CWI Institutional Repository
Scholarly works by researchers at Centrum Wiskunde & Informatica (CWI), the national research institute for mathematics and computer science in the Netherlands-
Micropatterns in Grammars Presentation
January 2013
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Pending Evolution of Grammars Presentation
January 2013
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Guided Grammar Convergence Presentation
January 2013
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January 2013
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Robust pricing of European options with wavelets and the characteristic function Article
SIAM Journal on Scientific Computing, 35(5), B1055-B1084.January 2013
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On the Fourier cosine series expansion (COS) method for stochastic control problems Article
Numerical Linear Algebra with Applications, 20(4), 598-625.M.J. Ruijter (Marjon), C.W. Oosterlee (Kees) and R.F.T. Aalbers
January 2013
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Analysis of an affine version of the Heston-Hull-White option pricing partial differential equation Article
Applied Numerical Mathematics, 143-159.S. Guo (Shimin), L.A. Grzelak (Lech Aleksander) and C.W. Oosterlee (Kees)
January 2013
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Efficient pricing of European-style Asian options under exponential L\'evy processes based on Fourier cosine expansions Article
SIAM Journal on Financial Mathematics, 4(1), 399-426.January 2013