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Lech A. Grzelak

Personal Details

First Name:Lech
Middle Name:A.
Last Name:Grzelak
Suffix:
RePEc Short-ID:pgr308
[This author has chosen not to make the email address public]
https://lechgrzelak.com

Affiliation

Tjalling C. Koopmans Research Institute
School of Economics
Universiteit Utrecht

Utrecht, Netherlands
http://www.uu.nl/faculty/leg/NL/organisatie/departementen/departementeconomie/organisatie/TjallingCKoopmansInstituut/
RePEc:edi:triuunl (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Lech A. Grzelak, 2022. "On Randomization of Affine Diffusion Processes with Application to Pricing of Options on VIX and S&P 500," Papers 2208.12518, arXiv.org.
  2. Lech A. Grzelak & Juliusz Jablecki & Dariusz Gatarek, 2022. "Efficient Pricing and Calibration of High-Dimensional Basket Options," Papers 2206.09877, arXiv.org.
  3. Griselda Deelstra & Lech A. Grzelak & Felix L. Wolf, 2022. "Sensitivities and Hedging of the Collateral Choice Option," Papers 2207.10373, arXiv.org, revised Aug 2022.
  4. T. van der Zwaard & L. A. Grzelak & C. W. Oosterlee, 2022. "Relevance of Wrong-Way Risk in Funding Valuation Adjustments," Papers 2204.02680, arXiv.org, revised Jun 2022.
  5. Emanuele Casamassima & Lech A. Grzelak & Frank A. Mulder & Cornelis W. Oosterlee, 2021. "Pricing and Hedging Prepayment Risk in a Mortgage Portfolio," Papers 2109.14977, arXiv.org, revised Oct 2021.
  6. Leonardo Perotti & Lech A. Grzelak, 2021. "Fast Sampling from Time-Integrated Bridges using Deep Learning," Papers 2111.13901, arXiv.org.
  7. Felix L. Wolf & Lech A. Grzelak & Griselda Deelstra, 2021. "Cheapest-to-Deliver Collateral: A Common Factor Approach," Papers 2103.06107, arXiv.org, revised Sep 2021.
  8. Jorino van Rhijn & Cornelis W. Oosterlee & Lech A. Grzelak & Shuaiqiang Liu, 2021. "Monte Carlo Simulation of SDEs using GANs," Papers 2104.01437, arXiv.org.
  9. Lech A. Grzelak, 2021. "Sparse Grid Method for Highly Efficient Computation of Exposures for xVA," Papers 2104.14319, arXiv.org, revised May 2022.
  10. Shuaiqiang Liu & Lech A. Grzelak & Cornelis W. Oosterlee, 2020. "The Seven-League Scheme: Deep learning for large time step Monte Carlo simulations of stochastic differential equations," Papers 2009.03202, arXiv.org, revised Sep 2021.
  11. T. van der Zwaard & L. A. Grzelak & C. W. Oosterlee, 2020. "A Computational Approach to Hedging Credit Valuation Adjustment in a Jump-Diffusion Setting," Papers 2005.10504, arXiv.org, revised Sep 2020.
  12. Shuaiqiang Liu & Anastasia Borovykh & Lech A. Grzelak & Cornelis W. Oosterlee, 2019. "A neural network-based framework for financial model calibration," Papers 1904.10523, arXiv.org.
  13. Grzelak, Lech & Oosterlee, Kees, 2010. "An Equity-Interest Rate Hybrid Model With Stochastic Volatility and the Interest Rate Smile," MPRA Paper 20574, University Library of Munich, Germany.
  14. Grzelak, Lech & Oosterlee, Kees, 2010. "On cross-currency models with stochastic volatility and correlated interest rates," MPRA Paper 23020, University Library of Munich, Germany.
  15. Grzelak, Lech & Oosterlee, Kees, 2009. "On The Heston Model with Stochastic Interest Rates," MPRA Paper 20620, University Library of Munich, Germany, revised 18 Jan 2010.

