Lech A. Grzelak : Citation Profile

Universiteit Utrecht

8

H index

7

i10 index

219

Citations

RESEARCH PRODUCTION:

14

Articles

15

Papers

RESEARCH ACTIVITY:

   12 years (2010 - 2022). See details.
   Cites by year: 18
   Journals where Lech A. Grzelak has often published
   Relations with other researchers
   Recent citing documents: 36.    Total self citations: 12 (5.19 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pgr308
   Updated: 2025-07-19    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 (6)

Oosterlee, Cornelis (5)

Ballotta, Laura (4)

Cao, Jiling (4)

Itkin, Andrey (3)

Escobar Anel, Marcos (3)

Recchioni, Maria (3)

Choi, Jaehyuk (2)

Pallavicini, Andrea (2)

Cites to:

Oosterlee, Cornelis (26)

Fang, Fang (10)

Brigo, Damiano (10)

Pallavicini, Andrea (8)

Platen, Eckhard (3)

Schlag, Christian (3)

Singleton, Kenneth (3)

Duffie, Darrell (3)

Goutte, Stéphane (3)

pan, jun (3)

merton, robert (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 (2025 and 2024)

YearTitle of citing document
2024Participating life insurances in an equity-Libor Market Model. (2024). Devineau, Laurent ; Hainaut, Donatien. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2024015.

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2025Explicit 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.

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2024Efficient 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.

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

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2024Randomization of Short-Rate Models, Analytic Pricing and Flexibility in Controlling Implied Volatilities. (2024). Grzelak, Lech A. In: Papers. RePEc:arx:papers:2211.05014.

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2024Accelerated Computations of Sensitivities for xVA. (2024). Grzelak, Lech A ; Deelstra, Griselda ; Wolf, Felix. 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. (2024). , Shaun ; Jaber, Eduardo Abi ; Illand, Camille. In: Papers. RePEc:arx:papers:2212.08297.

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2024Joint 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.

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2024Deep calibration with random grids. (2024). 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. (2024). Barucca, Paolo ; Hoshisashi, Kentaro ; Phelan, Carolyn E. In: Papers. RePEc:arx:papers:2310.16703.

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2024Principal 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.

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2024On 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.

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

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2025Operator Deep Smoothing for Implied Volatility. (2024). Wiedemann, Ruben ; Gonon, Lukas ; Jacquier, Antoine. In: Papers. RePEc:arx:papers:2406.11520.

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2025Calibrating the Heston model with deep differential networks. (2025). Morandotti, Marco ; Amici, Giovanni ; Zhang, Chen. In: Papers. RePEc:arx:papers:2407.15536.

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2024On 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.

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2024Efficient simulation of the SABR model. (2024). Kwok, Yue Kuen ; Hu, Lilian ; Choi, Jaehyuk. In: Papers. RePEc:arx:papers:2408.01898.

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2024Option Pricing with Stochastic Volatility, Equity Premium, and Interest Rates. (2024). Hao, Nicole ; Li, Echo ; Luong-Le, Diep. In: Papers. RePEc:arx:papers:2408.15416.

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2024Whack-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.

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2024Volatility 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.

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2024Deep learning interpretability for rough volatility. (2024). Brigo, Damiano ; Yuan, BO ; Jacquier, Antoine ; Pede, Nicola. 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). Agazzotti, Gaetano ; Rinella, Claudio Aglieri ; Kirkby, Justin Lars ; Aguilar, Jean-Philippe. In: Papers. RePEc:arx:papers:2502.13824.

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2025The Volterra Stein-Stein model with stochastic interest rates. (2025). Hainaut, Donatien ; Motte, Edouard ; Jaber, Eduardo Abi. In: Papers. RePEc:arx:papers:2503.01716.

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2025Numerical 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.

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2025A 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.

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2025Skew–Brownian processes for estimating the volatility of crude oil Brent. (2025). Orlando, Giuseppe ; Bufalo, Michele ; Liseo, Brunero. In: International Journal of Forecasting. RePEc:eee:intfor:v:41:y:2025:i:2:p:763-780.

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2024Consistent 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.

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2024Implied 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.

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2024A 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.

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2024Exploring 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.

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2024Predicting 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.

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2024Modelling 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.

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2024Stochastic 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.

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2024Joint 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.

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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]		paper35
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]		article10
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]		article11
2012Extension of stochastic volatility equity models with the Hull--White interest rate process In: Quantitative Finance.
[Full Text][Citation analysis]		article26
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]		article26
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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