Lech A. Grzelak : Citation Profile


Are you Lech A. Grzelak?

Universiteit Utrecht

7

H index

5

i10 index

169

Citations

RESEARCH PRODUCTION:

14

Articles

15

Papers

RESEARCH ACTIVITY:

   12 years (2010 - 2022). See details.
   Cites by year: 14
   Journals where Lech A. Grzelak has often published
   Relations with other researchers
   Recent citing documents: 40.    Total self citations: 3 (1.74 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pgr308
   Updated: 2022-11-19    RAS profile: 2022-09-18    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers


Works with:

Oosterlee, Cornelis (13)

Authors registered in RePEc who have co-authored more than one work in the last five years with Lech A. Grzelak.

Is cited by:

Schlogl, Erik (10)

Nikitopoulos-Sklibosios, Christina (8)

Oosterlee, Cornelis (8)

Cao, Jiling (4)

Ballotta, Laura (4)

Escobar Anel, Marcos (3)

Recchioni, Maria (3)

Itkin, Andrey (3)

Tedeschi, Gabriele (2)

Orlando, Giuseppe (2)

Gnoatto, Alessandro (2)

Cites to:

Oosterlee, Cornelis (26)

Fang, Fang (10)

Brigo, Damiano (9)

Pallavicini, Andrea (7)

Platen, Eckhard (3)

pan, jun (3)

Schlag, Christian (3)

Goutte, Stéphane (3)

Duffie, Darrell (3)

Singleton, Kenneth (3)

Scholes, Myron (2)

Main data


Where Lech A. Grzelak has published?


Journals with more than one article published# docs
Quantitative Finance6
International Journal of Theoretical and Applied Finance (IJTAF)3
Applied Mathematics and Computation2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org12
MPRA Paper / University Library of Munich, Germany3

Recent works citing Lech A. Grzelak (2022 and 2021)


YearTitle of citing document
2021Closed-form expansions with respect to the mixing solution for option pricing under stochastic volatility. (2019). Langren, Nicolas ; Das, Kaustav. In: Papers. RePEc:arx:papers:1812.07803.

Full description at Econpapers || Download paper

2021Pricing equity-linked life insurance contracts with multiple risk factors by neural networks. (2020). Delong, Lukasz ; Barigou, Karim. In: Papers. RePEc:arx:papers:2007.08804.

Full description at Econpapers || Download paper

2021The Seven-League Scheme: Deep learning for large time step Monte Carlo simulations of stochastic differential equations. (2020). Oosterlee, Cornelis W ; Grzelak, Lech A ; Liu, Shuaiqiang. In: Papers. RePEc:arx:papers:2009.03202.

Full description at Econpapers || Download paper

2021A general framework for a joint calibration of VIX and VXX options. (2020). Mazzoran, Andrea ; Grasselli, Martino ; Pallavicini, Andrea. In: Papers. RePEc:arx:papers:2012.08353.

Full description at Econpapers || Download paper

2021Deep Hedging under Rough Volatility. (2021). Zuric, Zan ; Teichmann, Josef ; Horvath, Blanka. In: Papers. RePEc:arx:papers:2102.01962.

Full description at Econpapers || Download paper

2021Cheapest-to-Deliver Collateral: A Common Factor Approach. (2021). Deelstra, Griselda ; Grzelak, Lech A ; Wolf, Felix L. In: Papers. RePEc:arx:papers:2103.06107.

Full description at Econpapers || Download paper

2021Valuing Exotic Options and Estimating Model Risk. (2021). Poulos, Zissis ; Hull, John ; Chen, Jacky ; Cao, Jay. In: Papers. RePEc:arx:papers:2103.12551.

Full description at Econpapers || Download paper

2021Extending the Heston Model to Forecast Motor Vehicle Collision Rates. (2021). Shannon, Darren ; Fountas, Grigorios. In: Papers. RePEc:arx:papers:2104.11461.

Full description at Econpapers || Download paper

2022Sparse Grid Method for Highly Efficient Computation of Exposures for xVA. (2021). Grzelak, Lech A. In: Papers. RePEc:arx:papers:2104.14319.

