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 1 1 1 7 1 5 9 31
A neural network-based framework for financial model calibration 0 0 2 26 5 17 26 128
An Equity-Interest Rate Hybrid Model With Stochastic Volatility and the Interest Rate Smile 0 0 2 103 2 9 17 330
Cheapest-to-Deliver Collateral: A Common Factor Approach 0 0 1 4 1 7 13 29
Efficient Pricing and Calibration of High-Dimensional Basket Options 0 0 0 2 0 3 5 15
Fast Sampling from Time-Integrated Bridges using Deep Learning 0 0 0 3 1 6 8 22
Monte Carlo Simulation of SDEs using GANs 0 0 0 8 0 1 4 38
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 14
On The Heston Model with Stochastic Interest Rates 0 0 0 91 3 14 17 287
On cross-currency models with stochastic volatility and correlated interest rates 0 1 2 72 2 11 17 235
Pricing and Hedging Prepayment Risk in a Mortgage Portfolio 0 0 0 19 3 7 8 59
Relevance of Wrong-Way Risk in Funding Valuation Adjustments 0 0 0 7 0 7 9 17
Sensitivities and Hedging of the Collateral Choice Option 0 0 0 1 0 4 4 6
Sparse Grid Method for Highly Efficient Computation of Exposures for xVA 0 0 0 4 1 6 8 19
The Seven-League Scheme: Deep learning for large time step Monte Carlo simulations of stochastic differential equations 0 0 0 9 0 3 4 26
Total Working Papers 1 2 8 365 19 101 153 1,256

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 5 8 22
A novel Monte Carlo approach to hybrid local volatility models 0 0 0 3 0 4 8 22
COLLOCATING VOLATILITY: A COMPETITIVE ALTERNATIVE TO STOCHASTIC LOCAL VOLATILITY MODELS 0 0 0 4 2 9 10 27
Cheapest-to-deliver collateral: a common factor approach 0 0 0 1 1 8 12 25
Extension of stochastic volatility equity models with the Hull--White interest rate process 1 1 1 28 2 10 19 125
On Cross-Currency Models with Stochastic Volatility and Correlated Interest Rates 0 0 0 16 0 2 7 137
On a one time-step Monte Carlo simulation approach of the SABR model: Application to European options 0 0 1 10 2 9 12 36
On an efficient multiple time step Monte Carlo simulation of the SABR model 0 0 1 3 3 7 11 27
Pricing inflation products with stochastic volatility and stochastic interest rates 0 0 1 15 1 2 4 84
THE HESTON STOCHASTIC-LOCAL VOLATILITY MODEL: EFFICIENT MONTE CARLO SIMULATION 0 1 3 29 2 7 22 140
THE TIME-DEPENDENT FX-SABR MODEL: EFFICIENT CALIBRATION BASED ON EFFECTIVE PARAMETERS 0 0 1 8 0 7 11 59
The Seven-League Scheme: Deep Learning for Large Time Step Monte Carlo Simulations of Stochastic Differential Equations 0 0 0 1 0 1 1 12
The affine Heston model with correlated Gaussian interest rates for pricing hybrid derivatives 0 0 1 2 2 6 10 39
The stochastic collocation Monte Carlo sampler: highly efficient sampling from ‘expensive’ distributions 1 1 1 5 1 6 8 26
Total Journal Articles 2 3 10 127 17 83 143 781

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Statistics updated 2026-03-04