Lech A. Grzelak

Available identifiers

zbMath Open grzelak.lech-aMaRDI QIDQ465087

List of research outcomes

Publication	Date of Publication	Type
Consistent asset modelling with random coefficients and switches between regimes	2025-01-09	Paper
Efficient wrong-way risk modeling for funding valuation adjustments	2024-11-06	Paper
Accelerated computations of sensitivities for xVA*	2024-10-28	Paper
Efficient pricing and calibration of high-dimensional basket options	2024-10-28	Paper
On pricing of discrete Asian and Lookback options under the Heston model	2024-10-28	Paper
Monte Carlo simulation of SDEs using GANs	2023-10-13	Paper
GPU acceleration of the Seven-League Scheme for large time step simulations of stochastic differential equations	2023-02-10	Paper
SENSITIVITIES AND HEDGING OF THE COLLATERAL CHOICE OPTION	2022-11-16	Paper
PRICING AND HEDGING PREPAYMENT RISK IN A MORTGAGE PORTFOLIO	2022-09-22	Paper
Sparse grid method for highly efficient computation of exposures for xVA	2022-08-26	Paper
Cheapest-to-deliver collateral: a common factor approach	2022-05-27	Paper
The collocating local volatility framework – a fresh look at efficient pricing with smile	2022-02-16	Paper
A neural network-based framework for financial model calibration	2021-04-27	Paper
A computational approach to hedging credit valuation adjustment in a jump-diffusion setting	2021-04-01	Paper
COLLOCATING VOLATILITY: A COMPETITIVE ALTERNATIVE TO STOCHASTIC LOCAL VOLATILITY MODELS	2021-01-29	Paper
The Seven-League Scheme: Deep learning for large time step Monte Carlo simulations of stochastic differential equations	2020-09-07	Paper
Mathematical Modeling and Computation in Finance	2019-12-19	Paper
The stochastic collocation Monte Carlo sampler: highly efficient sampling from ‘expensive’ distributions	2019-09-26	Paper
Uncertainty quantification and Heston model	2019-07-10	Paper
On a one time-step Monte Carlo simulation approach of the SABR model: application to European options	2019-03-27	Paper
A Highly Efficient Numerical Method for the SABR Model	2019-02-28	Paper
A novel Monte Carlo approach to hybrid local volatility models	2018-11-19	Paper
On an efficient multiple time step Monte Carlo simulation of the SABR model	2018-11-19	Paper
On Cross-Currency Models with Stochastic Volatility and Correlated Interest Rates	2017-10-05	Paper
https://portal.mardi4nfdi.de/entity/Q3195637	2015-10-20	Paper
THE HESTON STOCHASTIC-LOCAL VOLATILITY MODEL: EFFICIENT MONTE CARLO SIMULATION	2015-01-21	Paper
Analysis of an affine version of the Heston-Hull-White option pricing partial differential equation	2014-10-31	Paper
Pricing inflation products with stochastic volatility and stochastic interest rates	2014-04-03	Paper
The affine Heston model with correlated Gaussian interest rates for pricing hybrid derivatives	2013-12-13	Paper
Extension of stochastic volatility equity models with the Hull–White interest rate process	2012-06-25	Paper
Efficient pricing of commodity options with early-exercise under the Ornstein-Uhlenbeck process	2012-01-04	Paper
On the Heston Model with Stochastic Interest Rates	2011-05-02	Paper

Research outcomes over time

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