Lech A. Grzelak

According to our database, Lech A. Grzelak authored at least 10 papers between 2009 and 2023.

Collaborative distances:

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

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