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Scientific Computing /
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Accurate pricing and calibration of models with stochastic volatility November 2012 - October 2016

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Computation of risk contribution in the Vasicek portfolio credit loss model In Proceedings

X. Huang and C.W. Oosterlee (Kees)

January 2008
The Heston Stochastic-Local Volatility Model: Efficient Monte Carlo Simulation Article

International Journal of Theoretical and Applied Finance, 17(7), 1450045:1-1450045:30.

A.W. van der Stoep (Anton), L.A. Grzelak (Lech Aleksander) and C.W. Oosterlee (Kees)

November 2014

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