Cornelis W. Oosterlee

1. Conditional Time Series Forecasting with Convolutional Neural Networks
   2017/03/14 by Anastasia Borovykh, Borovykh, Anastasia, Sander M. Bohté +3 · 41 citations
   Decision Sciences · Computer Science · Economics, Econometrics and Finance · #Stock Market Forecasting Methods #Time Series Analysis and Forecasting #Complex Systems and Time Series Analysis
2. Markov Chain Generative Adversarial Neural Networks for Solving Bayesian Inverse Problems in Physics Applications
   2021/11/24 by Nikolaj T. Mücke, Benjamin Sanderse, Mücke, Nikolaj T. +5 · 2 citations
   Computer Science · Physics and Astronomy · #FOS: Mathematics #Gaussian Processes and Bayesian Inference #Generative Adversarial Networks and Image Synthesis #Model Reduction and Neural Networks #Numerical Analysis (math.NA)
3. Financial option valuation by unsupervised learning with artificial\n neural networks
   2020/05/25 by Beatriz Salvador, Cornelis W. Oosterlee, Salvador, Beatriz +3 · 1 citation
   Physics and Astronomy · #Model Reduction and Neural Networks
4. Reduced Order Modeling for Parameterized Time-Dependent PDEs using\n Spatially and Memory Aware Deep Learning
   2020/11/23 by Nikolaj T. Mücke, Mücke, Nikolaj T., Sander M. Bohté +3 · 1 citation
   Engineering · Mathematics · Physics and Astronomy · #FOS: Mathematics #Fluid Dynamics and Turbulent Flows #Model Reduction and Neural Networks #Numerical Analysis (math.NA) #Numerical methods for differential equations
5. The One Step Malliavin scheme: new discretization of BSDEs implemented with deep learning regressions
   2021/10/11 by Bálint Négyesi, Negyesi, Balint, Kristoffer Andersson +3 · 1 citation
   Economics, Econometrics and Finance · Mathematics · Physics and Astronomy · #FOS: Mathematics #Markov Chains and Monte Carlo Methods #Model Reduction and Neural Networks #Numerical Analysis (math.NA) #Stochastic processes and financial applications
6. D-TIPO: Deep time-inconsistent portfolio optimization with stocks and options
   2023/08/21 by Kristoffer Andersson, Andersson, Kristoffer, Cornelis W. Oosterlee +1 · 1 citation
   Decision Sciences · Economics, Econometrics and Finance · Engineering · #91G10 #91G60 #Computational Finance (q-fin.CP) #FOS: Economics and business #Financial Markets and Investment Strategies #Portfolio Management (q-fin.PM) #Reservoir Engineering and Simulation Methods #Stock Market Forecasting Methods
7. The Deep Latent Space Particle Filter for Real-Time Data Assimilation with Uncertainty Quantification
   2024/06/04 by Nikolaj T. Mücke, Mücke, Nikolaj T., Sander M. Bohté +3 · 1 citation
   Earth and Planetary Sciences · Environmental Science · #Meteorological Phenomena and Simulations #Precipitation Measurement and Analysis #Hydrological Forecasting Using AI
8. A deep BSDE approach for the simultaneous pricing and delta-gamma hedging of large portfolios consisting of high-dimensional multi-asset Bermudan options
   2025/02/17 by Bálint Négyesi, Cornelis W. Oosterlee, Negyesi, Balint +1 · 1 citation
   Economics, Econometrics and Finance · #Stochastic processes and financial applications #Monetary Policy and Economic Impact #Capital Investment and Risk Analysis
9. RIDGE: An Autonomous Framework for Validation and Method Discovery in LLM-Generated Option Pricing
   2026/07/28 by Liexin Cheng, Xue Cheng, Shuaiqiang Liu +1
   Computer Science · Economics, Econometrics and Finance · #cs.AI #q-fin.CP
10. An Analytic COS Method for Compound Option Valuation
    2026/07/28 by Zhipeng Huang, Cornelis W. Oosterlee
    #q-fin.CP #cs.CE #q-fin.MF #q-fin.PR
11. A Damped SWIFT Method for European Option Pricing: Coefficients Decay, Truncation, and Error Analysis
    2026/07/23 by Davide Trevisani, José Germán López Salas, Chiheb Ben Hammouda +1
    #math.NA #cs.NA