Full description at Econpapers || Download paper

2022Precise option pricing by the COS method -- How to choose the truncation interval. (2021). Pankrashkin, Konstantin ; Junike, Gero. In: Papers. RePEc:arx:papers:2109.01030.

Full description at Econpapers || Download paper

2021Semimartingale and continuous-time Markov chain approximation for rough stochastic local volatility models. (2021). Cui, Zhenyu ; Yang, Wensheng ; Ma, Jingtang. In: Papers. RePEc:arx:papers:2110.08320.

Full description at Econpapers || Download paper

2021Machine Learning in Finance-Emerging Trends and Challenges. (2021). Dutta, Abhishek ; Sen, Rajdeep. In: Papers. RePEc:arx:papers:2110.11999.

Full description at Econpapers || Download paper

2021Correlation Estimation in Hybrid Systems. (2021). Law, Baron . In: Papers. RePEc:arx:papers:2111.06042.

Full description at Econpapers || Download paper

2021Fast Sampling from Time-Integrated Bridges using Deep Learning. (2021). Grzelak, Lech A ; Perotti, Leonardo. In: Papers. RePEc:arx:papers:2111.13901.

Full description at Econpapers || Download paper

2021Multi-Asset Spot and Option Market Simulation. (2021). Bai, Lianjun ; Murray, Phillip ; Buehler, Hans ; Korn, Ralf ; Pachoud, Alexandre ; Wood, Ben ; Wiese, Magnus. In: Papers. RePEc:arx:papers:2112.06823.

Full description at Econpapers || Download paper

2022Stochastic Local Volatility models and the Wei-Norman factorization method. (2022). Orlando, Giuseppe ; Guerrero, Julio. In: Papers. RePEc:arx:papers:2201.11241.

Full description at Econpapers || Download paper

2022Metric Hypertransformers are Universal Adapted Maps. (2022). Pammer, Gudmund ; Kratsios, Anastasis ; Acciaio, Beatrice. In: Papers. RePEc:arx:papers:2201.13094.

Full description at Econpapers || Download paper

2022Relevance of Wrong-Way Risk in Funding Valuation Adjustments. (2022). Oosterlee, C W ; Grzelak, L A ; van der Zwaard, T. In: Papers. RePEc:arx:papers:2204.02680.

Full description at Econpapers || Download paper

2022Efficient Pricing and Calibration of High-Dimensional Basket Options. (2022). Gatarek, Dariusz ; Jablecki, Juliusz ; Grzelak, Lech A. In: Papers. RePEc:arx:papers:2206.09877.

Full description at Econpapers || Download paper

2022Solving barrier options under stochastic volatility using deep learning. (2022). Hirsa, Ali ; Fu, Weilong. In: Papers. RePEc:arx:papers:2207.00524.

Full description at Econpapers || Download paper

2022Sensitivities and Hedging of the Collateral Choice Option. (2022). Wolf, Felix L ; Grzelak, Lech A ; Deelstra, Griselda. In: Papers. RePEc:arx:papers:2207.10373.

Full description at Econpapers || Download paper

2022On Randomization of Affine Diffusion Processes with Application to Pricing of Options on VIX and S&P 500. (2022). Grzelak, Lech A. In: Papers. RePEc:arx:papers:2208.12518.

Full description at Econpapers || Download paper

2022Efficient Wrong-Way Risk Modelling for Funding Valuation Adjustments. (2022). Oosterlee, C W ; Grzelak, L A ; van der Zwaard, T. In: Papers. RePEc:arx:papers:2209.12222.

Full description at Econpapers || Download paper

2022Precise option pricing by the COS method—How to choose the truncation range. (2022). Pankrashkin, Konstantin ; Junike, Gero. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:421:y:2022:i:c:s0096300322000212.

Full description at Econpapers || Download paper

2022The deep parametric PDE method and applications to option pricing. (2022). Wunderlich, Linus ; Glau, Kathrin. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:432:y:2022:i:c:s0096300322004295.

Full description at Econpapers || Download paper

2022Sparse grid method for highly efficient computation of exposures for xVA. (2022). Grzelak, Lech A. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:434:y:2022:i:c:s0096300322005203.

