Lech A. Grzelak

Delft University of Technology

Dr.Ir.

Netherlands

SCHOLARLY PAPERS

16

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9,627

CITATIONS
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Top 11,959

in Total Papers Citations

63

Scholarly Papers (16)

1.

On the Heston Model with Stochastic Interest Rates

SIAM Journal on Financial Mathematics 2, 255–286, 2011
Number of pages: 25 Posted: 15 Apr 2009 Last Revised: 06 Aug 2014
Lech A. Grzelak and Cornelis W. Oosterlee
Delft University of Technology and Center for Mathematics and Computer Science (CWI)
Downloads 1,746 (8,981)
Citation 1

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Heston-Hull-White, Heston-Cox-Ingersoll-Ross, equity-interest rate hybrid products, affine jump diffusion processes

2.

The Heston Stochastic-Local Volatility Model: Efficient Monte Carlo Simulation

International Journal of Theoretical and Applied Finance, Vol. 17, No. 7 (2014).
Number of pages: 25 Posted: 13 Jun 2013 Last Revised: 20 May 2018
Rabobank, Delft University of Technology and Center for Mathematics and Computer Science (CWI)
Downloads 974 (22,328)
Citation 8

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Heston Stochastic-Local Volatility, HSLV, Stochastic Volatility, Local Volatility, Heston, Hybrid Models, Calibration, Monte Carlo

3.

The Stochastic Collocation Monte Carlo Sampler: Highly Efficient Sampling from 'Expensive' Distributions

Quantitative Finance, 2018, Forthcoming
Number of pages: 25 Posted: 24 Nov 2014 Last Revised: 13 May 2018
Delft University of Technology, Center for Mathematics and Computer Science (CWI), University of Coruña and Center for Mathematics and Computer Science (CWI)
Downloads 856 (26,880)
Citation 3

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Exact Sampling, Heston, Squared Bessel, SABR, Stochastic Collocation, Lagrange Interpolation, Monte Carlo

4.

Extension of Stochastic Volatility Equity Models with Hull-White Interest Rate Process

Quantitative Finance, 12, p.89–105, 2012
Number of pages: 26 Posted: 17 Feb 2009 Last Revised: 06 Aug 2014
Delft University of Technology, Center for Mathematics and Computer Science (CWI) and Independent
Downloads 802 (29,442)
Citation 2

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Schobel-Zhu-Hull-White, Heston-Hull-White, stochastic volatility, hybrid

5.

Incorporating an Interest Rate Smile in an Equity Local Volatility Model

Number of pages: 22 Posted: 06 Nov 2008 Last Revised: 20 Oct 2010
Delft University of Technology, affiliation not provided to SSRN, Independent and Center for Mathematics and Computer Science (CWI)
Downloads 756 (31,942)
Citation 3

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Local Volatility with Stochastic Interest Rates, Hybrid Model, Stochastic Volatility, Libor Market Model, Volatility Smiles

From Arbitrage to Arbitrage-Free Implied Volatilities

Journal of Computational Finance 20(3), 1-19, 2016
Number of pages: 12 Posted: 24 Nov 2014 Last Revised: 05 Jul 2016
Lech A. Grzelak and Cornelis W. Oosterlee
Delft University of Technology and Center for Mathematics and Computer Science (CWI)
Downloads 659 (37,862)

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Arbitrage-free Hagan’s density, Collocation Method, Orthogonal Projection

From Arbitrage to Arbitrage-Free Implied Volatilities

Journal of Computational Finance, Forthcoming
Number of pages: 19 Posted: 05 Jul 2016
Lech A. Grzelak and Cornelis W. Oosterlee
Delft University of Technology and Center for Mathematics and Computer Science (CWI)
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Citation 2
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arbitrage-free density, collocation method, orthogonal projection, arbitrage-free volatility, SCMC sampler, implied volatility parameterization

7.

The Time-Dependent FX-SABR Model: Efficient Calibration Based on Effective Parameters

International Journal of Theoretical and Applied Finance, Vol. 18, No. 6 (2015)
Number of pages: 30 Posted: 04 Oct 2014 Last Revised: 28 Sep 2015
Rabobank, Delft University of Technology and Center for Mathematics and Computer Science (CWI)
Downloads 626 (41,177)
Citation 2

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Time-Dependent SABR, FX, Calibration, Effective Parameters, Local Volatility, Monte Carlo, Path-Dependent

8.

