Lech A. Grzelak

According to our database, Lech A. Grzelak authored at least 16 papers between 2009 and 2026.

Collaborative distances:

• Dijkstra number of five.
• Erdős number of four.

2026

Basket options with volatility skew: Calibrating a local volatility model by sample rearrangement.

Nicola F. Zaugg, Lech A. Grzelak

Appl. Math. Comput., 2026

On randomization of affine diffusion processes with application to pricing of options on VIX and S&P 500.

Lech A. Grzelak

Appl. Math. Comput., 2026

2024

Consistent asset modelling with random coefficients and switches between regimes.

Felix L. Wolf, Griselda Deelstra, Lech A. Grzelak

Math. Comput. Simul., 2024

On pricing of discrete Asian and Lookback options under the Heston model.

Leonardo Perotti, Lech A. Grzelak

Int. J. Comput. Math., 2024

Efficient pricing and calibration of high-dimensional basket options.

Lech A. Grzelak, Juliusz Jablecki, Dariusz Gatarek

Int. J. Comput. Math., 2024

Accelerated computations of sensitivities for xVA.

Griselda Deelstra, Lech A. Grzelak, Felix L. Wolf

Int. J. Comput. Math., 2024

2023

GPU acceleration of the Seven-League Scheme for large time step simulations of stochastic differential equations.

Shuaiqiang Liu, Graziana Colonna, Lech A. Grzelak, Cornelis W. Oosterlee

CoRR, 2023

2022

Sparse grid method for highly efficient computation of exposures for xVA.

Lech A. Grzelak

Appl. Math. Comput., 2022

2021

Monte Carlo Simulation of SDEs using GANs.

Jorino van Rhijn, Cornelis W. Oosterlee, Lech A. Grzelak, Shuaiqiang Liu

CoRR, 2021

A computational approach to hedging Credit Valuation Adjustment in a jump-diffusion setting.

Thomas van der Zwaard, Lech A. Grzelak, Cornelis W. Oosterlee

Appl. Math. Comput., 2021

2020

The Seven-League Scheme: Deep learning for large time step Monte Carlo simulations of stochastic differential equations.

Shuaiqiang Liu, Lech A. Grzelak, Cornelis W. Oosterlee

CoRR, 2020

2019

The collocating local volatility framework - a fresh look at efficient pricing with smile.

Lech A. Grzelak

Int. J. Comput. Math., 2019

A neural network-based framework for financial model calibration.

Shuaiqiang Liu, Anastasia Borovykh, Lech A. Grzelak, Cornelis W. Oosterlee

CoRR, 2019

2017

On a one time-step Monte Carlo simulation approach of the SABR model: Application to European options.

Álvaro Leitao, Lech A. Grzelak, Cornelis W. Oosterlee

Appl. Math. Comput., 2017

2011

On the Heston Model with Stochastic Interest Rates.

Lech A. Grzelak, Cornelis W. Oosterlee

SIAM J. Financial Math., 2011

2009

Fast Pricing of Hybrid Derivative Products.

Cornelis W. Oosterlee, Lech A. Grzelak

ERCIM News, 2009