Details about Lech A. Grzelak

Access statistics for papers by Lech A. Grzelak.

Last updated 2022-09-18. Update your information in the RePEc Author Service.

Short-id: pgr308

Working Papers

2022

1. Efficient Pricing and Calibration of High-Dimensional Basket Options
   Papers, arXiv.org
2. On Randomization of Affine Diffusion Processes with Application to Pricing of Options on VIX and S&P 500
   Papers, arXiv.org View citations (8)
3. Relevance of Wrong-Way Risk in Funding Valuation Adjustments
   Papers, arXiv.org View citations (2)
4. Sensitivities and Hedging of the Collateral Choice Option
   Papers, arXiv.org
5. Sparse Grid Method for Highly Efficient Computation of Exposures for xVA
   Papers, arXiv.org View citations (3)

2021

6. Cheapest-to-Deliver Collateral: A Common Factor Approach
   Papers, arXiv.org
   See also Journal Article Cheapest-to-deliver collateral: a common factor approach, Quantitative Finance, Taylor & Francis Journals (2022) View citations (1) (2022)
7. Fast Sampling from Time-Integrated Bridges using Deep Learning
   Papers, arXiv.org
8. Monte Carlo Simulation of SDEs using GANs
   Papers, arXiv.org View citations (2)
9. Pricing and Hedging Prepayment Risk in a Mortgage Portfolio
   Papers, arXiv.org
10. The Seven-League Scheme: Deep learning for large time step Monte Carlo simulations of stochastic differential equations
    Papers, arXiv.org View citations (1)
    See also Journal Article The Seven-League Scheme: Deep Learning for Large Time Step Monte Carlo Simulations of Stochastic Differential Equations, Risks, MDPI (2022) View citations (3) (2022)

2020

11. A Computational Approach to Hedging Credit Valuation Adjustment in a Jump-Diffusion Setting
    Papers, arXiv.org
    See also Journal Article A computational approach to hedging Credit Valuation Adjustment in a jump-diffusion setting, Applied Mathematics and Computation, Elsevier (2021) View citations (3) (2021)

2019

12. A neural network-based framework for financial model calibration
    Papers, arXiv.org View citations (33)

2010

13. An Equity-Interest Rate Hybrid Model With Stochastic Volatility and the Interest Rate Smile
    MPRA Paper, University Library of Munich, Germany View citations (2)
14. On The Heston Model with Stochastic Interest Rates
    MPRA Paper, University Library of Munich, Germany View citations (49)
15. On cross-currency models with stochastic volatility and correlated interest rates
    MPRA Paper, University Library of Munich, Germany View citations (9)
    See also Journal Article On Cross-Currency Models with Stochastic Volatility and Correlated Interest Rates, Applied Mathematical Finance, Taylor & Francis Journals (2012) View citations (19) (2012)

Journal Articles

2022

1. Cheapest-to-deliver collateral: a common factor approach
   Quantitative Finance, 2022, 22, (4), 707-723 View citations (1)
   See also Working Paper Cheapest-to-Deliver Collateral: A Common Factor Approach, Papers (2021) (2021)
2. The Seven-League Scheme: Deep Learning for Large Time Step Monte Carlo Simulations of Stochastic Differential Equations
   Risks, 2022, 10, (3), 1-27 View citations (3)
   See also Working Paper The Seven-League Scheme: Deep learning for large time step Monte Carlo simulations of stochastic differential equations, Papers (2021) View citations (1) (2021)

2021

3. A computational approach to hedging Credit Valuation Adjustment in a jump-diffusion setting
   Applied Mathematics and Computation, 2021, 391, (C) View citations (3)
   See also Working Paper A Computational Approach to Hedging Credit Valuation Adjustment in a Jump-Diffusion Setting, Papers (2020) (2020)

2020

4. COLLOCATING VOLATILITY: A COMPETITIVE ALTERNATIVE TO STOCHASTIC LOCAL VOLATILITY MODELS
   International Journal of Theoretical and Applied Finance (IJTAF), 2020, 23, (06), 1-42 View citations (1)

2019

5. The stochastic collocation Monte Carlo sampler: highly efficient sampling from ‘expensive’ distributions
   Quantitative Finance, 2019, 19, (2), 339-356 View citations (13)

2017

6. A novel Monte Carlo approach to hybrid local volatility models
   Quantitative Finance, 2017, 17, (9), 1347-1366 View citations (2)
7. On a one time-step Monte Carlo simulation approach of the SABR model: Application to European options
   Applied Mathematics and Computation, 2017, 293, (C), 461-479 View citations (4)
8. On an efficient multiple time step Monte Carlo simulation of the SABR model
   Quantitative Finance, 2017, 17, (10), 1549-1565 View citations (7)

2015

9. THE TIME-DEPENDENT FX-SABR MODEL: EFFICIENT CALIBRATION BASED ON EFFECTIVE PARAMETERS
   International Journal of Theoretical and Applied Finance (IJTAF), 2015, 18, (06), 1-38 View citations (1)

2014

10. THE HESTON STOCHASTIC-LOCAL VOLATILITY MODEL: EFFICIENT MONTE CARLO SIMULATION
    International Journal of Theoretical and Applied Finance (IJTAF), 2014, 17, (07), 1-30 View citations (20)

2013

11. Pricing inflation products with stochastic volatility and stochastic interest rates
    Insurance: Mathematics and Economics, 2013, 52, (2), 286-299 View citations (9)

2012

12. Extension of stochastic volatility equity models with the Hull--White interest rate process
    Quantitative Finance, 2012, 12, (1), 89-105 View citations (23)
13. On Cross-Currency Models with Stochastic Volatility and Correlated Interest Rates
    Applied Mathematical Finance, 2012, 19, (1), 1-35 View citations (19)
    See also Working Paper On cross-currency models with stochastic volatility and correlated interest rates, MPRA Paper (2010) View citations (9) (2010)

2011

14. The affine Heston model with correlated Gaussian interest rates for pricing hybrid derivatives
    Quantitative Finance, 2011, 11, (11), 1647-1663 View citations (10)