Lech A. Grzelak
Title
Cited by
Cited by
Year
On the Heston model with stochastic interest rates
LA Grzelak, CW Oosterlee
SIAM Journal on Financial Mathematics 2 (1), 255-286, 2011
2332011
Extension of stochastic volatility equity models with the Hull–White interest rate process
LA Grzelak, CW Oosterlee, S Van Weeren
Quantitative Finance 12 (1), 89-105, 2012
802012
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, Forthcoming, 2013
792013
On cross-currency models with stochastic volatility and correlated interest rates
LA Grzelak, CW Oosterlee
Applied Mathematical Finance 19 (1), 1-35, 2012
492012
A neural network-based framework for financial model calibration
S Liu, A Borovykh, LA Grzelak, CW Oosterlee
Journal of Mathematics in Industry 9 (1), 1-28, 2019
422019
The Stochastic Collocation Monte Carlo Sampler: Highly Efficient Sampling from "Expensive" Distributions
LA Grzelak, J Witteveen, M Suarez-Taboada, CW Oosterlee
Available at SSRN 2529691, 2014
38*2014
The affine Heston model with correlated Gaussian interest rates for pricing hybrid derivatives
LA Grzelak, CW Oosterlee, S Van Weeren
Quantitative Finance 11 (11), 1647-1663, 2011
272011
Efficient pricing of commodity options with early-exercise under the Ornstein–Uhlenbeck process
B Zhang, LA Grzelak, CW Oosterlee
Applied Numerical Mathematics 62 (2), 91-111, 2012
252012
From Arbitrage to Arbitrage-Free Implied Volatilities
LA Grzelak, CW Oosterlee
Journal of Computational Finance, Forthcoming, Available at SSRN 2529684, 2015
202015
Analysis of an affine version of the Heston–Hull–White option pricing partial differential equation
S Guo, LA Grzelak, CW Oosterlee
Applied Numerical Mathematics 72, 143-159, 2013
202013
On an efficient multiple time step Monte Carlo simulation of the SABR model
Á Leitao, LA Grzelak, CW Oosterlee
Quantitative Finance 17 (10), 1549-1565, 2017
192017
On a one time-step Monte Carlo simulation approach of the SABR model: Application to European options
Á Leitao, LA Grzelak, CW Oosterlee
Applied Mathematics and Computation 293, 461-479, 2017
192017
Calibration and Monte Carlo pricing of the SABR-Hull-White model for long-maturity equity derivatives
B Chen, LA Grzelak, CW Oosterlee
The Journal of Computational Finance (79–113) Volume 15, 2011
182011
An equity-interest rate hybrid model with stochastic volatility and the interest rate smile
LA Grzelak, CW Oosterlee
The Journal of Computational Finance 15 (4), 1–33, 2010
182010
Determination of the corrosion rate of a MIC influenced pipeline using four consecutive pig runs
GGJ Achterbosch, LA Grzelak
International Pipeline Conference 42622, 209-217, 2006
142006
The collocating local volatility framework–a fresh look at efficient pricing with smile
LA Grzelak
International Journal of Computer Mathematics 96 (11), 2209-2228, 2019
132019
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
132017
Pricing inflation products with stochastic volatility and stochastic interest rates
SN Singor, LA Grzelak, DDB Van Bragt, CW Oosterlee
Insurance: Mathematics and Economics 52 (2), 286-299, 2013
132013
Mathematical Modeling and Computation in Finance: With Exercises and Python and Matlab Computer Codes
CW Oosterlee, LA Grzelak
World Scientific, 2019
112019
Efficient option pricing with multi-factor equity-interest rate hybrid models
LA Grzelak, CW Oosterlee, S Weeren
Delft University of Technology, 2009
102009
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Articles 1–20