On an efficient multiple time step Monte Carlo simulation of the SABR model
