Fast Pricing of Hybrid Derivative Products. - Cornelis W. Oosterlee; Lech A. Grzelak (ERCIM News, 2009)

On the Heston Model with Stochastic Interest Rates. - Lech A. Grzelak; Cornelis W. Oosterlee (SIAM J. Financial Math., 2011)

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)

A neural network-based framework for financial model calibration. - Shuaiqiang Liu; Anastasia Borovykh; Lech A. Grzelak; Cornelis W. Oosterlee (CoRR, 2019)

The collocating local volatility framework - a fresh look at efficient pricing with smile. - Lech A. Grzelak (Int. J. Comput. Math., 2019)

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)

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)

Monte Carlo Simulation of SDEs using GANs. - Jorino van Rhijn; Cornelis W. Oosterlee; Lech A. Grzelak; Shuaiqiang Liu (CoRR, 2021)

Sparse grid method for highly efficient computation of exposures for xVA. - Lech A. Grzelak (Appl. Math. Comput., 2022)

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)

Accelerated computations of sensitivities for xVA. - Griselda Deelstra; Lech A. Grzelak; Felix L. Wolf (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)

On pricing of discrete Asian and Lookback options under the Heston model. - Leonardo Perotti; Lech A. Grzelak (Int. J. Comput. Math., 2024)

Consistent asset modelling with random coefficients and switches between regimes. - Felix L. Wolf; Griselda Deelstra; Lech A. Grzelak (Math. Comput. Simul., 2024)

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)

Basket options with volatility skew: Calibrating a local volatility model by sample rearrangement. - Nicola F. Zaugg; Lech A. Grzelak (Appl. Math. Comput., 2026)