Lech A. Grzelak : Citation Profile

Universiteit Utrecht

8

H index

6

i10 index

208

Citations

RESEARCH PRODUCTION:

14

Articles

15

Papers

RESEARCH ACTIVITY:

   12 years (2010 - 2022). See details.
   Cites by year: 17
   Journals where Lech A. Grzelak has often published
   Relations with other researchers
   Recent citing documents: 28.    Total self citations: 12 (5.45 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pgr308
   Updated: 2025-04-05    RAS profile: 2022-09-18    
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Relations with other researchers

Works with:

Oosterlee, Cornelis (8)

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)

Orlando, Giuseppe (5)

Oosterlee, Cornelis (5)

Ballotta, Laura (4)

Cao, Jiling (4)

Itkin, Andrey (3)

Escobar Anel, Marcos (3)

Recchioni, Maria (3)

Tedeschi, Gabriele (2)

Choi, Jaehyuk (2)

Cites to:

Oosterlee, Cornelis (26)

Fang, Fang (10)

Brigo, Damiano (10)

Pallavicini, Andrea (8)

Singleton, Kenneth (3)

Duffie, Darrell (3)

Schlag, Christian (3)

pan, jun (3)

Goutte, Stéphane (3)

Platen, Eckhard (3)

Rosenberg, Joshua (2)

Main data

Production by document typearticlepaper20102011201220132014201520162017201820192020202120220510Documents Highcharts.comExport to raster or vector imagePrint the chart
Cumulative documents published2010201120122013201420152016201720182019202020212022010203040Documents Highcharts.comExport to raster or vector imagePrint the chart

Citations received201120122013201420152016201720182019202020212022202320242025010203040Citations Highcharts.comExport to raster or vector imagePrint the chart
Citations by production year20102011201220132014201520162017201820192020202120220255075Citations Highcharts.comExport to raster or vector imagePrint the chart

H-Index: 8Most cited documents1234567891002550Number of citations Highcharts.comExport to raster or vector imagePrint the chart
H-Index evolution2013082013092013102013112013122014012014022014032014042014052014062014072014082014092014102014112014122015012015022015032015042015052015062015072015082015092015102015112015122016012016022016032016042016052016062016072016082016092016102016112016122017012017022017032017042017052017062017072017082017092017102017112017122018012018022018032018042018052018062018072018082018092018102018112018122019012019022019032019042019052019062019072019082019092019102019112019122020012020022020032020042020052020062020072020082020092020102020112020122021012021022021032021042021052021062021072021082021092021102021112021122022012022022022032022042022052022062022072022082022092022102022112022122023012023022023032023042023052023062023072023082023092023102023112023122024012024022024032024042024052024062024072024082024092024102024112024122025012025022025032025040510h-index Highcharts.comExport to raster or vector imagePrint the chart

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 (2025 and 2024)

Year  ↓Title of citing document  ↓
2025Explicit 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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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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2024Randomization of Short-Rate Models, Analytic Pricing and Flexibility in Controlling Implied Volatilities. (2022). Grzelak, Lech A. In: Papers. RePEc:arx:papers:2211.05014.

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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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2024Joint SPX-VIX calibration with Gaussian polynomial volatility models: deep pricing with quantization hints. (2022). , Li ; Illand, Camille ; Jaber, Eduardo Abi. In: Papers. RePEc:arx:papers:2212.08297.

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

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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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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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2024Deep learning interpretability for rough volatility. (2024). Brigo, Damiano ; Jacquier, Antoine ; Pede, Nicola ; Yuan, BO. In: Papers. RePEc:arx:papers:2411.19317.

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2024Unsupervised learning-based calibration scheme for Rough Bergomi model. (2024). Teng, Changqing ; Li, Guanglian. In: Papers. RePEc:arx:papers:2412.02135.

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2025A Space Mapping approach for the calibration of financial models with the application to the Heston model. (2025). Ehrhardt, Matthias ; Totzeck, Claudia ; Clevenhaus, Anna. In: Papers. RePEc:arx:papers:2501.14521.

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2025Calibration and Option Pricing with Stochastic Volatility and Double Exponential Jumps. (2025). Kirkby, Justin Lars ; Aguilar, Jean-Philippe ; Agazzotti, Gaetano ; Rinella, Claudio Aglieri. In: Papers. RePEc:arx:papers:2502.13824.

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2024Stochastic Inflation and the Term Structure of Interest Rates: a Simple Diffusion Model. (2024). Baldassari, Cristiano ; Nascenzi, Paola ; Meschini, Massimiliano. In: Journal of Finance and Investment Analysis. RePEc:spt:fininv:v:13:y:2024:i:4:f:13_4_2.

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Works by Lech A. Grzelak:

Year  ↓Title  ↓Type  ↓Cited  ↓
2019A neural network-based framework for financial model calibration In: Papers.
[Full Text][Citation analysis]		paper34
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]		paper8
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]		article9
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]		article9
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]		article1

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