Publications
2022
Scholarly publications
van Rhijn, J.
, Oosterlee, C. W., Grzelak, L. A., & Liu, S. (Accepted/In press).
Monte Carlo simulation of SDEs using GANs.
Japan Journal of Industrial and Applied Mathematics.
https://doi.org/10.1007/s13160-022-00534-xLiu, S.
, Grzelak, L. A., & Oosterlee, C. W. (2022).
The Seven-League Scheme: Deep Learning for Large Time Step Monte Carlo Simulations of Stochastic Differential Equations.
Risks,
10(3), [47].
https://doi.org/10.3390/risks10030047Deelstra, G.
, Grzelak, L. A., & Wolf, F. L. (2022).
Sensitivities and Hedging Of The Collateral Choice Option.
International Journal of Theoretical and Applied Finance,
25(6), [2250027].
https://doi.org/10.1142/S0219024922500273Casamassima, E.
, Grzelak, L. A., Mulder, F. A.
, & Oosterlee, C. W. (2022).
Pricing and hedging prepayment risk in a mortgage portfolio.
International Journal of Theoretical and Applied Finance,
25(4-5), [2250016].
https://doi.org/10.1142/S02190249225001692021
Scholarly publications
van der Zwaard, T., Grzelak, L. A., & Oosterlee, C. W. (2021).
A computational approach to hedging Credit Valuation Adjustment in a jump-diffusion setting.
Applied Mathematics and Computation,
391, [125671].
https://doi.org/10.1016/j.amc.2020.125671 Wolf, F. L., Grzelak, L. A., & Deelstra, G. (2021). Cheapest-to-Deliver Collateral: A Common Factor Approach.
Perotti, L., & Grzelak, L. A. (2021). Fast Sampling from Time-Integrated Bridges using Deep Learning.
Grzelak, L. (2021, Apr 29). Sparse Grid Method for Highly Efficient Computation of Exposures for xVA. Elsevier.
van der Zwaard, T., Grzelak, L. A., & Oosterlee, C. W. (2021).
A computational approach to hedging Credit Valuation Adjustment in a jump-diffusion setting.
Applied Mathematics and Computation.
https://doi.org/10.1016/j.amc.2020.125671 van Rhijn, J., Oosterlee, C. W., Grzelak, L. A., & Liu, S. (2021). Monte Carlo simulation of SDEs using GANs.
2020
Scholarly publications
Van Der Stoep, A. W.
, Grzelak, L. A., & Oosterlee, C. W. (2020).
COLLOCATING VOLATILITY: A COMPETITIVE ALTERNATIVE to STOCHASTIC LOCAL VOLATILITY MODELS.
International Journal of Theoretical and Applied Finance,
23(6), [2050038].
https://doi.org/10.1142/S0219024920500387Oosterlee, C. W., & Grzelak, L. A. (2020). Mathematical modeling and computation in finance: With exercises and python and matlab computer codes. World Scientific Publishing Co.
Liu, S., Grzelak, L. A., & Oosterlee, C. W. (2020). The Seven-League Scheme: Deep learning for large time step Monte Carlo simulations of stochastic differential equations.
Liu, S., Grzelak, L. A., & Oosterlee, C. W. (2020). The Seven-League Scheme: Deep learning for large time step Monte Carlo simulations of stochastic differential equations.
Van Der Stoep, A. W.
, Grzelak, L. A., & Oosterlee, C. W. (2020).
COLLOCATING VOLATILITY: A COMPETITIVE ALTERNATIVE to STOCHASTIC LOCAL VOLATILITY MODELS.
International Journal of Theoretical and Applied Finance.
https://doi.org/10.1142/S02190249205003872019
Scholarly publications
Liu, S., Borovykh, A.
, Grzelak, L. A., & Oosterlee, C. W. (2019).
A neural network-based framework for financial model calibration.
Journal of Mathematics in Industry,
9(1), [9].
https://doi.org/10.1186/s13362-019-0066-7Liu, S., Borovykh, A., Grzelak, L. A., & Oosterlee, C. W. (2019). A neural network-based framework for financial model calibration.
Grzelak, L. A., Witteveen, J. A. S., Suárez-Taboada, M.
, & Oosterlee, C. W. (2019).
The stochastic collocation Monte Carlo sampler: highly efficient sampling from ‘expensive’ distributions.
