C.W. Oosterlee

Prof. Dr. ir. C.W. (Kees) Oosterlee is a Professor of Mathematical Modeling at the Mathematical Institute, Faculty of Science, Utrecht University. He is also a part-time professor at TU Delft since 2007 and a scientist at Centrum Wiskunde & Informatica (CWI) in Amsterdam, where he was part of the management team.

• Education: Ingenieur (ir) from TU Delft (1989), Doctor (dr) from TU Delft (1993), Habilitation from Cologne (1999).
• Career: PhD in 1993, worked at GMD (now Fraunhofer SCAI) in Germany until 2002, then TU Delft and CWI.

Research Interests include computational finance, financial mathematics, and machine learning in finance. He develops advanced numerical methods like the COS method, SWIFT (Shannon Wavelet Inverse Fourier Transform), SGBM (Stochastic Grid Bundling Method), SCMC (Stochastic Collocation Monte Carlo), and the Seven-League scheme (7L). His work bridges Applied Data Science and Foundations of Complex Systems.

Scientific Awards and Ancillary Activities:

• Member of the Mathematics Board Lorentz Center (Leiden University, unpaid).
• Advisory Board Member for the SeMA Journal (Springer Verlag, unpaid) and World Scientific’s Annual Reviews in Modern Quantitative Finance (unpaid).
• Member of the NIAS-Lorentz Fellowship Board.

Teaching and Outreach include guest lectures at Oxford University, Hitotsubashi University, and University of A Coruna. He chairs the International Conference on Computational Finance (ICCF24) in 2024.