Listar por autor "Oosterlee, Cornelis W."

Mostrando ítems 1-4 de 4

    • European and American Options Valuation by Unsupervised Learning with Artificial Neural Networks 

      Salvador, Beatriz; Oosterlee, Cornelis W.; Meer, Remco van der (MDPI AG, 2020-08-19)
      [Abstract] Artificial neural networks (ANNs) have recently also been applied to solve partial differential equations (PDEs). In this work, the classical problem of pricing European and American financial options, based ...

    • Financial Option Valuation by Unsupervised Learning with Artificial Neural Networks 

      Salvador, Beatriz; Oosterlee, Cornelis W.; Meer, Remco van der (MDPI AG, 2020-12-28)
      [Abstract] Artificial neural networks (ANNs) have recently also been applied to solve partial differential equations (PDEs). The classical problem of pricing European and American financial options, based on the corresponding ...

    • The stochastic collocation Monte Carlo sampler: highly efficient sampling from ‘expensive’ distributions 

      Grzelak, L. A.; Witteveen, J. A. S.; Suárez Taboada, María; Oosterlee, Cornelis W. (Taylor and Francis Group & Routledge, 2019)
      [Abstract]: In this article, we propose an efficient approach for inverting computationally expensive cumulative distribution functions. A collocation method, called the Stochastic Collocation Monte Carlo sampler (SCMC ...

    • Uncertainty quantification and Heston model 

      Suárez Taboada, María; Witteveen, Jeroen A. S.; Grzelak, Lech A.; Oosterlee, Cornelis W. (SpringerOpen, 2018-07)
      [Abstract]: In this paper, we study the impact of the parameters involved in Heston model by means of Uncertainty Quantification. The Stochastic Collocation Method already used for example in computational fluid dynamics, ...