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 3 3 4 26
A neural network-based framework for financial model calibration 1 1 2 26 1 6 9 111
An Equity-Interest Rate Hybrid Model With Stochastic Volatility and the Interest Rate Smile 1 1 2 103 3 5 8 321
Cheapest-to-Deliver Collateral: A Common Factor Approach 0 1 1 4 0 5 6 22
Efficient Pricing and Calibration of High-Dimensional Basket Options 0 0 0 2 1 1 2 12
Fast Sampling from Time-Integrated Bridges using Deep Learning 0 0 0 3 0 1 2 16
Monte Carlo Simulation of SDEs using GANs 0 0 0 8 1 3 3 37
On Randomization of Affine Diffusion Processes with Application to Pricing of Options on VIX and S&P 500 0 0 0 9 0 1 4 13
On The Heston Model with Stochastic Interest Rates 0 0 0 91 1 3 3 273
On cross-currency models with stochastic volatility and correlated interest rates 0 1 3 71 0 3 13 224
Pricing and Hedging Prepayment Risk in a Mortgage Portfolio 0 0 0 19 0 1 1 52
Relevance of Wrong-Way Risk in Funding Valuation Adjustments 0 0 0 7 0 1 2 10
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 1 1 2 13
The Seven-League Scheme: Deep learning for large time step Monte Carlo simulations of stochastic differential equations 0 0 0 9 0 0 1 23
Total Working Papers 2 4 8 363 11 34 60 1,155

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 1 3 3 17
A novel Monte Carlo approach to hybrid local volatility models 0 0 0 3 1 2 5 18
COLLOCATING VOLATILITY: A COMPETITIVE ALTERNATIVE TO STOCHASTIC LOCAL VOLATILITY MODELS 0 0 0 4 1 1 1 18
Cheapest-to-deliver collateral: a common factor approach 0 0 0 1 2 3 8 17
Extension of stochastic volatility equity models with the Hull--White interest rate process 0 0 0 27 0 4 9 115
On Cross-Currency Models with Stochastic Volatility and Correlated Interest Rates 0 0 0 16 1 2 6 135
On a one time-step Monte Carlo simulation approach of the SABR model: Application to European options 0 0 1 10 0 1 3 27
On an efficient multiple time step Monte Carlo simulation of the SABR model 0 0 1 3 1 3 4 20
Pricing inflation products with stochastic volatility and stochastic interest rates 1 1 1 15 1 1 2 82
THE HESTON STOCHASTIC-LOCAL VOLATILITY MODEL: EFFICIENT MONTE CARLO SIMULATION 0 0 2 28 0 7 18 133
THE TIME-DEPENDENT FX-SABR MODEL: EFFICIENT CALIBRATION BASED ON EFFECTIVE PARAMETERS 0 1 1 8 0 3 5 52
The Seven-League Scheme: Deep Learning for Large Time Step Monte Carlo Simulations of Stochastic Differential Equations 0 0 0 1 0 0 1 11
The affine Heston model with correlated Gaussian interest rates for pricing hybrid derivatives 0 0 1 2 1 2 4 33
The stochastic collocation Monte Carlo sampler: highly efficient sampling from ‘expensive’ distributions 0 0 0 4 0 1 5 20
Total Journal Articles 1 2 7 124 9 33 74 698

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Statistics updated 2025-12-06