Lech A. Grzelak

18 papers Journal 18
YearRankTypeTitle / Venue / Authors
2026 J jnl
Basket options with volatility skew: Calibrating a local volatility model by sample rearrangement.
Appl. Math. Comput.
Nicola F. Zaugg, Lech A. Grzelak
2026 J jnl
Modeling and replication of the prepayment option of mortgages including behavioral uncertainty.
J. Comput. Appl. Math.
Leonardo Perotti, Lech A. Grzelak, Cornelis W. Oosterlee
2026 J jnl
On randomization of affine diffusion processes with application to pricing of options on VIX and S&P 500.
Appl. Math. Comput.
Lech A. Grzelak
2025 J jnl
Volatility Parametrizations with Random Coefficients: Analytic Flexibility for Implied Volatility Surfaces.
SIAM J. Financial Math.
Nicola F. Zaugg, Leonardo Perotti, Lech A. Grzelak
2024 J jnl
Accelerated computations of sensitivities for xVA.
Int. J. Comput. Math.
Griselda Deelstra, Lech A. Grzelak, Felix L. Wolf
2024 J jnl
Consistent asset modelling with random coefficients and switches between regimes.
Math. Comput. Simul.
Felix L. Wolf, Griselda Deelstra, Lech A. Grzelak
2024 J jnl
Efficient pricing and calibration of high-dimensional basket options.
Int. J. Comput. Math.
Lech A. Grzelak, Juliusz Jablecki, Dariusz Gatarek
2024 J jnl
On pricing of discrete Asian and Lookback options under the Heston model.
Int. J. Comput. Math.
Leonardo Perotti, Lech A. Grzelak
2023 J jnl
GPU acceleration of the Seven-League Scheme for large time step simulations of stochastic differential equations.
CoRR
Shuaiqiang Liu, Graziana Colonna, Lech A. Grzelak, Cornelis W. Oosterlee
2022 J jnl
Sparse grid method for highly efficient computation of exposures for xVA.
Appl. Math. Comput.
Lech A. Grzelak
2021 J jnl
A computational approach to hedging Credit Valuation Adjustment in a jump-diffusion setting.
Appl. Math. Comput.
Thomas van der Zwaard, Lech A. Grzelak, Cornelis W. Oosterlee
2021 J jnl
Monte Carlo Simulation of SDEs using GANs.
CoRR
Jorino van Rhijn, Cornelis W. Oosterlee, Lech A. Grzelak, Shuaiqiang Liu
2020 J jnl
The Seven-League Scheme: Deep learning for large time step Monte Carlo simulations of stochastic differential equations.
CoRR
Shuaiqiang Liu, Lech A. Grzelak, Cornelis W. Oosterlee
2019 J jnl
A neural network-based framework for financial model calibration.
CoRR
Shuaiqiang Liu, Anastasia Borovykh, Lech A. Grzelak, Cornelis W. Oosterlee
2019 J jnl
The collocating local volatility framework - a fresh look at efficient pricing with smile.
Int. J. Comput. Math.
Lech A. Grzelak
2017 J jnl
On a one time-step Monte Carlo simulation approach of the SABR model: Application to European options.
Appl. Math. Comput.
Álvaro Leitao, Lech A. Grzelak, Cornelis W. Oosterlee
2011 J jnl
On the Heston Model with Stochastic Interest Rates.
SIAM J. Financial Math.
Lech A. Grzelak, Cornelis W. Oosterlee
2009 J jnl
Fast Pricing of Hybrid Derivative Products.
ERCIM News
Cornelis W. Oosterlee, Lech A. Grzelak