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2024

• Article
  Aleksander Janczewski, Ioannis Anagnostou, and Drona Kandhai. Inferring Dealer Networks in the Foreign Exchange Market Using Conditional Transfer Entropy. Entropy 26(9), 738.
  Abstract Citation Links
• Article
  J. H. Hoencamp, S. Jain, and B. D. Kandhai. A static replication approach for callable interest rate derivatives: mathematical foundations and efficient estimation of SIMM–MVA. Quantitative Finance 24(3-4), pp. 409-432.
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2023

• Article
  M. Boersma, J. Wolsink, S. Sourabh, L. A. Hoogduin, and D. Kandhai. Measure cross-sectoral structural similarities from financial networks. Scientific Reports 13, 7124.
  Abstract Citation Links
• Article
  J. Hoencamp, S. Jain, and D. Kandhai. A Semi-Static Replication Method for Bermudan Swaptions under an Affine Multi-Factor Model. Risks 11(10), 168.
  Abstract Citation Links

2022

• Article
  J. H. Hoencamp, J. P. de Kort, and B. D. Kandhai. The Impact of Stochastic Volatility on Initial Margin and MVA for Interest Rate Derivatives. Applied Mathematical Finance 29(2), pp. 141-179.
  Abstract Citation Links

2021

• Article
  I. Anagnostou, T. Squartini, D. Kandhai, and D. Garlaschelli. Uncovering the mesoscale structure of the credit default swap market to improve portfolio risk modelling. Quantitative Finance 21(9), pp. 1501-1518.
  Abstract Citation Links

2020

• Article
  I. Anagnostou, J. Sanchez Rivero, S. Sourabh, and D. Kandhai. Contagious defaults in a credit portfolio: a Bayesian network approach. Journal of Credit Risk 16(1), pp. 1-26.
  Abstract Citation Links
• Article
  M. Boersma, A. Maliutin, S. Sourabh, L. A. Hoogduin, and D. Kandhai. Reducing the complexity of financial networks using network embeddings. Scientific Reports 10, 17045.
  Abstract Citation Links

2019

• Article
  I. Anagnostou and D. Kandhai. Risk Factor Evolution for Counterparty Credit Risk under a Hidden Markov Model. Risks 7(2), 66.
  Abstract Citation Links
• Chapter
  G. Moysiadis, I. Anagnostou, and D. Kandhai. Calibrating the Mean-Reversion Parameter in the Hull-White Model Using Neural Networks. In: ECML PKDD 2018 Workshops. ISBN 9783030134631. pp. 23-36.
  Abstract Citation Links

2018

• Article
  S. Sourabh, M. Hofer, and D. Kandhai. Liquidity risk in derivatives valuation: an improved credit proxy method. Quantitative Finance 18(3), pp. 467-481.
  Abstract Citation Links
• Article
  I. Anagnostou, S. Sourabh, and D. Kandhai. Incorporating Contagion in Portfolio Credit Risk Models Using Network Theory. Complexity 2018, 6076173.
  Abstract Citation Links
• Article
  M. Boersma, S. Sourabh, L. Hoogduin, and D. Kandhai. Financial statement networks: an application of network theory in audit. The Journal of Network Theory in Finance 4(4), pp. 59-85.
  Abstract Citation Links

2017

• Article
  C. S. L. de Graaf, D. Kandhai, and P. M. A. Sloot. Efficient Estimation of Sensitivities for Counterparty Credit Risk with the Finite Difference Monte Carlo Method. Journal of Computational Finance 21(1), pp. 83-113.
  Abstract Citation Links

2016

• Article
  S. Simaitis, C. S. L. de Graaf, N. Hari, and D. Kandhai. Smile and Default: The Role of Stochastic Volatility and Interest Rates in Counterparty Credit Risk. Quantitative Finance 16(11), pp. 1725-1740.
  Abstract Citation Links
• Article
  Qian Feng, Shashi Jain, Patrik Karlsson, Drona Kandhai, and Cornelis W Oosterlee. Efficient computation of exposure profiles on real-world and risk-neutral scenarios for Bermudan swaptions. Journal of Computational Finance 20(1), pp. 139-172.
  Citation Links

