Lech A. Grzelak

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Person:465087

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zbMath Open grzelak.lech-aMaRDI QIDQ465087

List of research outcomes

PublicationDate of PublicationType
Monte Carlo simulation of SDEs using GANs2023-10-13Paper
GPU acceleration of the Seven-League Scheme for large time step simulations of stochastic differential equations2023-02-10Paper
SENSITIVITIES AND HEDGING OF THE COLLATERAL CHOICE OPTION2022-11-16Paper
PRICING AND HEDGING PREPAYMENT RISK IN A MORTGAGE PORTFOLIO2022-09-22Paper
Sparse grid method for highly efficient computation of exposures for xVA2022-08-26Paper
Cheapest-to-deliver collateral: a common factor approach2022-05-27Paper
The collocating local volatility framework – a fresh look at efficient pricing with smile2022-02-16Paper
A neural network-based framework for financial model calibration2021-04-27Paper
A computational approach to hedging credit valuation adjustment in a jump-diffusion setting2021-04-01Paper
COLLOCATING VOLATILITY: A COMPETITIVE ALTERNATIVE TO STOCHASTIC LOCAL VOLATILITY MODELS2021-01-29Paper
The Seven-League Scheme: Deep learning for large time step Monte Carlo simulations of stochastic differential equations2020-09-07Paper
Mathematical Modeling and Computation in Finance2019-12-19Paper
The stochastic collocation Monte Carlo sampler: highly efficient sampling from ‘expensive’ distributions2019-09-26Paper
Uncertainty quantification and Heston model2019-07-10Paper
On a one time-step Monte Carlo simulation approach of the SABR model: application to European options2019-03-27Paper
A Highly Efficient Numerical Method for the SABR Model2019-02-28Paper
A novel Monte Carlo approach to hybrid local volatility models2018-11-19Paper
On an efficient multiple time step Monte Carlo simulation of the SABR model2018-11-19Paper
On Cross-Currency Models with Stochastic Volatility and Correlated Interest Rates2017-10-05Paper
https://portal.mardi4nfdi.de/entity/Q31956372015-10-20Paper
THE HESTON STOCHASTIC-LOCAL VOLATILITY MODEL: EFFICIENT MONTE CARLO SIMULATION2015-01-21Paper
Analysis of an affine version of the Heston-Hull-White option pricing partial differential equation2014-10-31Paper
Pricing inflation products with stochastic volatility and stochastic interest rates2014-04-03Paper
The affine Heston model with correlated Gaussian interest rates for pricing hybrid derivatives2013-12-13Paper
Extension of stochastic volatility equity models with the Hull–White interest rate process2012-06-25Paper
Efficient pricing of commodity options with early-exercise under the Ornstein-Uhlenbeck process2012-01-04Paper
On the Heston Model with Stochastic Interest Rates2011-05-02Paper

Research outcomes over time


Doctoral students

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