Quantitative Finance.
https://doi.org/10.1080/14697688.2018.1459807 Liu, S., Borovykh, A.
, Grzelak, L. A., & Oosterlee, C. W. (2019).
A neural network-based framework for financial model calibration.
Journal of Mathematics in Industry.
https://doi.org/10.1186/s13362-019-0066-7 2018
Scholarly publications
Suárez-Taboada, M.
, Witteveen, J. A. S., Grzelak, L. A., & Oosterlee, C. W. (2018).
Uncertainty quantification and Heston model.
Journal of Mathematics in Industry.
https://doi.org/10.1186/s13362-018-0047-22017
Scholarly publications
Leitao, Á.
, Grzelak, L. A., & Oosterlee, C. W. (2017).
On a one time-step Monte Carlo simulation approach of the SABR model: Application to European options.
Applied Mathematics and Computation.
https://doi.org/10.1016/j.amc.2016.08.0302015
Scholarly publications
Van Der Stoep, A. W.
, Grzelak, L. A., & Oosterlee, C. W. (2015).
THE TIME-DEPENDENT FX-SABR MODEL: EFFICIENT CALIBRATION BASED on EFFECTIVE PARAMETERS.
International Journal of Theoretical and Applied Finance.
https://doi.org/10.1142/S02190249155004292014
Scholarly publications
Van Der Stoep, A. W.
, Grzelak, L. A., & Oosterlee, C. W. (2014).
The Heston stochastic-local volatility model: Efficient Monte Carlo simulation.
International Journal of Theoretical and Applied Finance.
https://doi.org/10.1142/S02190249145004592013
Scholarly publications
Singor, S. N.
, Grzelak, L. A., van Bragt, D. D. B.
, & Oosterlee, C. W. (2013).
Pricing inflation products with stochastic volatility and stochastic interest rates.
Insurance: Mathematics and Economics.
https://doi.org/10.1016/j.insmatheco.2013.01.003Guo, S., Grzelak, L. A., & Oosterlee, C. W. (2013).
Analysis of an affine version of the Heston-Hull-White option pricing partial differential equation.
Applied Numerical Mathematics.
https://doi.org/10.1016/j.apnum.2013.06.004 2012
Scholarly publications
Grzelak, L. A., Oosterlee, C. W., & van Weeren, S. (2012).
Extension of stochastic volatility equity models with the Hull-White interest rate process.
Quantitative Finance.
https://doi.org/10.1080/14697680903170809 Zhang, B., Grzelak, L. A., & Oosterlee, C. W. (2012).
Efficient pricing of commodity options with early-exercise under the Ornstein-Uhlenbeck process.
Applied Numerical Mathematics.
https://doi.org/10.1016/j.apnum.2011.10.005 Zhang, B., Grzelak, L. A., & Oosterlee, C. W. (2012).
Efficient pricing of commodity options with early-exercise under the Ornstein-Uhlenbeck process.
Applied Numerical Mathematics.
https://doi.org/10.1016/j.apnum.2011.10.005 Chen, B., Grzelak, L. A., & Oosterlee, C. W. (2012).
Calibration and Monte Carlo pricing of the SABR-Hull-White model for long-maturity equity derivatives.
Journal of Computational Finance.
https://doi.org/10.21314/JCF.2012.237 Grzelak, L. A., & Oosterlee, C. W. (2012).
An equity-interest rate hybrid model with stochastic volatility and the interest rate smile.
Journal of Computational Finance.
https://doi.org/10.21314/JCF.2012.238 2011
Scholarly publications
Grzelak, L. A., & Oosterlee, C. W. (2011).
On the heston model with stochastic interest rates.
SIAM Journal on Financial Mathematics.
https://doi.org/10.1137/090756119 Grzelak, L. A., Oosterlee, C. W., & van Weeren, S. (2011).
The affine Heston model with correlated Gaussian interest rates for pricing hybrid derivatives.
Quantitative Finance.
https://doi.org/10.1080/14697688.2011.615216 2007
Scholarly publications
Achterbosch, G. G. J.
, & Grzelak, L. A. (2007).
Determination of the corrosion rate of a MIC influenced pipeline using 4 consecutive pig runs. In
Proceedings of the Biennial International Pipeline Conference, IPC https://doi.org/10.1115/IPC2006-10142