2014

• Article
  C. S. L. de Graaf, Q. Feng, D. Kandhai, and C. W. Oosterlee. Efficient Computation of Exposure Profiles for Counterparty Credit Risk. International Journal of Theoretical and Applied Finance 17(4), 1450024.
  Abstract Citation Links
• Article
  V. Savickas, N. Hari, T. Wood, and D. Kandhai. Super Fast Greeks: An Application to Counterparty Valuation Adjustments. Wilmott 69, pp. 76-80.
  Abstract Citation Links

2013

• Article
  R. Quax, D. Kandhai, and P. M. A. Sloot. Information dissipation as an early-warning signal for the Lehman Brothers collapse in financial time series. Scientific Reports 3, 1898.
  Abstract Citation Links

2012

• Article
  G. Qiu, D. Kandhai, N. F. Johnson, and P. M. A. Sloot. Understanding complex dynamics in derivatives finance: why do options markets smile?. Advances in Complex Systems 15(5), 1250050.
  Abstract Citation Links

2010

• Article
  G. Qiu, D. Kandhai, and P. M. A. Sloot. Modeling options markets by focusing on active tradersr. Procedia Computer Science 1(1), pp. 2457-2462.
  Abstract Citation Links

2007

• Article
  G. Qiu, B. D. Kandhai, and P. M. A. Sloot. Understanding the complex dynamics of stock markets through cellular automata. Physical Review E - Statistical, Nonlinear, and Soft Matter Physics 75, p. 046116.
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2006

• Article
  J. Kromkamp, D. van den Ende, B. D. Kandhai, R. G. M. Sman, and R. M. Boom. Lattice Boltzmann simulation of 2D and 3D non-Brownian suspensions in Couette flow. Chemical Engineering Science 61, pp. 858-873.
  Citation Links

2005

• Article
  M. Rohde, B. D. Kandhai, and H. E. A. Van den Akker. A generic, mass conservative local grid refinement technique for lattice-Boltzmann schemes. International Journal for Numerical Methods in Fluids 51, pp. 439-468.
  Citation Links
• Article
  J. Kromkamp, D. van den Ende, B. D. Kandhai, R. G. M. Sman, and R. M. Boom. Shear-induced self-diffusion and microstructure in non-Brownian suspensions at non-zero Reynolds numbers. Journal of Fluid Mechanics 529, pp. 253-278.
  Citation Links

2004

• Article
  W. F. C. van Wageningen, B. D. Kandhai, R. F. Mudde, and H. E. A. van den Akker. Dynamic flow in a Kenics static mixer: An assessment of various CFD methods. AIChE Journal 50, pp. 1684-1696.
  Citation Links
• Article
  A. M. M. Artoli, D. Kandhai, H. C. J. Hoefsloot, A. G. Hoekstra, and P. M. A. Sloot. Lattice BGK simulations of flow in a symmetric bifurcation. Future Generation Computer Systems 20(6), pp. 909-916.
  Citation Links
• Article
  D. Hlushkou, B. D. Kandhai, A. Seidel-Morgenstern, and U. Tallarek. Coupled lattice-Boltzmann method and finite-difference simulations of electroosmosis in microfluidic channels. International Journal for Numerical Methods in Fluids pp. 507-532.
  Citation Links

2003

• Article
  B. D. Kandhai, J. J. Derksen, and H. E. A. Van den Akker. Interphase drag coefficients in gas-solid flows. AIChE Journal 49, pp. 1060-1065.
  Citation Links
• Article
  M. Rohde, B. D. Kandhai, J. J. Derksen, and H. E. A. Van den Akker. Improved bounce-back methods for no-slip walls in lattice-Boltzmann schemes: Theory and simulations. Physical Review E - Statistical, Nonlinear, and Soft Matter Physics 67, p. 066703.
  Citation Links
• Proceedings
  A. M. M. Artoli, B. D. Kandhai, H. C. J. Hoefsloot, A. G. Hoekstra, and P. M. A. Sloot. Lattice Boltzmann, a robust and accurate solver for interactive computational hemodynamics. In: Computational Science - ICCS 2003. ISBN 3540401946, 9783540401940. 2657, pp. 1034-1043.
  Citation Links

