Publications
2024
Scholarly publications
Wolf, F. L., Deelstra, G., & Grzelak, L. A. (2024). Consistent asset modelling with random coefficients and switches between regimes. Mathematics and Computers in Simulation, 223, 65-85. https://doi.org/10.1016/j.matcom.2024.03.021
Zwaard, T. V. D., Grzelak, L. A., & Oosterlee, C. W. (2024). On the Hull-White model with volatility smile for Valuation Adjustments. arXiv. https://doi.org/10.48550/arXiv.2403.14841
https://dspace.library.uu.nl/bitstream/handle/1874/438040/2403.14841.pdf?sequence=1
https://dspace.library.uu.nl/bitstream/handle/1874/438040/2403.14841.pdf?sequence=1
2023
Scholarly publications
van Rhijn, J., Oosterlee, C. W., Grzelak, L. A., & Liu, S. (2023). Monte Carlo simulation of SDEs using GANs. Japan Journal of Industrial and Applied Mathematics, 40, 1359–1390. https://doi.org/10.1007/s13160-022-00534-x
Grzelak, L., Deelstra, G., & Wolf, F. (2023). Accelerated computations of sensitivities for xVA. International Journal of Computer Mathematics. Advance online publication. https://doi.org/10.1080/00207160.2023.2203277
Grzelak, L., Jablecki, J., & Gatarek, D. (2023). Efficient Pricing and Calibration of High-Dimensional Basket Options. International Journal of Computer Mathematics. Advance online publication. https://doi.org/10.1080/00207160.2023.2266051
Liu, S., Colonna, G., Grzelak, L. A., & Oosterlee, C. W. (2023). GPU acceleration of the Seven-League Scheme for large time step simulations of stochastic differential equations. (pp. 1-5). arXiv. https://doi.org/10.48550/arXiv.2302.05170
https://dspace.library.uu.nl/bitstream/handle/1874/433196/2302.05170v1.pdf?sequence=1
https://dspace.library.uu.nl/bitstream/handle/1874/433196/2302.05170v1.pdf?sequence=1
van Rhijn, J., Oosterlee, C. W., Grzelak, L. A., & Liu, S. (2023). Monte Carlo simulation of SDEs using GANs. Japan Journal of Industrial and Applied Mathematics, 40(3), 1359–1390. https://doi.org/10.1007/s13160-022-00534-x
2022
Scholarly publications
Liu, 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), Article 47. https://doi.org/10.3390/risks10030047
Grzelak, L. A. (2022). Sparse grid method for highly efficient computation of exposures for xVA. Applied Mathematics and Computation, 434, Article 127446. https://doi.org/10.1016/j.amc.2022.127446
Wolf, F. L., Grzelak, L. A., & Deelstra, G. (2022). Cheapest-to-deliver collateral: a common factor approach. Quantitative Finance, 22(4), 707-723. https://doi.org/10.1080/14697688.2021.1990375
https://dspace.library.uu.nl/bitstream/handle/1874/426314/Cheapest_to_deliver_collateral_a_common_factor_approach.pdf?sequence=1
https://dspace.library.uu.nl/bitstream/handle/1874/426314/Cheapest_to_deliver_collateral_a_common_factor_approach.pdf?sequence=1
Liu, 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), Article 47. https://doi.org/10.3390/risks10030047
Deelstra, 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), Article 2250027. https://doi.org/10.1142/S0219024922500273
Deelstra, G., Grzelak, L. A., & Wolf, F. L. (2022). Sensitivities and Hedging of the Collateral Choice Option. (pp. 1-29). arXiv. https://doi.org/10.48550/arXiv.2207.10373
Deelstra, G., Grzelak, L. A., & Wolf, F. (2022). Accelerated Computations of Sensitivities for xVA. (pp. 1-24). arXiv. https://doi.org/10.48550/arXiv.2211.17026
Grzelak, L. A., Jablecki, J., & Gatarek, D. (2022). Efficient Pricing and Calibration of High-Dimensional Basket Options. (pp. 1-23). arXiv. https://doi.org/10.48550/arXiv.2206.09877
Grzelak, L. A. (2022). Randomization of Short-Rate Models, Analytic Pricing and Flexibility in Controlling Implied Volatilities. arXiv. https://arxiv.org/abs/2211.05014
