Kees Oosterlee (1967; ir-Delft 1989, dr-Delft 1993, habil-Cologne, Germany, 1999) has been working on computational problems in financial mathematics since 2000. After his PhD, in 1993, he worked at the GMD (now Fraunhofer SCAI) in Sankt Augustin, Germany, until 2002, and at TU Delft. Since 2007 he has been a part-time professor in Delft and also a scientist at the Centrum Wisknude & Informatica (CWI) in Amsterdam, where he was also a member of the management team. Oosterlee is co-author of two books (“Multigrid” 2001, and “Mathematical Modeling and Computation in Finance“, 2019), and many scientific publications. Methods he co-developed include: the COS method, SWIFT (Shannon Wavelet Inverse Fourier Transform method) , SGBM (Stochastic Grid Bundling Method), SCMC (Stochastic Collocation Monte Carlo Method), and the Seven-League scheme (7L). Machine learning in Finance is a recent research interest.
Personal website of Kees can be found here.
Lech A. Grzelak is a front-office Quantitative Analyst (quant) at the Financial Engineering team at Rabobank in the Netherlands. At the same time, he holds an Assistant Professor position at Utrecht University, where he teaches a course on Computational Finance. Lech received his PhD in Numerical Analysis at Delft University of Technology (the Netherlands) in 2011. His main research areas are computational finance, numerical analysis, scientific computing and high-performance computing methods. Recent work has focused on efficient numerical methods for stochastic and local volatility models, cross-asset hybrid models and xVA. Lech is the editor of the Journal of Computational Finance and Applied Mathematics and Computation. In addition, Lech has published several research articles on quantitative finance in multiple prime journals.
For the complete list of publications, please click here.
You can also visit my university website here.
