The following pages link to Lech A. Grzelak (Q465087):
Displaying 18 items.
- Analysis of an affine version of the Heston-Hull-White option pricing partial differential equation (Q465088) (← links)
- (Q655546) (redirect page) (← links)
- Efficient pricing of commodity options with early-exercise under the Ornstein-Uhlenbeck process (Q655547) (← links)
- On a one time-step Monte Carlo simulation approach of the SABR model: application to European options (Q1737183) (← links)
- A neural network-based framework for financial model calibration (Q2022121) (← links)
- Sparse grid method for highly efficient computation of exposures for xVA (Q2168601) (← links)
- Uncertainty quantification and Heston model (Q2311188) (← links)
- Pricing inflation products with stochastic volatility and stochastic interest rates (Q2442529) (← links)
- A computational approach to hedging credit valuation adjustment in a jump-diffusion setting (Q2661050) (← links)
- The affine Heston model with correlated Gaussian interest rates for pricing hybrid derivatives (Q2866378) (← links)
- Extension of stochastic volatility equity models with the Hull–White interest rate process (Q2893077) (← links)
- THE HESTON STOCHASTIC-LOCAL VOLATILITY MODEL: EFFICIENT MONTE CARLO SIMULATION (Q2941062) (← links)
- On the Heston Model with Stochastic Interest Rates (Q2996525) (← links)
- (Q3195637) (← links)
- A novel Monte Carlo approach to hybrid local volatility models (Q4555144) (← links)
- On an efficient multiple time step Monte Carlo simulation of the SABR model (Q4555160) (← links)
- Mathematical Modeling and Computation in Finance (Q5207029) (← links)
- Monte Carlo simulation of SDEs using GANs (Q6072362) (← links)
