Lech A. Grzelak
Orcid: 0000-0003-2329-5254
According to our database1,
Lech A. Grzelak authored at least 18 papers
between 2009 and 2026.
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Bibliography
2026
Modeling and replication of the prepayment option of mortgages including behavioral uncertainty.
J. Comput. Appl. Math., 2026
Basket options with volatility skew: Calibrating a local volatility model by sample rearrangement.
Appl. Math. Comput., 2026
On randomization of affine diffusion processes with application to pricing of options on VIX and S&P 500.
Appl. Math. Comput., 2026
2025
Volatility Parametrizations with Random Coefficients: Analytic Flexibility for Implied Volatility Surfaces.
SIAM J. Financial Math., 2025
2024
Math. Comput. Simul., 2024
Int. J. Comput. Math., 2024
Int. J. Comput. Math., 2024
2023
GPU acceleration of the Seven-League Scheme for large time step simulations of stochastic differential equations.
CoRR, 2023
2022
Appl. Math. Comput., 2022
2021
A computational approach to hedging Credit Valuation Adjustment in a jump-diffusion setting.
Appl. Math. Comput., 2021
2020
The Seven-League Scheme: Deep learning for large time step Monte Carlo simulations of stochastic differential equations.
CoRR, 2020
2019
The collocating local volatility framework - a fresh look at efficient pricing with smile.
Int. J. Comput. Math., 2019
2017
On a one time-step Monte Carlo simulation approach of the SABR model: Application to European options.
Appl. Math. Comput., 2017
2011
2009