1. Pricing and Hedging Prepayment Risk in a Mortgage Portfolio, Submitted, 2021, Joint work with E. Casamassima, F.A. Mulder and C.W. Oosterlee, Download.
  2. Sparse Grid Method for Highly Efficient Computation of Exposures for xVA, Submitted, 2021. Download.
  3. Monte Carlo Simulation of SDEs using GANs, Submitted, 2021. Joint work with J.v. Rhijn, C.W. Oosterlee and S. Liu., Download.
  4. Cheapest-to-Deliver Collateral: A Common Factor Approach, Submitted, 2021. Joint work with F.L. Wolf and G. Deelstraa. Download.
  5. The Seven-League Scheme: Deep Learning for Large Time Step Monte Carlo Simulations of Stochastic Differential Equations, Submitted, 2020. Joint work with S. Liu and C.W. Oosterlee. Download.
  6. A Computational Approach to Hedging Credit Valuation Adjustment in a Jump-Diffusion Setting, Applied Mathematics and Computation, 391 (2021). Joint work with T. vd. Zwaard and C.W. Oosterlee. Download.
  7. Mathematical Modeling and Computation in Finance: with Exercises and Python and Matlab Computer Codes, 2019. Joint work with C.W. Oosterlee. World Scientific Publishing Co. Pte. Ltd., ISBN: 978-1-78634-794-7.
  8. A Neural Network-Based Framework for Financial Model Calibration, Journal of Mathematics in Industry, 9(1), 1-28, 2019. Joint work with S. Liu, A. Borovykh and C.W. Oosterlee. Download.
  9. Collocating Local Volatility: A Competitive Alternative to Stochastic Local Volatility Models, International Journal of Theoretical and Applied Finance 23(6), 2020. Joint work with C.W. Oosterlee and A.W. Stoep.
  10. The Stochastic Collocation Monte Carlo Sampler: Highly Efficient Sampling from “Expensive” Distributions. Quantitative Finance, 19(2), 239-356, 2019, Joint work with C.W. Oosterlee, J. Witteveen and M. Suarez-Taboada.
  11. The Collocating Local Volatility Framework – a Fresh Look at Efficient Pricing with Smile. International Journal of Computer Mathematics, 96(11), 2209-1118, 2019.
  12. On an Efficient Multiple Time-Step Monte Carlo Simulation of the SABR Model, Quantitative Finance, 17(10), 159-1565, 2017. Joint work with C.W. Oosterlee and A. Leitao.
  13. A Highly Efficient Numerical Method for the SABR model, Chapter of STRIKE – Novel Methods in Computational Finance, 2018. Joint work with C.W. Oosterlee and A. Leitao.
  14. On a One Time-Step Monte Carlo Simulation Approach of the SABR model: Application to European Options, Applied Mathematics and Computation, 293, 461-479, 2017. Joint work with C.W. Oosterlee and A. Leitao.
  15. A Novel Monte Carlo Approach to Hybrid Local Volatility Models, Quantitative Finance, 17(9), Joint work with C.W. Oosterlee and A.W. Stoep.
  16. From Arbitrage to Arbitrage-Free Implied Volatilities. Journal of Computational Finance, 20(3), 1-19, 2016. Joint work with C.W. Oosterlee.
  17. The Time-Dependent FX-SABR Model: Efficient Calibration Based on Effective Parameters International Journal of Theoretical and Applied Finance, 18(6), 2015. Joint work with C.W. Oosterlee and A.W. Stoep.
  18. The Heston Stochastic-Local Volatility Model: Efficient Monte Carlo Simulation. International Journal of Theoretical and Applied Finance, 17(7), 2014. Joint work with C.W. Oosterlee and A.W. Stoep.
  19. Equity and Foreign Exchange Hybrid Models for Pricing Long-Maturity Financial Derivatives. Ph.D. thesis, Delft University of Technology, 160 pages, 2011, ISBN 978-90-8570-749-3.
  20. Extension of Equity Stochastic Volatility Models with Hull-White Interest Rate Process. Quantitative Finance, 12(1), 89-105, 2012. Joint work with C.W. Oosterlee and S.van Weeren.
  21. On the Heston Model with Stochastic Interest Rates. SIAM Journal on Fin. Math. 2, 255-286, Joint work with C.W. Oosterlee.
  22. On Cross-Currency Models with Stochastic Volatility and Correlated Interest Rates. Applied Mathematical Finance, 19(1), 1-35, 2012, Joint work with C.W. Oosterlee.
  23. An Equity-Interest Rate Hybrid Model with Stochastic Volatility and the Interest Rate Smile. The Journal of Computational Finance 15(4), 45-77, 2012. Joint work with C.W. Oosterlee.
  24. The Affine Heston Model with Correlated Gaussian Interest Rates for Pricing Hybrid Derivatives. Quantitative Finance, 11(11), 1647–1663, 2011. Joint work with C.W. Oosterlee and S. van Weeren.
  25. Efficient Pricing of Commodity Options with Early-Exercise under the Ornstein-Uhlenbeck Process. Applied Numerical Mathematics, 62(2), 91-111, 2012. Joint work with B. Zhang and C.W. Oosterlee
  26. Calibration and Monte Carlo Pricing of the SABR-Hull-White Model for Long-Maturity Equity Derivatives. Journal of Computational Finance,15(4), 79–113, 2012. Joint work with B. Chen and C.W. Oosterlee.
  27. Fast Pricing of Hybrid Derivatives Products. ERCIM News, 78, 2009. Joint work with C. W. Oosterlee.
  28. Pricing Inflation Products with Stochastic Volatility and Stochastic Interest Rates. Insurance: Mathematics and Economics, 52(2), 286-299, 2013. Joined work with S.N. Singor, D. van Bragt and C.W. Oosterlee.
  29. Analysis of an Affine Version of the Heston–Hull–White Option Pricing Partial Differential Equation. Applied Numerical Mathematics, 72, 143-159, 2013. Joined work with S. Guo and C.W. Oosterlee.
  30. Determining Corrosion Rates. Pipeline and Gas Technology, 46-51, 2007. Joint work with G.J. Achterbosch.