https://dspace.library.uu.nl/bitstream/handle/1874/426241/2211.05014v1.pdf?sequence=1
https://dspace.library.uu.nl/bitstream/handle/1874/426241/2211.05014v1.pdf?sequence=1
Perotti, L., & Grzelak, L. A. (2022). On Pricing of Discrete Asian and Lookback Options under the Heston Model. (pp. 1-26). arXiv. https://doi.org/10.48550/arXiv.2211.03638
Grzelak, L. A. (2022). On Randomization of Affine Diffusion Processes with Application to Pricing of Options on VIX and S&P 500. (pp. 1-24). arXiv. https://doi.org/10.48550/arXiv.2208.12518
Casamassima, 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), Article 2250016. https://doi.org/10.1142/S0219024922500169
Zwaard, T. V. D., Grzelak, L. A., & Oosterlee, C. W. (2022). Efficient Wrong-Way Risk Modelling for Funding Valuation Adjustments. (pp. 1-32). arXiv. https://doi.org/10.48550/arXiv.2209.12222
Zwaard, T. V. D., Grzelak, L. A., & Oosterlee, C. W. (2022). Relevance of Wrong-Way Risk in Funding Valuation Adjustments. Finance Research Letters, 49, Article 103091. https://doi.org/10.1016/j.frl.2022.103091
Zwaard, T. V. D., Grzelak, L. A., & Oosterlee, C. W. (2022). Relevance of Wrong-Way Risk in Funding Valuation Adjustments. (pp. 1-21). arXiv. https://doi.org/10.48550/arXiv.2204.02680
2021
Scholarly publications
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. arXiv. https://doi.org/10.48550/arXiv.2111.13901
https://dspace.library.uu.nl/bitstream/handle/1874/436667/2111.13901v1.pdf?sequence=1
https://dspace.library.uu.nl/bitstream/handle/1874/436667/2111.13901v1.pdf?sequence=1
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, Article 125671. https://doi.org/10.1016/j.amc.2020.125671
2020
Scholarly publications
Oosterlee, 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.
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/S0219024920500387
2019
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), Article 9. https://doi.org/10.1186/s13362-019-0066-7
Grzelak, L. A. (2019). The collocating local volatility framework–a fresh look at efficient pricing with smile. International Journal of Computer Mathematics. https://doi.org/10.1080/00207160.2018.1547378
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
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/s13362-018-0047-2
2017
Scholarly publications
van der Stoep, A. W., Grzelak, L. A., & Oosterlee, C. W. (2017). A novel Monte Carlo approach to hybrid local volatility models. Quantitative Finance. https://doi.org/10.1080/14697688.2017.1280613
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.2016.08.030
Leitao, Á., Grzelak, L. A., & Oosterlee, C. W. (2017). On an efficient multiple time step Monte Carlo simulation of the SABR model. Quantitative Finance. https://doi.org/10.1080/14697688.2017.1301676
Grzelak, L. A., & Oosterlee, C. W. (2017). From arbitrage to arbitrage-free implied volatilities. Journal of Computational Finance. https://doi.org/10.21314/JCF.2016.316
2015
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/S0219024915500429
2014
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/S0219024914500459
2013
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, 52(2), 286-299. https://doi.org/10.1016/j.insmatheco.2013.01.003
Guo, 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
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). On Cross-Currency Models with Stochastic Volatility and Correlated Interest Rates. Applied Mathematical Finance. https://doi.org/10.1080/1350486X.2011.570492
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