Lech A. Grzelak : Citation Profile

Are you Lech A. Grzelak?

Universiteit Utrecht

8

H index

6

i10 index

200

Citations

RESEARCH PRODUCTION:

14

Articles

15

Papers

RESEARCH ACTIVITY:

   12 years (2010 - 2022). See details.
   Cites by year: 16
   Journals where Lech A. Grzelak has often published
   Relations with other researchers
   Recent citing documents: 35.    Total self citations: 12 (5.66 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pgr308
   Updated: 2024-11-04    RAS profile: 2022-09-18    
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Relations with other researchers

Works with:

Oosterlee, Cornelis (10)

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 (5)

Orlando, Giuseppe (5)

Cao, Jiling (4)

Ballotta, Laura (4)

Escobar Anel, Marcos (3)

Recchioni, Maria (3)

Itkin, Andrey (3)

Gnoatto, Alessandro (2)

Tedeschi, Gabriele (2)

Cites to:

Oosterlee, Cornelis (26)

Brigo, Damiano (10)

Fang, Fang (10)

Pallavicini, Andrea (8)

pan, jun (3)

Singleton, Kenneth (3)

Duffie, Darrell (3)

Schlag, Christian (3)

Goutte, Stéphane (3)

Platen, Eckhard (3)

luciano, elisa (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 (2024 and 2023)

YearTitle of citing document
2024Explicit approximations for option prices via Malliavin calculus for the stochastic Verhulst volatility model. (2020). Langren, Nicolas ; Das, Kaustav. In: Papers. RePEc:arx:papers:2006.01542.

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2023Correlation Estimation in Hybrid Systems. (2021). Law, Baron . In: Papers. RePEc:arx:papers:2111.06042.

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2023Metric Hypertransformers are Universal Adapted Maps. (2022). Pammer, Gudmund ; Kratsios, Anastasis ; Acciaio, Beatrice. In: Papers. RePEc:arx:papers:2201.13094.

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2024Efficient 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.

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2024On Pricing of Discrete Asian and Lookback Options under the Heston Model. (2022). Grzelak, Lech A ; Perotti, Leonardo. In: Papers. RePEc:arx:papers:2211.03638.

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2024Accelerated Computations of Sensitivities for xVA. (2022). Wolf, Felix ; Grzelak, Lech A ; Deelstra, Griselda. In: Papers. RePEc:arx:papers:2211.17026.

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2023The quintic Ornstein-Uhlenbeck volatility model that jointly calibrates SPX & VIX smiles. (2022). , Li ; Illand, Camille ; Jaber, Eduardo Abi. In: Papers. RePEc:arx:papers:2212.10917.

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2024Joint calibration to SPX and VIX options with signature-based models. (2023). Svaluto-Ferro, Sara ; Moller, Janka ; Gazzani, Guido ; Cuchiero, Christa. In: Papers. RePEc:arx:papers:2301.13235.

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2023GPU acceleration of the Seven-League Scheme for large time step simulations of stochastic differential equations. (2023). Oosterlee, Cornelis W ; Grzelak, Lech A ; Colonna, Graziana ; Liu, Shuaiqiang. In: Papers. RePEc:arx:papers:2302.05170.

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2023Learning Volatility Surfaces using Generative Adversarial Networks. (2023). Wan, Justin ; Zhang, Meixin ; Na, Andrew. In: Papers. RePEc:arx:papers:2304.13128.

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2024Deep calibration with random grids. (2023). Rossi, Pietro ; Bormetti, Giacomo ; Baschetti, Fabio. In: Papers. RePEc:arx:papers:2306.11061.

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2023Integration of Fractional Order Black-Scholes Merton with Neural Network. (2023). Maitra, Sarit. In: Papers. RePEc:arx:papers:2310.04464.

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2023Neural Network for valuing Bitcoin options under jump-diffusion and market sentiment model. (2023). Umeorah, Nneka ; Mwambi, Sutene ; Mba, Jules Clement ; Pindza, Edson. In: Papers. RePEc:arx:papers:2310.09622.

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2024No-Arbitrage Deep Calibration for Volatility Smile and Skewness. (2023). Phelan, Carolyn E ; Hoshisashi, Kentaro ; Barucca, Paolo. In: Papers. RePEc:arx:papers:2310.16703.

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2023Multi-stage Euler-Maruyama methods for backward stochastic differential equations driven by continuous-time Markov chains. (2023). Kaneko, Akihiro. In: Papers. RePEc:arx:papers:2311.08826.

