Concepedia
Statistics
Publications
23
Citations
558
H-Index
15
Active since
2009
Affiliations
Delft University of Technology(Current)
Centrum Wiskunde & Informatica
Utrecht University
University of Applied Sciences Utrecht
ING Bank
Lech A. Grzelak is an author at Delft University of Technology specializing in financial economics, economics, and finance.
Publications per year
2009–2023
Extension of stochastic volatility equity models with the Hull–White interest rate process
Lech A. Grzelak, Cornelis W. Oosterlee, Sacha van Weeren · Quantitative Finance · 2009 · 78 citations
Business, Economics, Finance +17
THE HESTON STOCHASTIC-LOCAL VOLATILITY MODEL: EFFICIENT MONTE CARLO SIMULATION
ANTHONIE W. VAN DER STOEP, Lech A. Grzelak, Cornelis W. Oosterlee · International Journal of Theoretical and Applied Finance · 2014 · 64 citations · Full text
On Cross-Currency Models with Stochastic Volatility and Correlated Interest Rates
Lech A. Grzelak, Cornelis W. Oosterlee · Applied Mathematical Finance · 2011 · 53 citations
Extension of Stochastic Volatility Equity Models with Hull-White Interest Rate Process
Lech A. Grzelak, Cornelis W. Oosterlee, Sacha van Weeren · SSRN Electronic Journal · 2009 · 35 citations · Full text
The stochastic collocation Monte Carlo sampler: highly efficient sampling from ‘expensive’ distributions
Lech A. Grzelak, Jeroen Witteveen, María Suárez-Taboada et al. · Quantitative Finance · 2018 · 31 citations · Full text
Business, Finance, Stochastic Modeling +16
1–5 of 23