Access Statistics for Lech A. Grzelak

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Computational Approach to Hedging Credit Valuation Adjustment in a Jump-Diffusion Setting 0 0 0 6 0 0 2 22
A neural network-based framework for financial model calibration 0 0 1 24 0 1 5 103
An Equity-Interest Rate Hybrid Model With Stochastic Volatility and the Interest Rate Smile 0 0 1 101 0 0 5 313
Cheapest-to-Deliver Collateral: A Common Factor Approach 0 0 1 3 0 0 2 16
Efficient Pricing and Calibration of High-Dimensional Basket Options 0 0 0 2 0 0 1 10
Fast Sampling from Time-Integrated Bridges using Deep Learning 0 0 0 3 0 0 0 14
Monte Carlo Simulation of SDEs using GANs 0 0 0 8 0 0 2 34
On Randomization of Affine Diffusion Processes with Application to Pricing of Options on VIX and S&P 500 0 0 0 9 0 0 3 10
On The Heston Model with Stochastic Interest Rates 0 0 0 91 0 0 0 270
On cross-currency models with stochastic volatility and correlated interest rates 0 1 2 70 2 3 15 220
Pricing and Hedging Prepayment Risk in a Mortgage Portfolio 0 0 1 19 0 0 8 51
Relevance of Wrong-Way Risk in Funding Valuation Adjustments 0 0 0 7 0 0 0 8
Sensitivities and Hedging of the Collateral Choice Option 0 0 0 1 0 0 0 2
Sparse Grid Method for Highly Efficient Computation of Exposures for xVA 0 0 0 4 0 0 0 11
The Seven-League Scheme: Deep learning for large time step Monte Carlo simulations of stochastic differential equations 0 0 0 9 0 0 0 22
Total Working Papers 0 1 6 357 2 4 43 1,106

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A computational approach to hedging Credit Valuation Adjustment in a jump-diffusion setting 0 0 0 2 0 0 2 14
A novel Monte Carlo approach to hybrid local volatility models 0 0 0 3 0 2 4 16
COLLOCATING VOLATILITY: A COMPETITIVE ALTERNATIVE TO STOCHASTIC LOCAL VOLATILITY MODELS 0 0 1 4 0 0 2 17
Cheapest-to-deliver collateral: a common factor approach 0 0 1 1 0 2 9 13
Extension of stochastic volatility equity models with the Hull--White interest rate process 0 0 0 27 0 0 0 106
On Cross-Currency Models with Stochastic Volatility and Correlated Interest Rates 0 0 1 16 1 2 3 131
On a one time-step Monte Carlo simulation approach of the SABR model: Application to European options 0 0 0 9 0 0 1 24
On an efficient multiple time step Monte Carlo simulation of the SABR model 0 0 0 2 0 0 1 16
Pricing inflation products with stochastic volatility and stochastic interest rates 0 0 2 14 0 0 7 80
THE HESTON STOCHASTIC-LOCAL VOLATILITY MODEL: EFFICIENT MONTE CARLO SIMULATION 0 1 5 27 2 4 17 121
THE TIME-DEPENDENT FX-SABR MODEL: EFFICIENT CALIBRATION BASED ON EFFECTIVE PARAMETERS 0 0 0 7 0 1 4 48
The Seven-League Scheme: Deep Learning for Large Time Step Monte Carlo Simulations of Stochastic Differential Equations 0 0 0 1 0 1 2 11
The affine Heston model with correlated Gaussian interest rates for pricing hybrid derivatives 0 0 0 1 0 0 0 29
The stochastic collocation Monte Carlo sampler: highly efficient sampling from ‘expensive’ distributions 0 0 0 4 0 0 3 18
Total Journal Articles 0 1 10 118 3 12 55 644

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Statistics updated 2025-05-12