An Equity-Interest Rate Hybrid Model with Stochastic Volatility and the Interest Rate Smile

The Journal of Computational Finance (1–33) Volume 15/Number 4, Summer 2012
Number of pages: 24 Posted: 31 Jan 2010 Last Revised: 11 Nov 2014
Lech A. Grzelak and Cornelis W. Oosterlee
Delft University of Technology and Center for Mathematics and Computer Science (CWI)
Downloads 606 (43,003)
Citation 7

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Hybrid Models, Heston Equity Model, Libor Market Model with Stochastic Volatility, Displaced Diffusion, Affine Diffusion, Fast Calibration

9.

The Affine Heston Model with Correlated Gaussian Interest Rates for Pricing Hybrid Derivatives

Quantitative Finance, 11:11, 1647-1663, 2011
Number of pages: 23 Posted: 17 Jul 2009 Last Revised: 21 Oct 2014
Delft University of Technology, Center for Mathematics and Computer Science (CWI) and Independent
Downloads 580 (45,578)

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Hybrid, Heston-Gaussian Multi-Factor Model (H-Gn), Affine Diffusion, Stochastic Volatility

10.

Calibration and Monte Carlo Pricing of the SABR-Hull-White Model for Long-Maturity Equity Derivatives

The Journal of Computational Finance (79–113) Volume 15/Number 4, Summer 2012
Number of pages: 24 Posted: 25 Feb 2011 Last Revised: 11 Nov 2014
Bin Chen, Lech A. Grzelak and Cornelis W. Oosterlee
Center for Mathematics and Computer Science (CWI), Delft University of Technology and Center for Mathematics and Computer Science (CWI)
Downloads 472 (59,193)

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hybrid SABR-HW model, calibration, model approximation, weighted Monte Carlo method

11.

On Cross-Currency Models with Stochastic Volatility and Correlated Interest Rates

Applied Mathematical Finance Volume19, Issue 1, 2012
Number of pages: 26 Posted: 03 Jun 2010 Last Revised: 21 Oct 2014
Lech A. Grzelak and Cornelis W. Oosterlee
Delft University of Technology and Center for Mathematics and Computer Science (CWI)
Downloads 425 (67,233)
Citation 4

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Foreign-exchange (FX), stochastic volatility, Heston model, stochastic interest rates, interest rate smile, forward characteristic function, hybrids, affne diffusion, effcient calibration

12.

The CLV Framework - A Fresh Look at Efficient Pricing with Smile

Number of pages: 16 Posted: 16 Mar 2016
Lech A. Grzelak
Delft University of Technology
Downloads 349 (84,717)
Citation 1

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Parametric Local Volatility, Stochastic Collocation Method, SCMC sampler, Monte Carlo, Basket Options, Efficient Pricing

13.

On an Efficient Multiple Time-Step Monte Carlo Simulation of the SABR Model

Quantitative Finance 17(10): 1549-1565, 2017
Number of pages: 28 Posted: 17 Apr 2016 Last Revised: 28 Oct 2018
University of Coruña - Department of Mathematics - M2NICA, Delft University of Technology and Center for Mathematics and Computer Science (CWI)
Downloads 317 (94,293)

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SABR model; Exact simulation; Monte Carlo methods; Copulas; Stochastic collocation; Fourier techniques; Exotic options

14.

A Novel Monte Carlo Approach to Hybrid Local Volatility Models

Quantitative Finance, Vol. 17, No. 9 (September 2017)
Number of pages: 31 Posted: 21 Apr 2016 Last Revised: 28 Mar 2017
Rabobank, Delft University of Technology and Center for Mathematics and Computer Science (CWI)
Downloads 253 (120,037)
Citation 1

Abstract:

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Local volatility, Monte Carlo, hybrid, stochastic volatility, stochastic local volatility, stochastic interest rates, stochastic collocation, regression, SABR, Heston, Hull-White

15.

On a One Time-Step SABR Simulation Approach: Application to European Options

Applied Mathematics and Computation 293: 461-479, 2017
Number of pages: 25 Posted: 16 Apr 2016 Last Revised: 27 Oct 2018
University of Coruña - Department of Mathematics - M2NICA, Delft University of Technology and Center for Mathematics and Computer Science (CWI)
Downloads 142 (203,187)

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Computational finance, Stochastic-local volatility models, SABR model, Copulas

16.

Collocating Local Volatility: A Competitive Alternative to Stochastic Local Volatility Models

Number of pages: 31 Posted: 09 Oct 2018
Rabobank, Delft University of Technology and Center for Mathematics and Computer Science (CWI)
Downloads 64 (343,383)

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Collocating Local Volatility, stochastic local volatility, Monte Carlo, stochastic collocation, calibration, forward volatility, barrier options