2002

• Article
  B. D. Kandhai, D. Hlushkou, A. G. Hoekstra, P. M. A. Sloot, H. van As, and U. Tallarek. Influence of Stagnant Zones on Transient and Asymptotic Dispersion in Macroscopically Homogeneous Porous Media. Physical Review Letters 88(23), pp. 1-4.
  Citation Links
• Article
  B. D. Kandhai, U. Tallarek, D. Hlushkou, A. Hoekstra, P. M. A. Sloot, and H. Van As. 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), pp. 521-534.
  Abstract Citation Links

2001

• Proceedings
  A. M. M. Artoli, B. D. Kandhai, H. G. Hoefsloot, A. G. Hoekstra, and P. M. A. Sloot. Shear Stress in Lattice Boltzmann Simulations. In: Europhysics Conference on Computational Physics in series Publication Series of the John von Neumann Institute for computing. 8, p. A127.
  Citation Links
• Article
  B. D. Kandhai, A. Koponen, A. G. Hoekstra, and P. M. A. Sloot. Iterative momentum relaxation for fast lattice-Boltzmann Simulations. Future Generation Computer Systems 18(1), pp. 89-96.
  Citation Links
• Article
  A. H. Weerts, B. D. Kandhai, W. Bouten, and P. M. A. Sloot. Tortuosity of an Unsaturated Sandy Soil Estimated using Gas Diffusion and Bulk Soil Electrical Conductivity. Soil Science Society of America Journal 65(6), pp. 1577-1584.
  Abstract Citation Links

2000

• Article
  H. E. Bal, R. A. F. Bhoedjang, R. F. H. Hofman, C. J. H. Jacobs, T. Kielmann, J. Maassen, R. van Nieuwpoort, J. Romein, L. Renambot, T. Rühl, R. Veldema, K. Verstoep, A. Baggio, G. Ballintijn, I. Kuz, G. Pierre, M. R. van Steen, A. S. Tanenbaum, G. Doornbos, D. Germans, H. J. W. Spoelder, E.-J. Baerends, S. van Gisbergen, H. Afsarmanesh, G. D. van Albada, A. S. Z. Belloum, D. Dubbeldam, Z. W. Hendrikse, L. O. Hertzberger, A. G. Hoekstra, K. A. Iskra, B. D. Kandhai, D. C. Koelma, F. van der Linden, B. J. Overeinder, P. M. A. Sloot, P. F. Spinnato, D. H. J. Epema, A. van Gemund, P. P. Jonker, A. Radulescu, C. van Reeuwijk, H. J. Sips, P. M. W. Knijnenburg, M. Lew, F. Sluiter, L. Wolters, H. Blom, and A. J. van der Steen. The Distributed ASCI supercomputer project. Operating Systems Review 34(4), pp. 76-96.
  Abstract Citation Links
• Article
  D. S. Claque, B. D. Kandhai, R. Zhang, and P. M. A. Sloot. On the Hydraulic Permeability of (Un)Bounded Fibrous Media Using the Lattice-Boltzmann Method. Physical Review E - Statistical, Nonlinear, and Soft Matter Physics 61(1), pp. 616-625.
  Citation Links
• Article
  B. D. Kandhai, W. Soll, S. Chen, A. G. Hoekstra, and P. M. A. Sloot. Finite-Difference Lattice-BGK Methods on Nested Grids. Computer Physics Communications 129, pp. 100-109.
  Citation Links

1999

• Article
  B. D. Kandhai, A. Koponen, A. G. Hoekstra, M. Kataja, J. Timonen, and P. M. A. Sloot. Implementation aspects of 3d lattice-bgk: Boundaries, accuracy and a new fast relaxation method. Journal of comparative physiology 150, pp. 482-501.
  Citation Links
• Proceedings
  B. D. Kandhai, A. Koponen, A. G. Hoekstra, and P. M. A. Sloot. Iterative momentum relaxation for fast lattice-boltzmann simulations. In: Proceedings of the fifth annual conference of the Advanced School for Computing and Imaging ASCI, June 15-17, 1999. pp. 274-278.
  Citation Links
• Article
  B. D. Kandhai, A. Koponen, A. G. Hoekstra, and P. M. A. Sloot. Iterative momentum relaxation for fast lattice-boltzmann simulations. Lecture Notes in Computer Science 1593, pp. 311-318.
  Citation Links
• PhD Thesis
  B. D. Kandhai. Large Scale Lattice-Boltzmann Simulations: Computational Methods and Applications. Supervised by P. M. A. Sloot and A. G. Hoekstra.
  Citation Links
• Article
  D. Kandhai, D. J.-E. Vidal, A. G. Hoekstra, H. Hoefsloot, P. Iedema, and P. M. A. Sloot. Lattice-Boltzmann and finite element simulations of fluid flow in a SMRX static mixer reactor. International Journal for Numerical Methods in Fluids 31(6), pp. 1019-1033.
  Abstract Citation Links

