8
H index
7
i10 index
218
Citations
Universiteit Utrecht | 8 H index 7 i10 index 218 Citations RESEARCH PRODUCTION: 14 Articles 15 Papers RESEARCH ACTIVITY:
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Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Lech A. Grzelak. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
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Quantitative Finance | 6 |
International Journal of Theoretical and Applied Finance (IJTAF) | 3 |
Applied Mathematics and Computation | 2 |
Working Papers Series with more than one paper published | # docs |
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Papers / arXiv.org | 12 |
MPRA Paper / University Library of Munich, Germany | 3 |
Year | Title of citing document |
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2024 | Participating life insurances in an equity-Libor Market Model. (2024). Devineau, Laurent ; Hainaut, Donatien. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2024015. Full description at Econpapers || Download paper |
2025 | Explicit approximations of option prices via Malliavin calculus in a general stochastic volatility framework. (2025). Langren, Nicolas ; Das, Kaustav. In: Papers. RePEc:arx:papers:2006.01542. Full description at Econpapers || Download paper |
2024 | Efficient Wrong-Way Risk Modelling for Funding Valuation Adjustments. (2024). van der Zwaard, T ; Grzelak, L A ; Oosterlee, C W. In: Papers. RePEc:arx:papers:2209.12222. Full description at Econpapers || Download paper |
2024 | On Pricing of Discrete Asian and Lookback Options under the Heston Model. (2024). Perotti, Leonardo ; Grzelak, Lech A. In: Papers. RePEc:arx:papers:2211.03638. Full description at Econpapers || Download paper |
2024 | Randomization of Short-Rate Models, Analytic Pricing and Flexibility in Controlling Implied Volatilities. (2024). Grzelak, Lech A. In: Papers. RePEc:arx:papers:2211.05014. Full description at Econpapers || Download paper |
2024 | Accelerated Computations of Sensitivities for xVA. (2024). Grzelak, Lech A ; Deelstra, Griselda ; Wolf, Felix. In: Papers. RePEc:arx:papers:2211.17026. Full description at Econpapers || Download paper |
2024 | Joint SPX-VIX calibration with Gaussian polynomial volatility models: deep pricing with quantization hints. (2024). , Shaun ; Jaber, Eduardo Abi ; Illand, Camille. In: Papers. RePEc:arx:papers:2212.08297. Full description at Econpapers || Download paper |
2024 | Joint calibration to SPX and VIX options with signature-based models. (2024). Svaluto-Ferro, Sara ; Moller, Janka ; Gazzani, Guido ; Cuchiero, Christa. In: Papers. RePEc:arx:papers:2301.13235. Full description at Econpapers || Download paper |
2024 | Deep calibration with random grids. (2024). Rossi, Pietro ; Bormetti, Giacomo ; Baschetti, Fabio. In: Papers. RePEc:arx:papers:2306.11061. Full description at Econpapers || Download paper |
2024 | No-Arbitrage Deep Calibration for Volatility Smile and Skewness. (2024). Barucca, Paolo ; Hoshisashi, Kentaro ; Phelan, Carolyn E. In: Papers. RePEc:arx:papers:2310.16703. Full description at Econpapers || Download paper |
2024 | Principal Component Copulas for Capital Modelling and Systemic Risk. (2024). Gubbels, K B ; Ypma, J Y ; Oosterlee, C W. In: Papers. RePEc:arx:papers:2312.13195. Full description at Econpapers || Download paper |
2024 | On the Hull-White model with volatility smile for Valuation Adjustments. (2024). van der Zwaard, T ; Grzelak, L A ; Oosterlee, C W. In: Papers. RePEc:arx:papers:2403.14841. Full description at Econpapers || Download paper |
2024 | Deep Joint Learning valuation of Bermudan Swaptions. (2024). Casanova, Francisco G'Omez ; de Lope, Fernando ; 'Alvaro Leitao, . In: Papers. RePEc:arx:papers:2404.11257. Full description at Econpapers || Download paper |
2024 | Operator Deep Smoothing for Implied Volatility. (2024). Wiedemann, Ruben ; Gonon, Lukas ; Jacquier, Antoine. In: Papers. RePEc:arx:papers:2406.11520. Full description at Econpapers || Download paper |
2025 | Calibrating the Heston model with deep differential networks. (2025). Morandotti, Marco ; Amici, Giovanni ; Zhang, Chen. In: Papers. RePEc:arx:papers:2407.15536. Full description at Econpapers || Download paper |
2024 | On Deep Learning for computing the Dynamic Initial Margin and Margin Value Adjustment. (2024). Villarino, Joel P ; 'Alvaro Leitao, . In: Papers. RePEc:arx:papers:2407.16435. Full description at Econpapers || Download paper |
