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 1 1 23
A neural network-based framework for financial model calibration 0 1 2 25 1 2 5 106
An Equity-Interest Rate Hybrid Model With Stochastic Volatility and the Interest Rate Smile 0 1 2 102 1 4 6 317
Cheapest-to-Deliver Collateral: A Common Factor Approach 1 1 1 4 4 5 6 21
Efficient Pricing and Calibration of High-Dimensional Basket Options 0 0 0 2 0 1 1 11
Fast Sampling from Time-Integrated Bridges using Deep Learning 0 0 0 3 0 0 1 15
Monte Carlo Simulation of SDEs using GANs 0 0 0 8 0 0 1 34
On Randomization of Affine Diffusion Processes with Application to Pricing of Options on VIX and S&P 500 0 0 0 9 0 2 3 12
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 0 2 70 0 0 12 221
Pricing and Hedging Prepayment Risk in a Mortgage Portfolio 0 0 0 19 0 0 2 51
Relevance of Wrong-Way Risk in Funding Valuation Adjustments 0 0 0 7 0 0 1 9
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 1 1 12
The Seven-League Scheme: Deep learning for large time step Monte Carlo simulations of stochastic differential equations 0 0 0 9 0 1 1 23
Total Working Papers 1 3 7 360 6 17 41 1,127

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 2 2 2 16
A novel Monte Carlo approach to hybrid local volatility models 0 0 0 3 0 0 4 16
COLLOCATING VOLATILITY: A COMPETITIVE ALTERNATIVE TO STOCHASTIC LOCAL VOLATILITY MODELS 0 0 0 4 0 0 0 17
Cheapest-to-deliver collateral: a common factor approach 0 0 0 1 1 2 7 15
Extension of stochastic volatility equity models with the Hull--White interest rate process 0 0 0 27 0 5 5 111
On Cross-Currency Models with Stochastic Volatility and Correlated Interest Rates 0 0 0 16 0 0 4 133
On a one time-step Monte Carlo simulation approach of the SABR model: Application to European options 0 0 1 10 0 1 2 26
On an efficient multiple time step Monte Carlo simulation of the SABR model 0 0 1 3 0 0 1 17
Pricing inflation products with stochastic volatility and stochastic interest rates 0 0 1 14 0 1 2 81
THE HESTON STOCHASTIC-LOCAL VOLATILITY MODEL: EFFICIENT MONTE CARLO SIMULATION 0 1 5 28 0 2 15 126
THE TIME-DEPENDENT FX-SABR MODEL: EFFICIENT CALIBRATION BASED ON EFFECTIVE PARAMETERS 0 0 0 7 0 0 2 49
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 1 1 2 0 2 2 31
The stochastic collocation Monte Carlo sampler: highly efficient sampling from ‘expensive’ distributions 0 0 0 4 0 1 4 19
Total Journal Articles 0 2 9 122 3 16 51 668

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Statistics updated 2025-10-06