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NL

prof. dr. B.D. (Drona) Kandhai

Faculty of Science
Informatics Institute

Visiting address
  • Science Park 904
  • Room number: C3.142
Postal address
  • Postbus 94323
    1090 GH Amsterdam
Contact details
  • Publications

    2019

    • Moysiadis, G., Anagnostou, I., & Kandhai, B. D. (2019). Calibrating the Mean-Reversion Parameter in the Hull-White Model Using Neural Networks. In ECML PKDD 2018 Workshops (pp. 23-36). (Lecture Notes in Computer Science; Vol. 11054). Springer, Cham. DOI: 10.1007/978-3-030-13463-1_2

    2018

    • Boersma, M., Sourabh, S., Hoogduin, L., & Kandhai, B. D. (Accepted/In press). Financial statement networks: an application of network theory in audit. The Journal of Network Theory in Finance, 4(4), 59-85.
    • Anagnostou, I., Sourabh, S., & Kandhai, D. (2018). Incorporating Contagion in Portfolio Credit Risk Models Using Network Theory. Complexity, 2018, [6076173]. DOI: 10.1155/2018/6076173 [details]
    • Sourabh, S., Hofer, M., & Kandhai, D. (2018). Liquidity risk in derivatives valuation: an improved credit proxy method. Quantitative Finance, 18(3), 467-481 . DOI: 10.1080/14697688.2017.1315166 [details]

    2017

    2016

    • Simaitis, S., de Graaf, C. S. L., Hari, N., & Kandhai, D. (2016). Smile and Default: The Role of Stochastic Volatility and Interest Rates in Counterparty Credit Risk. Quantitative Finance, 16(11), 1725-1740. DOI: 10.1080/14697688.2016.1176240 [details]

    2014

    • de Graaf, C. S. L., Feng, Q., Kandhai, D., & Oosterlee, C. W. (2014). Efficient Computation of Exposure Profiles for Counterparty Credit Risk. International Journal of Theoretical and Applied Finance, 17(4), [1450024]. DOI: 10.1142/S0219024914500241 [details]
    • Savickas, V., Hari, N., Wood, T., & Kandhai, D. (2014). Super Fast Greeks: An Application to Counterparty Valuation Adjustments. Wilmott, 69, 76-80. DOI: 10.1002/wilm.10291 [details]

    2013

    2012

    • Qiu, G., Kandhai, D., Johnson, N. F., & Sloot, P. M. A. (2012). Understanding complex dynamics in derivatives finance: why do options markets smile? Advances in Complex Systems, 15(5), [1250050]. DOI: 10.1142/S0219525912500506 [details]

    2010

    • Qiu, G., Kandhai, D., & Sloot, P. M. A. (2010). Modeling options markets by focusing on active tradersr. Procedia Computer Science, 1, 2457-2462. DOI: 10.1016/j.procs.2010.04.277 [details]

    2007

    • Qiu, G., Kandhai, B. D., & Sloot, P. M. A. (2007). Understanding the complex dynamics of stock markets through cellular automata. Physical Review E, 75, 046116. [details]

    2006

    • Kromkamp, J., van den Ende, D., Kandhai, B. D., Sman, R. G. M., & Boom, R. M. (2006). Lattice Boltzmann simulation of 2D and 3D non-Brownian suspensions in Couette flow. Chemical Engineering Science, 61, 858-873. DOI: 10.1016/j.ces.2005.08.011 [details]

    2005

    • Kromkamp, J., van den Ende, D., Kandhai, B. D., Sman, R. G. M., & Boom, R. M. (2005). Shear-induced self-diffusion and microstructure in non-Brownian suspensions at non-zero Reynolds numbers. Journal of Fluid Mechanics, 529, 253-278. DOI: 10.1017/S0022112005003551 [details]
    • Rohde, M., Kandhai, B. D., & den Akker, H. E. A. V. (2005). A generic, mass conservative local grid refinement technique for lattice-Boltzmann schemes. International Journal for Numerical Methods in Fluids, 51, 439-468. DOI: 10.1002/fld.1140

    2004

    • Artoli, A. M. M., Kandhai, D., Hoefsloot, H. C. J., Hoekstra, A. G., & Sloot, P. M. A. (2004). Lattice BGK simulations of flow in a symmetric bifurcation. Future Generation Computer Systems, 20(6), 909-916. https://doi.org/10.1016/j.future.2003.12.002 [details]
    • Hlushkou, D., Kandhai, B. D., Seidel-Morgenstern, A., & Tallarek, U. (2004). Coupled lattice-Boltzmann method and finite-difference simulations of electroosmosis in microfluidic channels. International Journal for Numerical Methods in Fluids, 507-532.
    • van Wageningen, W. F. C., Kandhai, B. D., Mudde, R. F., & van den Akker, H. E. A. (2004). Dynamic flow in a Kenics static mixer: An assessment of various CFD methods. AIChE Journal, 50, 1684-1696. DOI: 10.1002/aic.10178

