| The Heston stochastic-local volatility model: Efficient Monte Carlo simulation AW Van der Stoep, LA Grzelak, CW Oosterlee International Journal of Theoretical and Applied Finance 17 (07), 1450045, 2014 | 97 | 2014 |
| A novel Monte Carlo approach to hybrid local volatility models AW van der Stoep, LA Grzelak, CW Oosterlee Quantitative Finance 17 (9), 1347-1366, 2017 | 15 | 2017 |
| The time-dependent FX-SABR model: Efficient calibration based on effective parameters AW Van der Stoep, LA Grzelak, CW Oosterlee International Journal of Theoretical and Applied Finance 18 (06), 1550042, 2015 | 11 | 2015 |
| Collocating volatility: a competitive alternative to stochastic local volatility models AW Van Der Stoep, LA Grzelak, CW Oosterlee International Journal of Theoretical and Applied Finance 23 (06), 2050038, 2020 | 5 | 2020 |
| Pricing and calibration with stochastic local volatility models in a monte carlo setting A van der Stoep | | 2019 |
| Grenzeloze wiskunde A van der Stoep VOORBIJ HET EIND• OVER DE GRENZEN VAN WETENSCHAP, 11, 0 | | |
Lech A. GrzelakUtrecht UniversityVerified email at uu.nl
