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 1 7 0 0 10 33
A neural network-based framework for financial model calibration 0 0 1 26 0 1 30 136
An Equity-Interest Rate Hybrid Model With Stochastic Volatility and the Interest Rate Smile 0 0 1 103 0 1 21 338
Cheapest-to-Deliver Collateral: A Common Factor Approach 0 0 0 4 1 1 11 32
Efficient Pricing and Calibration of High-Dimensional Basket Options 0 0 0 2 0 1 6 17
Fast Sampling from Time-Integrated Bridges using Deep Learning 0 0 0 3 0 2 9 24
Monte Carlo Simulation of SDEs using GANs 0 0 0 8 0 1 6 40
On Randomization of Affine Diffusion Processes with Application to Pricing of Options on VIX and S&P 500 0 0 0 9 1 3 13 25
On The Heston Model with Stochastic Interest Rates 0 0 0 91 0 1 26 296
On cross-currency models with stochastic volatility and correlated interest rates 0 1 3 73 0 2 23 244
Pricing and Hedging Prepayment Risk in a Mortgage Portfolio 0 0 0 19 1 4 16 67
Relevance of Wrong-Way Risk in Funding Valuation Adjustments 0 0 0 7 0 1 9 18
Sensitivities and Hedging of the Collateral Choice Option 0 0 0 1 0 1 9 11
Sparse Grid Method for Highly Efficient Computation of Exposures for xVA 0 0 0 4 1 2 15 27
The Seven-League Scheme: Deep learning for large time step Monte Carlo simulations of stochastic differential equations 0 0 0 9 0 0 12 35
Total Working Papers 0 1 6 366 4 21 216 1,343

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 8 24
A novel Monte Carlo approach to hybrid local volatility models 0 0 0 3 0 2 14 30
COLLOCATING VOLATILITY: A COMPETITIVE ALTERNATIVE TO STOCHASTIC LOCAL VOLATILITY MODELS 0 0 0 4 0 1 13 30
Cheapest-to-deliver collateral: a common factor approach 0 0 0 1 0 0 14 29
Extension of stochastic volatility equity models with the Hull--White interest rate process 0 0 1 28 0 0 18 129
On Cross-Currency Models with Stochastic Volatility and Correlated Interest Rates 0 0 0 16 0 3 8 141
On a one time-step Monte Carlo simulation approach of the SABR model: Application to European options 0 0 0 10 0 1 22 48
On an efficient multiple time step Monte Carlo simulation of the SABR model 0 0 0 3 1 1 18 35
Pricing inflation products with stochastic volatility and stochastic interest rates 0 0 1 15 0 3 12 93
THE HESTON STOCHASTIC-LOCAL VOLATILITY MODEL: EFFICIENT MONTE CARLO SIMULATION 2 2 5 33 3 5 32 158
THE TIME-DEPENDENT FX-SABR MODEL: EFFICIENT CALIBRATION BASED ON EFFECTIVE PARAMETERS 0 0 2 9 0 2 17 66
The Seven-League Scheme: Deep Learning for Large Time Step Monte Carlo Simulations of Stochastic Differential Equations 0 0 0 1 0 0 6 17
The affine Heston model with correlated Gaussian interest rates for pricing hybrid derivatives 0 0 0 2 0 2 13 44
The stochastic collocation Monte Carlo sampler: highly efficient sampling from ‘expensive’ distributions 0 0 2 6 0 2 20 39
Total Journal Articles 2 2 11 133 4 22 215 883

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Statistics updated 2026-10-11