2024 | Efficient simulation of the SABR model. (2024). Kwok, Yue Kuen ; Hu, Lilian ; Choi, Jaehyuk. In: Papers. RePEc:arx:papers:2408.01898. Full description at Econpapers || Download paper |
2024 | Option Pricing with Stochastic Volatility, Equity Premium, and Interest Rates. (2024). Hao, Nicole ; Li, Echo ; Luong-Le, Diep. In: Papers. RePEc:arx:papers:2408.15416. Full description at Econpapers || Download paper |
2024 | Whack-a-mole Online Learning: Physics-Informed Neural Network for Intraday Implied Volatility Surface. (2024). Barucca, Paolo ; Phelan, Carolyn E ; Hoshisashi, Kentaro. In: Papers. RePEc:arx:papers:2411.02375. Full description at Econpapers || Download paper |
2024 | Volatility Parametrizations with Random Coefficients: Analytic Flexibility for Implied Volatility Surfaces. (2024). Grzelak, Lech A ; Perotti, Leonardo ; Zaugg, Nicola F. In: Papers. RePEc:arx:papers:2411.04041. Full description at Econpapers || Download paper |
2024 | Deep learning interpretability for rough volatility. (2024). Brigo, Damiano ; Yuan, BO ; Jacquier, Antoine ; Pede, Nicola. In: Papers. RePEc:arx:papers:2411.19317. Full description at Econpapers || Download paper |
2024 | Unsupervised learning-based calibration scheme for Rough Bergomi model. (2024). Teng, Changqing ; Li, Guanglian. In: Papers. RePEc:arx:papers:2412.02135. Full description at Econpapers || Download paper |
2025 | A 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. Full description at Econpapers || Download paper |
2025 | Calibration and Option Pricing with Stochastic Volatility and Double Exponential Jumps. (2025). Agazzotti, Gaetano ; Rinella, Claudio Aglieri ; Kirkby, Justin Lars ; Aguilar, Jean-Philippe. In: Papers. RePEc:arx:papers:2502.13824. Full description at Econpapers || Download paper |
2025 | The Volterra Stein-Stein model with stochastic interest rates. (2025). Hainaut, Donatien ; Motte, Edouard ; Jaber, Eduardo Abi. In: Papers. RePEc:arx:papers:2503.01716. Full description at Econpapers || Download paper |
2025 | Numerical analysis of a particle system for the calibrated Heston-type local stochastic volatility model. (2025). Reisinger, Christoph ; Tsianni, Maria Olympia. In: Papers. RePEc:arx:papers:2504.14343. Full description at Econpapers || Download paper |
2025 | A general valuation framework for rough stochastic local volatility models and applications. (2025). Ma, Jingtang ; Yang, Wensheng ; Cui, Zhenyu. In: European Journal of Operational Research. RePEc:eee:ejores:v:322:y:2025:i:1:p:307-324. Full description at Econpapers || Download paper |
2024 | Consistent asset modelling with random coefficients and switches between regimes. (2024). Grzelak, Lech A ; Deelstra, Griselda ; Wolf, Felix L. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:223:y:2024:i:c:p:65-85. Full description at Econpapers || Download paper |
2024 | Implied value-at-risk and model-free simulation. (2024). Vanduffel, Steven ; Bernard, Carole ; Perchiazzo, Andrea. In: Annals of Operations Research. RePEc:spr:annopr:v:336:y:2024:i:1:d:10.1007_s10479-022-05048-w. Full description at Econpapers || Download paper |
2024 | A general framework for a joint calibration of VIX and VXX options. (2024). Pallavicini, Andrea ; Mazzoran, Andrea ; Grasselli, Martino. In: Annals of Operations Research. RePEc:spr:annopr:v:336:y:2024:i:1:d:10.1007_s10479-023-05205-9. Full description at Econpapers || Download paper |
2024 | Exploring non-analytical affine jump-diffusion models for path-dependent interest rate derivatives. (2024). Baczynski, Jack ; da Silva, Allan Jonathan. In: Computational Management Science. RePEc:spr:comgts:v:21:y:2024:i:1:d:10.1007_s10287-024-00514-1. Full description at Econpapers || Download paper |
2024 | Predicting Economic Advantages in Smart Innovative City Development: A CSO-MCNN Approach. (2024). Guo, Yao ; Li, Huwei. In: Journal of the Knowledge Economy. RePEc:spr:jknowl:v:15:y:2024:i:4:d:10.1007_s13132-024-01939-4. Full description at Econpapers || Download paper |
2024 | Modelling the industrial production of electric and gas utilities through the $$CIR^3$$ C I R 3 model. (2024). Orlando, Giuseppe ; Ceci, Claudia ; Bufalo, Michele. In: Mathematics and Financial Economics. RePEc:spr:mathfi:v:18:y:2024:i:1:d:10.1007_s11579-023-00350-y. Full description at Econpapers || Download paper |
2024 | Stochastic Inflation and the Term Structure of Interest Rates: a Simple Diffusion Model. (2024). Nascenzi, Paola ; Meschini, Massimiliano ; Baldassari, Cristiano. In: Journal of Finance and Investment Analysis. RePEc:spt:fininv:v:13:y:2024:i:4:f:13_4_2. Full description at Econpapers || Download paper |