Articles

  1. F. L. Wolf & L. A. Grzelak & G. Deelstra, 2022. "Cheapest-to-deliver collateral: a common factor approach," Quantitative Finance, Taylor & Francis Journals, vol. 22(4), pages 707-723, April.
  2. Shuaiqiang Liu & Lech A. Grzelak & Cornelis W. Oosterlee, 2022. "The Seven-League Scheme: Deep Learning for Large Time Step Monte Carlo Simulations of Stochastic Differential Equations," Risks, MDPI, vol. 10(3), pages 1-27, February.
  3. van der Zwaard, Thomas & Grzelak, Lech A. & Oosterlee, Cornelis W., 2021. "A computational approach to hedging Credit Valuation Adjustment in a jump-diffusion setting," Applied Mathematics and Computation, Elsevier, vol. 391(C).
  4. Anthonie W. Van Der Stoep & Lech A. Grzelak & Cornelis W. Oosterlee, 2020. "Collocating Volatility: A Competitive Alternative To Stochastic Local Volatility Models," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 23(06), pages 1-42, September.
  5. L. A. Grzelak & J. A. S. Witteveen & M. Suárez-Taboada & C. W. Oosterlee, 2019. "The stochastic collocation Monte Carlo sampler: highly efficient sampling from ‘expensive’ distributions," Quantitative Finance, Taylor & Francis Journals, vol. 19(2), pages 339-356, February.
  6. Anthonie W. van der Stoep & Lech A. Grzelak & Cornelis W. Oosterlee, 2017. "A novel Monte Carlo approach to hybrid local volatility models," Quantitative Finance, Taylor & Francis Journals, vol. 17(9), pages 1347-1366, September.
  7. Álvaro Leitao & Lech A. Grzelak & Cornelis W. Oosterlee, 2017. "On an efficient multiple time step Monte Carlo simulation of the SABR model," Quantitative Finance, Taylor & Francis Journals, vol. 17(10), pages 1549-1565, October.
  8. Leitao, Álvaro & Grzelak, Lech A. & Oosterlee, Cornelis W., 2017. "On a one time-step Monte Carlo simulation approach of the SABR model: Application to European options," Applied Mathematics and Computation, Elsevier, vol. 293(C), pages 461-479.
  9. Anthonie W. Van Der Stoep & Lech A. Grzelak & Cornelis W. Oosterlee, 2015. "The Time-Dependent Fx-Sabr Model: Efficient Calibration Based On Effective Parameters," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 18(06), pages 1-38.
  10. Anthonie W. Van Der Stoep & Lech A. Grzelak & Cornelis W. Oosterlee, 2014. "The Heston Stochastic-Local Volatility Model: Efficient Monte Carlo Simulation," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 17(07), pages 1-30.
  11. Singor, Stefan N. & Grzelak, Lech A. & van Bragt, David D.B. & Oosterlee, Cornelis W., 2013. "Pricing inflation products with stochastic volatility and stochastic interest rates," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 286-299.
  12. Lech A. Grzelak & Cornelis W. Oosterlee & Sacha Van Weeren, 2012. "Extension of stochastic volatility equity models with the Hull--White interest rate process," Quantitative Finance, Taylor & Francis Journals, vol. 12(1), pages 89-105, July.
  13. Lech A. Grzelak & Cornelis W. Oosterlee, 2012. "On Cross-Currency Models with Stochastic Volatility and Correlated Interest Rates," Applied Mathematical Finance, Taylor & Francis Journals, vol. 19(1), pages 1-35, February.
  14. Lech Grzelak & Cornelis Oosterlee & Sacha Van Weeren, 2011. "The affine Heston model with correlated Gaussian interest rates for pricing hybrid derivatives," Quantitative Finance, Taylor & Francis Journals, vol. 11(11), pages 1647-1663.

More information

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Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 11 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-CMP: Computational Economics (6) 2019-04-29 2020-06-29 2020-09-21 2021-04-12 2021-05-03 2022-01-10. Author is listed
  2. NEP-RMG: Risk Management (5) 2020-06-29 2021-05-03 2021-10-04 2022-05-09 2022-09-26. Author is listed
  3. NEP-BIG: Big Data (3) 2019-04-29 2020-09-21 2022-01-10
  4. NEP-CWA: Central and Western Asia (2) 2021-04-12 2021-10-04
  5. NEP-BAN: Banking (1) 2022-05-09
  6. NEP-FMK: Financial Markets (1) 2010-02-20
  7. NEP-IFN: International Finance (1) 2010-06-11
  8. NEP-URE: Urban and Real Estate Economics (1) 2021-10-04

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