Lech A. Grzelak

Delft University of Technology

Dr.Ir.

Netherlands

SCHOLARLY PAPERS

17

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Top 5,436

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14,201

SSRN CITATIONS
Rank 12,185

SSRN RANKINGS

Top 12,185

in Total Papers Citations

76

CROSSREF CITATIONS

49

Scholarly Papers (17)

1.

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 Utrecht University - Faculty of Science
Downloads 2,102 (13,989)
Citation 20

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

2.

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 Utrecht University - Faculty of Science
Downloads 2,079 (14,228)
Citation 13

Abstract:

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

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 Utrecht University - Faculty of Science
Downloads 1,389 (26,435)
Citation 8

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

4.

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 Utrecht University - Faculty of Science
Downloads 1,142 (35,143)
Citation 2

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

5.
Downloads 1,022 (41,161)
Citation 6

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 Utrecht University - Faculty of Science
Downloads 1,022 (40,542)

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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 Utrecht University - Faculty of Science
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Citation 4
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arbitrage-free density, collocation method, orthogonal projection, arbitrage-free volatility, SCMC sampler, implied volatility parameterization

6.

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, Utrecht University - Faculty of Science and Independent
Downloads 901 (49,099)
Citation 9

Abstract:

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

7.

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 Utrecht University - Faculty of Science
Downloads 873 (51,308)
Citation 3

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

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 Utrecht University - Faculty of Science
Downloads 742 (63,906)
Citation 12

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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, Utrecht University - Faculty of Science and Independent
Downloads 712 (67,351)
Citation 3

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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 Utrecht University - Faculty of Science
Downloads 643 (76,751)

Abstract:

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

11.

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 612 (81,589)
Citation 2

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

12.

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 Utrecht University - Faculty of Science
Downloads 611 (81,761)
Citation 15

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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

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 Utrecht University - Faculty of Science
Downloads 428 (126,320)
Citation 4

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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 Utrecht University - Faculty of Science
Downloads 374 (147,299)
Citation 3

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.

Collocating Volatility: A Competitive Alternative to Stochastic Local Volatility Models

International Journal of Theoretical and Applied Finance, Vol. 23, No. 6 (September 2020)
Number of pages: 33 Posted: 09 Oct 2018 Last Revised: 04 Sep 2020
Rabobank, Delft University of Technology and Utrecht University - Faculty of Science
Downloads 324 (172,144)
Citation 2

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

16.

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 Utrecht University - Faculty of Science
Downloads 233 (240,618)

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

17.

GPU Acceleration of the Seven-League Scheme for Large Time Step Simulations of Stochastic Differential Equations

Chapter in Mathematics: Key Enabling Technology for Scientific Machine Learning by NDNS+ Cluster. 2021
Number of pages: 6 Posted: 13 Feb 2023
Delft University of Technology - Delft Institute of Applied Mathematics (DIAM), University of Coruña - Department of Mathematics, Delft University of Technology and University of Amsterdam - Swammerdam Institute of Life Sciences
Downloads 14 (1,003,036)

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Deep Learning, Stochastic differential equations, Monte Carlo simulations, GPU