Full description at Econpapers || Download paper

2021CTMC integral equation method for American options under stochastic local volatility models. (2021). Cui, Zhenyu ; Yang, Wensheng ; Ma, Jingtang. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:128:y:2021:i:c:s0165188921000804.

Full description at Econpapers || Download paper

2021Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations. (2021). Nguyen, Duy ; Kirkby, Lars J ; Cui, Zhenyu. In: European Journal of Operational Research. RePEc:eee:ejores:v:290:y:2021:i:3:p:1046-1062.

Full description at Econpapers || Download paper

2022Smiles & smirks: Volatility and leverage by jumps. (2022). Ballotta, Laura ; Rayee, Gregory . In: European Journal of Operational Research. RePEc:eee:ejores:v:298:y:2022:i:3:p:1145-1161.

Full description at Econpapers || Download paper

2021.

Full description at Econpapers || Download paper

2021.

Full description at Econpapers || Download paper

2022The Seven-League Scheme: Deep Learning for Large Time Step Monte Carlo Simulations of Stochastic Differential Equations. (2022). Oosterlee, Cornelis ; Grzelak, Lech A ; Liu, Shuaiqiang. In: Risks. RePEc:gam:jrisks:v:10:y:2022:i:3:p:47-:d:756448.

Full description at Econpapers || Download paper

2021Deep Hedging under Rough Volatility. (2021). Nuri, A ; Teichmann, Josef ; Horvath, Blanka. In: Risks. RePEc:gam:jrisks:v:9:y:2021:i:7:p:138-:d:597662.

Full description at Econpapers || Download paper

2021Pricing equity-linked life insurance contracts with multiple risk factors by neural networks. (2021). Delong, Lukasz ; Barigou, Karim. In: Post-Print. RePEc:hal:journl:hal-02896141.

Full description at Econpapers || Download paper

2021Pricing equity-linked life insurance contracts with multiple risk factors by neural networks. (2020). Delong, Lukasz ; Barigou, Karim. In: Working Papers. RePEc:hal:wpaper:hal-02896141.

Full description at Econpapers || Download paper

2021Variance Swaps with Deterministic and Stochastic Correlations. (2021). Kim, See-Woo ; Han, Ah-Reum. In: Computational Economics. RePEc:kap:compec:v:57:y:2021:i:4:d:10.1007_s10614-020-10002-8.

Full description at Econpapers || Download paper

2022Analytically Pricing European Options under a New Two-Factor Heston Model with Regime Switching. (2022). He, Xin-Jiang ; Lin, Sha. In: Computational Economics. RePEc:kap:compec:v:59:y:2022:i:3:d:10.1007_s10614-021-10117-6.

Full description at Econpapers || Download paper

2022Deep calibration of financial models: turning theory into practice. (2022). Rosch, Daniel ; Nagl, Maximilian ; Kratochwil, Michael ; Buchel, Patrick. In: Review of Derivatives Research. RePEc:kap:revdev:v:25:y:2022:i:2:d:10.1007_s11147-021-09183-7.

Full description at Econpapers || Download paper

2021Adaptive stochastic risk estimation of firm operating profit. (2021). Anakolu, Ethem ; Akca, Ahmet. In: Economia e Politica Industriale: Journal of Industrial and Business Economics. RePEc:spr:epolin:v:48:y:2021:i:3:d:10.1007_s40812-021-00184-z.

Full description at Econpapers || Download paper

2021A semianalytical formula for European options under a hybrid Heston–Cox–Ingersoll–Ross model with regime switching. (2021). Chen, Wenting. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:1:p:343-352.

