| Fourier-cosine method for Gerber–Shiu functions KW Chau, SCP Yam, H Yang Insurance: Mathematics and Economics 61, 170-180, 2015 | 33 | 2015 |
| Fourier-cosine method for ruin probabilities KW Chau, SCP Yam, H Yang Journal of computational and applied mathematics 281, 94-106, 2015 | 27 | 2015 |
| Stochastic grid bundling method for backward stochastic differential equations KW Chau, CW Oosterlee International Journal of Computer Mathematics 96 (11), 2272-2301, 2019 | 13 | 2019 |
| On the wavelet-based SWIFT method for backward stochastic differential equations KW Chau, CW Oosterlee IMA Journal of Numerical Analysis 38 (2), 1051-1083, 2018 | 8 | 2018 |
| Monte-Carlo methods for the pricing of American options: a semilinear BSDE point of view B Bouchard, KW Chau, A Manai, A Sid-Ali ESAIM: Proceedings and Surveys 65, 294-308x, 2019 | 6 | 2019 |
| An SGBM-XVA demonstrator: a scalable Python tool for pricing XVA KW Chau, J Tang, CW Oosterlee Journal of Mathematics in Industry 10 (1), 7, 2020 | 3 | 2020 |
| Exploration of a cosine expansion lattice scheme KW Chau, CW Oosterlee arXiv preprint arXiv:1907.02758, 2019 | 1 | 2019 |
| Comparative risk aversion vs. threshold choice in the Omega ratio AG Balter, KW Chau, N Schweizer Omega 123, 102992, 2024 | | 2024 |
| Rule-based strategies for dynamic life cycle investment TRB den Haan, KW Chau, M van der Schans, CW Oosterlee European Actuarial Journal 12 (1), 189-213, 2022 | | 2022 |
| Rabin’s calibration theorem revisited AG Balter, KW Chau, N Schweizer Economics Letters 210, 110166, 2022 | | 2022 |
| Fourier-cosine method for insurance risk theory K Chau HKU Theses Online (HKUTO), 2014 | | 2014 |
Cornelis W. OosterleeUtrecht University, Mathematical InstituteVerified email at uu.nl
