Lech A. Grzelak

Publication Activity (10 Years)

Years Active: 2009-2024
Publications (10 Years): 9

Top Topics

Monte Carlo Simulation

Highly Efficient

Stochastic Differential Equations

Top Venues

Appl. Math. Comput.

Math. Comput. Simul.

Int. J. Comput. Math.

Publications

Felix L. Wolf, Griselda Deelstra, Lech A. Grzelak
Consistent asset modelling with random coefficients and switches between regimes. Math. Comput. Simul. 223 (2024)
Shuaiqiang Liu, Graziana Colonna, Lech A. Grzelak, Cornelis W. Oosterlee
GPU acceleration of the Seven-League Scheme for large time step simulations of stochastic differential equations. CoRR (2023)
Lech A. Grzelak
Sparse grid method for highly efficient computation of exposures for xVA. Appl. Math. Comput. 434 (2022)
Thomas van der Zwaard, Lech A. Grzelak, Cornelis W. Oosterlee
A computational approach to hedging Credit Valuation Adjustment in a jump-diffusion setting. Appl. Math. Comput. 391 (2021)
Jorino van Rhijn, Cornelis W. Oosterlee, Lech A. Grzelak, Shuaiqiang Liu
Monte Carlo Simulation of SDEs using GANs. CoRR (2021)
Shuaiqiang Liu, Lech A. Grzelak, Cornelis W. Oosterlee
The Seven-League Scheme: Deep learning for large time step Monte Carlo simulations of stochastic differential equations. CoRR (2020)
Lech A. Grzelak
The collocating local volatility framework - a fresh look at efficient pricing with smile. Int. J. Comput. Math. 96 (11) (2019)
Shuaiqiang Liu, Anastasia Borovykh, Lech A. Grzelak, Cornelis W. Oosterlee
A neural network-based framework for financial model calibration. CoRR (2019)
Álvaro Leitao, Lech A. Grzelak, Cornelis W. Oosterlee
On a one time-step Monte Carlo simulation approach of the SABR model: Application to European options. Appl. Math. Comput. 293 (2017)
Lech A. Grzelak, Cornelis W. Oosterlee
On the Heston Model with Stochastic Interest Rates. SIAM J. Financial Math. 2 (1) (2011)
Cornelis W. Oosterlee, Lech A. Grzelak
Fast Pricing of Hybrid Derivative Products. ERCIM News 2009 (78) (2009)