Full description at Econpapers || Download paper

Works by Lech A. Grzelak:


YearTitleTypeCited
2019A neural network-based framework for financial model calibration In: Papers.
[Full Text][Citation analysis]
paper19
2020A Computational Approach to Hedging Credit Valuation Adjustment in a Jump-Diffusion Setting In: Papers.
[Full Text][Citation analysis]
paper2
2021A computational approach to hedging Credit Valuation Adjustment in a jump-diffusion setting.(2021) In: Applied Mathematics and Computation.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2
article
2021The Seven-League Scheme: Deep learning for large time step Monte Carlo simulations of stochastic differential equations In: Papers.
[Full Text][Citation analysis]
paper2
2022The Seven-League Scheme: Deep Learning for Large Time Step Monte Carlo Simulations of Stochastic Differential Equations.(2022) In: Risks.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2
article
2021Cheapest-to-Deliver Collateral: A Common Factor Approach In: Papers.
[Full Text][Citation analysis]
paper1
2022Cheapest-to-deliver collateral: a common factor approach.(2022) In: Quantitative Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
article
2021Monte Carlo Simulation of SDEs using GANs In: Papers.
[Full Text][Citation analysis]
paper2
2022Sparse Grid Method for Highly Efficient Computation of Exposures for xVA In: Papers.
[Full Text][Citation analysis]
paper2
2021Pricing and Hedging Prepayment Risk in a Mortgage Portfolio In: Papers.
[Full Text][Citation analysis]
paper0
2021Fast Sampling from Time-Integrated Bridges using Deep Learning In: Papers.
[Full Text][Citation analysis]
paper0
2022Relevance of Wrong-Way Risk in Funding Valuation Adjustments In: Papers.
[Full Text][Citation analysis]
paper1
2022Efficient Pricing and Calibration of High-Dimensional Basket Options In: Papers.
[Full Text][Citation analysis]
paper0
2022Sensitivities and Hedging of the Collateral Choice Option In: Papers.
[Full Text][Citation analysis]
paper0
2022On Randomization of Affine Diffusion Processes with Application to Pricing of Options on VIX and S&P 500 In: Papers.
[Full Text][Citation analysis]
paper0
2017On a one time-step Monte Carlo simulation approach of the SABR model: Application to European options In: Applied Mathematics and Computation.
[Full Text][Citation analysis]
article4
2013Pricing inflation products with stochastic volatility and stochastic interest rates In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]
article7
2010An Equity-Interest Rate Hybrid Model With Stochastic Volatility and the Interest Rate Smile In: MPRA Paper.
[Full Text][Citation analysis]
paper1
2010On The Heston Model with Stochastic Interest Rates In: MPRA Paper.
[Full Text][Citation analysis]
paper46
2010On cross-currency models with stochastic volatility and correlated interest rates In: MPRA Paper.
[Full Text][Citation analysis]
paper18
2012On Cross-Currency Models with Stochastic Volatility and Correlated Interest Rates.(2012) In: Applied Mathematical Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 18
article
2011The affine Heston model with correlated Gaussian interest rates for pricing hybrid derivatives In: Quantitative Finance.
[Full Text][Citation analysis]
article8
2012Extension of stochastic volatility equity models with the Hull--White interest rate process In: Quantitative Finance.
[Full Text][Citation analysis]
article22
2017On an efficient multiple time step Monte Carlo simulation of the SABR model In: Quantitative Finance.
[Full Text][Citation analysis]
article6
2017A novel Monte Carlo approach to hybrid local volatility models In: Quantitative Finance.
[Full Text][Citation analysis]
article2
2019The stochastic collocation Monte Carlo sampler: highly efficient sampling from ‘expensive’ distributions In: Quantitative Finance.
[Full Text][Citation analysis]
article6
2014THE HESTON STOCHASTIC-LOCAL VOLATILITY MODEL: EFFICIENT MONTE CARLO SIMULATION In: International Journal of Theoretical and Applied Finance (IJTAF).
[Full Text][Citation analysis]
article18
2015THE TIME-DEPENDENT FX-SABR MODEL: EFFICIENT CALIBRATION BASED ON EFFECTIVE PARAMETERS In: International Journal of Theoretical and Applied Finance (IJTAF).
[Full Text][Citation analysis]
article1
2020COLLOCATING VOLATILITY: A COMPETITIVE ALTERNATIVE TO STOCHASTIC LOCAL VOLATILITY MODELS In: International Journal of Theoretical and Applied Finance (IJTAF).
[Full Text][Citation analysis]
article1

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated November, 1st 2022. Contact: CitEc Team