2024 | Joint calibration of S&P 500 and VIX options under local stochastic volatility models. (2024). Zhou, Zhiqiang ; Xu, Wei ; Rubtsov, Alexey. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:29:y:2024:i:1:p:273-310. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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2019 | A neural network-based framework for financial model calibration In: Papers. [Full Text][Citation analysis] | paper | 35 |
2020 | A Computational Approach to Hedging Credit Valuation Adjustment in a Jump-Diffusion Setting In: Papers. [Full Text][Citation analysis] | paper | 2 |
2021 | A 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 | |
2021 | The Seven-League Scheme: Deep learning for large time step Monte Carlo simulations of stochastic differential equations In: Papers. [Full Text][Citation analysis] | paper | 3 |
2022 | The 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 | |
2021 | Cheapest-to-Deliver Collateral: A Common Factor Approach In: Papers. [Full Text][Citation analysis] | paper | 0 |
2022 | Cheapest-to-deliver collateral: a common factor approach.(2022) In: Quantitative Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
2021 | Monte Carlo Simulation of SDEs using GANs In: Papers. [Full Text][Citation analysis] | paper | 2 |
2022 | Sparse Grid Method for Highly Efficient Computation of Exposures for xVA In: Papers. [Full Text][Citation analysis] | paper | 2 |
2021 | Pricing and Hedging Prepayment Risk in a Mortgage Portfolio In: Papers. [Full Text][Citation analysis] | paper | 0 |
2021 | Fast Sampling from Time-Integrated Bridges using Deep Learning In: Papers. [Full Text][Citation analysis] | paper | 0 |
2022 | Relevance of Wrong-Way Risk in Funding Valuation Adjustments In: Papers. [Full Text][Citation analysis] | paper | 2 |
2022 | Efficient Pricing and Calibration of High-Dimensional Basket Options In: Papers. [Full Text][Citation analysis] | paper | 0 |
2022 | Sensitivities and Hedging of the Collateral Choice Option In: Papers. [Full Text][Citation analysis] | paper | 0 |
2022 | On Randomization of Affine Diffusion Processes with Application to Pricing of Options on VIX and S&P 500 In: Papers. [Full Text][Citation analysis] | paper | 8 |
2017 | On 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] | article | 3 |
2013 | Pricing inflation products with stochastic volatility and stochastic interest rates In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 10 |
2010 | An Equity-Interest Rate Hybrid Model With Stochastic Volatility and the Interest Rate Smile In: MPRA Paper. [Full Text][Citation analysis] | paper | 2 |
2010 | On The Heston Model with Stochastic Interest Rates In: MPRA Paper. [Full Text][Citation analysis] | paper | 45 |
2010 | On cross-currency models with stochastic volatility and correlated interest rates In: MPRA Paper. [Full Text][Citation analysis] | paper | 22 |
2012 | On 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 | |
2011 | The affine Heston model with correlated Gaussian interest rates for pricing hybrid derivatives In: Quantitative Finance. [Full Text][Citation analysis] | article | 11 |
2012 | Extension of stochastic volatility equity models with the Hull--White interest rate process In: Quantitative Finance. [Full Text][Citation analysis] | article | 26 |
2017 | On an efficient multiple time step Monte Carlo simulation of the SABR model In: Quantitative Finance. [Full Text][Citation analysis] | article | 7 |
2017 | A novel Monte Carlo approach to hybrid local volatility models In: Quantitative Finance. [Full Text][Citation analysis] | article | 2 |
2019 | The stochastic collocation Monte Carlo sampler: highly efficient sampling from ‘expensive’ distributions In: Quantitative Finance. [Full Text][Citation analysis] | article | 9 |
2014 | THE HESTON STOCHASTIC-LOCAL VOLATILITY MODEL: EFFICIENT MONTE CARLO SIMULATION In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] | article | 25 |
2015 | THE TIME-DEPENDENT FX-SABR MODEL: EFFICIENT CALIBRATION BASED ON EFFECTIVE PARAMETERS In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] | article | 1 |
2020 | COLLOCATING VOLATILITY: A COMPETITIVE ALTERNATIVE TO STOCHASTIC LOCAL VOLATILITY MODELS In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] | article | 1 |
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