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Lech A. Grzelak

Identifiers

  • name variant Lech A. Grzelak 0.60 · backfill

Papers (16)

  1. Modeling and Replication of the Prepayment Option of Mortgages including Behavioral Uncertainty q-fin.CP · 2024 · author #2
  2. Consistent asset modelling with random coefficients and switches between regimes q-fin.PR · 2024 · author #3
  3. GPU acceleration of the Seven-League Scheme for large time step simulations of stochastic differential equations math.NA · 2023 · author #3
  4. Accelerated Computations of Sensitivities for xVA q-fin.RM · 2022 · author #2
  5. Randomization of Short-Rate Models, Analytic Pricing and Flexibility in Controlling Implied Volatilities q-fin.CP · 2022 · author #1
  6. On Pricing of Discrete Asian and Lookback Options under the Heston Model q-fin.CP · 2022 · author #2
  7. On Randomization of Affine Diffusion Processes with Application to Pricing of Options on VIX and S&P 500 q-fin.CP · 2022 · author #1
  8. Sensitivities and Hedging of the Collateral Choice Option q-fin.RM · 2022 · author #2
  9. Efficient Pricing and Calibration of High-Dimensional Basket Options q-fin.CP · 2022 · author #1
  10. Fast Sampling from Time-Integrated Bridges using Deep Learning q-fin.CP · 2021 · author #2
  11. Pricing and Hedging Prepayment Risk in a Mortgage Portfolio q-fin.RM · 2021 · author #2
  12. Sparse Grid Method for Highly Efficient Computation of Exposures for xVA q-fin.CP · 2021 · author #1
  13. Monte Carlo Simulation of SDEs using GANs cs.LG · 2021 · author #3
  14. Cheapest-to-Deliver Collateral: A Common Factor Approach q-fin.RM · 2021 · author #2
  15. The Seven-League Scheme: Deep learning for large time step Monte Carlo simulations of stochastic differential equations math.NA · 2020 · author #2
  16. A neural network-based framework for financial model calibration q-fin.CP · 2019 · author #3

Mentions

  • 2211.05014 #1 · arxiv_oai · confidence 0.70 Lech A. Grzelak
  • 2410.21110 #2 · arxiv_oai · confidence 0.70 Lech A. Grzelak
  • 2401.09955 #3 · arxiv_oai · confidence 0.70 Lech A. Grzelak
  • 2211.03638 #2 · arxiv_oai · confidence 0.70 Lech A. Grzelak
  • 2211.17026 #2 · arxiv_oai · confidence 0.70 Lech A. Grzelak
  • 2302.05170 #3 · arxiv_oai · confidence 0.70 Lech A. Grzelak
  • 2208.12518 #1 · arxiv_oai · confidence 0.70 Lech A. Grzelak
  • 2207.10373 #2 · arxiv_oai · confidence 0.70 Lech A. Grzelak
  • 2206.09877 #1 · arxiv_oai · confidence 0.70 Lech A. Grzelak
  • 2104.14319 #1 · arxiv_oai · confidence 0.70 Lech A. Grzelak
  • 2111.13901 #2 · arxiv_oai · confidence 0.70 Lech A. Grzelak
  • 2109.14977 #2 · arxiv_oai · confidence 0.70 Lech A. Grzelak
  • 2009.03202 #2 · arxiv_oai · confidence 0.70 Lech A. Grzelak
  • 2103.06107 #2 · arxiv_oai · confidence 0.70 Lech A. Grzelak
  • 2104.01437 #3 · arxiv_oai · confidence 0.70 Lech A. Grzelak
  • 1904.10523 #3 · arxiv_oai · confidence 0.70 Lech A. Grzelak

Frequent Coauthors