Personal profile
About
Research in computational finance, quantitative risk management, backward stochastic differential equations (BSDEs)
Link to Utrecht University staff page
Expertise related to UN Sustainable Development Goals
In 2015, UN member states agreed to 17 global Sustainable Development Goals (SDGs) to end poverty, protect the planet and ensure prosperity for all. This person’s work contributes towards the following SDG(s):
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SDG 7 Affordable and Clean Energy -
SDG 8 Decent Work and Economic Growth
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Dive into the research topics where Kees Oosterlee is active. These topic labels come from the works of this person. Together they form a unique fingerprint.
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Publication network from the last five years
Recent external collaboration on country/territory level. Dive into details by clicking on the dots or
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SigMA: Path signatures and multi-head attention for learning parameters in fBm-driven SDEs
Wu, X., Hammouda, C. B. & Oosterlee, C. W., 14 Jun 2026, In: Neurocomputing. 682, 15 p., 133499.Research output: Contribution to journal › Article › Academic › peer-review
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The Deep Multi-FBSDE Method: A Robust Deep Learning Method for Coupled FBSDEs
Andersson, K., Andersson, A. & Oosterlee, C. W., Mar 2026, In: Journal of Scientific Computing. 106, 3, 77.Research output: Contribution to journal › Article › Academic › peer-review
Open AccessFile -
Convergence of the deep BSDE method for stochastic control problems formulated through the stochastic maximum principle
Huang, Z., Negyesi, B. & Oosterlee, C. W., Jan 2025, In: Mathematics and Computers in Simulation. 227, p. 553-568 16 p.Research output: Contribution to journal › Article › Academic › peer-review
Open AccessFile -
Modeling and replication of the prepayment option of mortgages including behavioral uncertainty
Perotti, L., Grzelak, L. A. & Oosterlee, C. W., 15 May 2026, In: Journal of Computational and Applied Mathematics. 477, 117190.Research output: Contribution to journal › Article › Academic › peer-review
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On deep portfolio optimization with stocks, bonds and options
Andersson, K. & Oosterlee, C. W., 1 Jun 2025, In: Journal of Computational Finance. 29, 1Research output: Contribution to journal › Article › Academic › peer-review