    2003

    • Artoli, A. M. M., Kandhai, B. D., Hoefsloot, H. C. J., Hoekstra, A. G., & Sloot, P. M. A. (2003). Lattice Boltzmann, a robust and accurate solver for interactive computational hemodynamics. In P. M. A. Sloot, D. Abrahamson, A. V. Bagdanov, J. J. Dongarra, A. Y. Zomaya, & Y. E. Gorbachev (Eds.), Computational Science - ICCS 2003 (Vol. 2657, pp. 1034-1043). Melbourne, Australia and St. Petersburg, Russia: Springer Verlag. [details]
    • Kandhai, B. D., Derksen, J. J., & den Akker, H. E. A. V. (2003). Interphase drag coefficients in gas-solid flows. AIChE Journal, 49, 1060-1065. DOI: 10.1002/aic.690490423
    • Rohde, M., Kandhai, B. D., Derksen, J. J., & den Akker, H. E. A. V. (2003). Improved bounce-back methods for no-slip walls in lattice-Boltzmann schemes: Theory and simulations. Physical Review E, 67, 066703.

    2002

    • Kandhai, B. D., Tallarek, U., Hlushkou, D., Hoekstra, A. G., Sloot, P. M. A., & van As, H. (2002). Numerical simulation and measurement of liquid hold-up in biporous media containing discrete stagnant zones. Philosophical Transactions of the Royal Society A - Mathematical, Physical and Engineering Sciences, 360, 521-534. DOI: 10.1098/rsta.2001.0952
    • Kandhai, B. D., Hlushkou, D., Hoekstra, A. G., Sloot, P. M. A., van As, H., & Tallarek, U. (2002). Influence of Stagnant Zones on Transient and Asymptotic Dispersion in Macroscopically Homogeneous Porous Media. Physical Review Letters, 88(23), 1-4. [details]

    2001

    • Artoli, A. M. M., Kandhai, B. D., Hoefsloot, H. G., Hoekstra, A. G., & Sloot, P. M. A. (2001). Shear Stress in Lattice Boltzmann Simulations. In F. Hossfeld, & K. Binder (Eds.), Europhysics Conference on Computational Physics in series Publication Series of the John von Neumann Institute for computing (Vol. 8, pp. A127) [details]
    • Kandhai, B. D., Koponen, A., Hoekstra, A. G., & Sloot, P. M. A. (2001). Iterative momentum relaxation for fast lattice-Boltzmann Simulations. Future Generation Computer Systems, 18(1), 89-96. https://doi.org/10.1016/S0167-739X(00)00078-9 [details]
    • Weerts, A. H., Kandhai, B. D., Bouten, W., & Sloot, P. M. A. (2001). Tortuosity of an Unsaturated Sandy Soil Estimated using Gas diffusion and Bulk Soil Electrical Conductivity: Comparing analogy-based Models and Lattice-Boltzmann Simulatons. Soil Science Society of America Journal, 65(6), 1577-1584. DOI: 10.2136/sssaj2001.1577 [details]

    2000

    • Kandhai, B. D., Soll, W., Chen, S., Hoekstra, A. G., & Sloot, P. M. A. (2000). Finite-Difference Lattice-BGK Methods on Nested Grids. Computer Physics Communications, 129, 100-109. DOI: 10.1016/S0010-4655(00)00097-7 [details]
    • Bal, H., Bhoedjang, R., Hofman, R., Jacobs, C., Kielmann, T., Maassen, J., ... van der Steen, A. (2000). The Distributed ASCI supercomputer project. Operating Systems Review, 34(4), 76-96. DOI: 10.1145/506106.506115 [details]
    • Claque, D. S., Kandhai, B. D., Zhang, R., & Sloot, P. M. A. (2000). On the Hydraulic Permeability of (Un)Bounded Fibrous Media Using the Lattice-Boltzmann Method. Physical Review E, 61(1), 616-625. https://doi.org/10.1103/PhysRevE.61.616 [details]

    2003

    • Artoli, A. M. M., Kandhai, B. D., Hoefsloot, H. C. J., Hoekstra, A. G., & Sloot, P. M. A. (2003). Lattice Boltzmann: a robust and accurate solver for interactive computational hymodynamics. Lecture Notes in Computer Science, 1034-1043. [details]

    2002

    • Kandhai, B. D., Tallarek, U., Hlushkou, D., Hoekstra, A. G., Sloot, P. M. A., & van As, H. (2002). Numerical simulation and measurement of liquid hold-up in biporous media containing discrete stagnant zones. Philosophical Transactions of the Royal Society A - Mathematical, Physical and Engineering Sciences, 360(1792), 521-534. DOI: 10.1098/rsta.2001.0952 [details]

    2016

    • de Graaf, C. S. L. (2016). Efficient PDE based numerical estimation of credit and liquidity risk measures for realistic derivative portfolios [details]
    This list of publications is extracted from the UvA-Current Research Information System. Questions? Ask the library or the Pure staff of your faculty / institute. Log in to Pure to edit your publications. Log in to Personal Page Publication Selection tool to manage the visibility of your publications on this list.
  • Ancillary activities
    • ING Bank
      Quantitative Analytics