CWI Institutional Repository
Scholarly works by researchers at Centrum Wiskunde & Informatica (CWI), the national research institute for mathematics and computer science in the Netherlands-
Two new variants of the manifold-mapping technique Article
Compel, 26(2), 334-344.January 2007 -
Higher order saddlepoint approximations in the Vasicek portfolio credit loss model Article
Journal of Computational Finance, 11(1), 93-113.X. Huang, C.W. Oosterlee (Kees) and J.A.M. van der Weide (Hans)
January 2007
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Accurate evaluation of European and American options under the CGMY process Article
SIAM Journal on Scientific Computing, 93-117.January 2007 -
On American options under the Variance Gamma process Article
Applied Mathematical Finance, 14(2), 131-152.January 2007
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Multigrid for high-dimensional elliptic partial differential equations on non-equidistant grids Article
SIAM Journal on Scientific Computing, 1613-1636.H. bin Zubair (Hisham), C.W. Oosterlee (Kees) and R. Wienands
January 2007
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A parallel multigrid-based preconditioner for the 3D heterogeneous high-frequency Helmholtz equation Article
Journal of Computational Physics, 431-448.C.D. Riyanti, A. Kononov, Y.A. Erlangga, C. Vuik, C.W. Oosterlee (Kees), R.-E. Plessix and W.A. Mulder
January 2007
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An efficient multigrid solver for a reformulated version of the poroelasticity system Article
Computer Methods in Applied Mechanics and Engineering, 1447-1457.C.W. Oosterlee (Kees), F.J. Gaspar (Francisco), F.J. Lisbona and P.N. Vabishchevich
January 2007
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January 2007