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Relevance of wrong-way risk in funding valuation adjustments
Zwaard, Thomas van der; Grzelak, Lech A.; Oosterlee, … - In: Finance research letters 49 (2022), pp. 1-8
Persistent link: https://www.econbiz.de/10013478834
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On cross-currency models with stochastic volatility and correlated interest rates
Grzelak, Lech A.; Oosterlee, Cornelis W. - In: Applied mathematical finance 19 (2012) 1/2, pp. 1-35
Persistent link: https://www.econbiz.de/10009561244
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Calibration and Monte Carlo pricing of the SABR–Hull–White model for long-maturity equity derivatives
Chen, Bin; Grzelak, Lech A.; Oosterlee, Cornelis W. - In: The journal of computational finance 15 (2011/12) 4, pp. 79-113
Persistent link: https://www.econbiz.de/10009575387
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The time-dependent FX-SABR model : efficient calibration based on effective parameters
Stoep, Anthonie W. van der; Grzelak, Lech A.; … - In: International journal of theoretical and applied finance 18 (2015) 6, pp. 1-38
Persistent link: https://www.econbiz.de/10011403947
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The Heston stochastic-local volatility model : efficient Monte Carlo simulation
Stoep, Anthonie W. van der; Grzelak, Lech A.; … - In: International journal of theoretical and applied finance 17 (2014) 7, pp. 1-30
Persistent link: https://www.econbiz.de/10010498851
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Pricing inflation products with stochastic volatility and stochastic interest rates
Singor, Stefan N.; Grzelak, Lech A.; Bragt, David D. B. van - In: Insurance 52 (2013) 2, pp. 286-299
Persistent link: https://www.econbiz.de/10009736105
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From arbitrage to arbitrage-free implied volatilities
Grzelak, Lech A.; Oosterlee, Cornelis Willebrordus - In: The journal of computational finance 20 (2016/2017) 3, pp. 31-49
Persistent link: https://www.econbiz.de/10011689678
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Collocating volatility : a competitive alternative to stochastic local volatility models
Stoep, Anthonie W. van der; Grzelak, Lech A.; … - In: International journal of theoretical and applied finance 23 (2020) 6, pp. 1-42
Persistent link: https://www.econbiz.de/10012496758
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The stochastic collocation Monte Carlo sampler : highly efficient sampling from "expensive" distributions
Grzelak, Lech A.; Witteveen, J. A. S.; Suárez-Taboada, M. - In: Quantitative finance 19 (2019) 2, pp. 339-356
Persistent link: https://www.econbiz.de/10012194657
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Mathematical modeling and computation in finance : with exercises and Python and Matlab computer codes
Oosterlee, Cornelis Willebrordus; Grzelak, Lech A. - 2020
Persistent link: https://www.econbiz.de/10012121628