1998

• Proceedings
  B. D. Kandhai, D. Dubbeldam, A. G. Hoekstra, and P. M. A. Sloot. Lattice Boltzmann hydrodynamics in Centrifugal Elutriation Chambers. In: Proceedings of the fourth annual conference of the Advanced School for Computing and Imaging. pp. 269-274.
  Citation
• Article
  B. D. Kandhai, A. Koponen, A. G. Hoekstra, M. Kataja, J. Timonen, and P. M. A. Sloot. Lattice Boltzmann Hydrodynamics on Parallel Systems. Computer Physics Communications 111, pp. 14-26.
  Citation Links
• Article
  A. Koponen, M. Kataja, J. Timonen, and B. D. Kandhai. Simulation of single-fluid flow in Porous Media. International Journal of Modern Physics C 9, pp. 1505-1522.
  Citation Links
• Article
  A. Koponen, B. D. Kandhai, E. Hellen, and M. Alava. Permeability of three-dimensional random fibre webs. Physical Review Letters 80, pp. 716-719.
  Citation Links
• Article
  B. D. Kandhai, D. Vidal, A. G. Hoekstra, H. C. J. Hoefsloot, P. Iedema, and P. M. A. Sloot. A comparison between lattice-boltzmann and finite element simulations of fluid flow in static mixer reactors. International Journal of Modern Physics C 9(8), pp. 1123-1128.
  Citation Links
• Proceedings
  D. Kandhai, D. Dubbeldam, A. G. Hoekstra, and P. M. A. Sloot. Parallel lattice-Boltzmann simulation of fluid flow in centrifugal elutration chambers. In: High-Performance Computing and Networking. ISBN 9783540697831. pp. 173-182.
  Abstract Citation Links
• Proceedings
  B. D. Kandhai, D. Dubbeldam, A. G. Hoekstra, and P. M. A. Sloot. Lattice boltzmann hydrodynamics in centrifugal elutriation chambers. In: ASCI'98 : proceedings of the fourth annual conference of the Advanced School for Computing and Imaging. ISBN 9080308633, 9789080308633. pp. 269-274.
  Citation Links

1997

• Chapter
  B. D. Kandhai, A. Koponen, A. G. Hoekstra, M. Kataja, J. Timonen, and P. M. A. Sloot. Performance of a parallel 3d lattice boltzmann code for simulating fluid flow. In: International Workshop on Physics of Structurally Disordered Materials.
  Citation Links
• Chapter
  A. Koponen, M. Kataja, J. Timonen, B. D. Kandhai, A. G. Hoekstra, and P. M. A. Sloot. Fluid flow in three-dimensional random fibre webs. In: CSC News, High Performance Computing and Networking in Finland. pp. 12-14.
  Citation Links
• Article
  A. Koponen, B. D. Kandhai, E. Hellen, M. Alava, A. G. Hoekstra, M. Kataja, K. Niskanen, P. M. A. Sloot, and J. Timonen. Permeability of three-dimensional random fibre webs. Physical Review Letters .
  Citation Links

1996

• Chapter
  B. D. Kandhai, P. M. A. Sloot, and J. P. Huot. Constrained migration of an atmospheric circulation model. In: HPCN Europe '96 Conference.
  Citation Links
• Chapter
  B. D. Kandhai, P. M. A. Sloot, and J. P. Huot. Constrained migration of an atmospheric circulation model. In: High-performance computing and networking. pp. 269-275.
  Citation Links
• Proceedings
  B. D. Kandhai, P. M. A. Sloot, and J. P. Huot. Constrained Migration: exploiting spatial locality. In: ASCI 1996 Conference Proceedings. pp. 60-65.
  Citation Links

1995

• MSc Thesis
  B. D. Kandhai. Parallelization of a simple general circulation model.
  Citation Links