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2024On the Hull-White model with volatility smile for Valuation Adjustments. (2024). Oosterlee, C W ; Grzelak, L A ; van der Zwaard, T. In: Papers. RePEc:arx:papers:2403.14841.

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2024Deep Joint Learning valuation of Bermudan Swaptions. (2024). 'Alvaro Leitao, ; Casanova, Francisco G'Omez ; de Lope, Fernando. In: Papers. RePEc:arx:papers:2404.11257.

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2023Analytical solvability and exact simulation in models with affine stochastic volatility and Lévy jumps. (2023). Kwok, Yue Kuen ; Jiang, Pingping ; Xu, Ziqing ; Zeng, Pingping. In: Mathematical Finance. RePEc:bla:mathfi:v:33:y:2023:i:3:p:842-890.

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2023Foreign Exchange Options on Heston-CIR Model Under Lévy Process Framework. (2023). Orlando, Giuseppe ; Samimi, Oldouz ; Mehrdoust, Farshid ; Ascione, Giacomo. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:446:y:2023:i:c:s0096300323000206.

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2023Hybrid equity swap, cap, and floor pricing under stochastic interest by Markov chain approximation. (2023). Kirkby, Lars J. In: European Journal of Operational Research. RePEc:eee:ejores:v:305:y:2023:i:2:p:961-978.

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2023Robust retirement and life insurance with inflation risk and model ambiguity. (2023). Yan, Tingjin ; Wong, Hoi Ying ; Park, Kyunghyun. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:110:y:2023:i:c:p:1-30.

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2023XVA in a multi-currency setting with stochastic foreign exchange rates. (2023). Vazquez, Carlos ; Simonella, Roberta. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:207:y:2023:i:c:p:59-79.

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2023.

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2023The quintic Ornstein-Uhlenbeck volatility model that jointly calibrates SPX & VIX smiles. (2023). Illand, Camille ; Jaber, Eduardo Abi ; Li, Shaun Xiaoyuan. In: Post-Print. RePEc:hal:journl:hal-03909334.

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2023The quintic Ornstein-Uhlenbeck volatility model that jointly calibrates SPX & VIX smiles. (2022). Li, Shaun Xiaoyuan ; Illand, Camille ; Jaber, Eduardo Abi. In: Working Papers. RePEc:hal:wpaper:hal-03909334.

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2023Machine Learning Applications to Valuation of Options on Non-liquid Markets. (2023). Fiura, Milan ; Witzany, Jii. In: FFA Working Papers. RePEc:prg:jnlwps:v:5:y:2023:id:5.001.

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Works by Lech A. Grzelak:

YearTitleTypeCited
2019A neural network-based framework for financial model calibration In: Papers.
[Full Text][Citation analysis]		paper30
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 nother 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]		paper3
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 nother version. Agregated cites: 3		article
2021Cheapest-to-Deliver Collateral: A Common Factor Approach In: Papers.
[Full Text][Citation analysis]		paper0
2022Cheapest-to-deliver collateral: a common factor approach.(2022) In: Quantitative Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		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]		paper2
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]		paper7
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]		article3
2013Pricing inflation products with stochastic volatility and stochastic interest rates In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article8
2010An Equity-Interest Rate Hybrid Model With Stochastic Volatility and the Interest Rate Smile In: MPRA Paper.
[Full Text][Citation analysis]		paper2
2010On The Heston Model with Stochastic Interest Rates In: MPRA Paper.
[Full Text][Citation analysis]		paper45
2010On cross-currency models with stochastic volatility and correlated interest rates In: MPRA Paper.
[Full Text][Citation analysis]		paper22
2012On Cross-Currency Models with Stochastic Volatility and Correlated Interest Rates.(2012) In: Applied Mathematical Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 22		article
2011The affine Heston model with correlated Gaussian interest rates for pricing hybrid derivatives In: Quantitative Finance.
[Full Text][Citation analysis]		article10
2012Extension of stochastic volatility equity models with the Hull--White interest rate process In: Quantitative Finance.
[Full Text][Citation analysis]		article24
2017On an efficient multiple time step Monte Carlo simulation of the SABR model In: Quantitative Finance.
[Full Text][Citation analysis]		article7
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]		article8
2014THE HESTON STOCHASTIC-LOCAL VOLATILITY MODEL: EFFICIENT MONTE CARLO SIMULATION In: International Journal of Theoretical and Applied Finance (IJTAF).
[Full Text][Citation analysis]		article20
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]		article0

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