Centrum Wiskunde & Informatica

Saddlepoint approximations for expectations Article

SIAM Journal on Financial Mathematics, 692-714.

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

January 2011
Stochastic Reo: a case study In Proceedings

Y.-J. Moon (Young-Joo), F. Arbab (Farhad), A.M. Silva (Alexandra), A. Stam and C. Verhoef (Chretien)

January 2011
The affine Heston model with correlated Gaussian interest rates for pricing hybrid derivatives Article

Quantitative Finance, 11(11), 1647-1663.

L.A. Grzelak (Lech Aleksander), C.W. Oosterlee (Kees) and S. van Weeren

January 2011
GPU implementation of a Helmholtz Krylov solver preconditioned by a shifted Laplace method Article

Journal of Computational and Applied Mathematics, 281-293.

H. Knibbe, C.W. Oosterlee (Kees) and C. Vuik

January 2011
Separation and integration of concerns in meta programming - the Rascal perspective -IFIP Working Group 2.11 , Bordeaux, France Lecture

J.J. Vinju (Jurgen)

January 2011
Generalized beta regression models for random Loss-Given-Default Article

Journal of Credit Risk, 7(4), 1-27.

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

January 2011
On cross-currency models with stochastic volatility and correlated interest rates Article

Applied Mathematical Finance, 1-35.

L.A. Grzelak (Lech Aleksander) and C.W. Oosterlee (Kees)

January 2011
Position-Based Quantum Cryptography: Impossibility and Constructions In Proceedings

H.M. Buhrman (Harry), N. Chandran, S. Fehr (Serge), R. Gelles, V. Goyal, R. Ostrovsky and C. Schaffner (Christian)

January 2011

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