Lech A. Grzelak

Lech A. Grzelak

Delft University of Technology - Delft / Netherlands
Economics & Econometrics / Accounting & Finance
AD Scientific Index ID: 4348850
Technische Universiteit Delft
person_outline Lech A. Grzelak's MOST POPULAR ARTICLES
1-) On the Heston model with stochastic interest ratesLA Grzelak, CW OosterleeSIAM Journal on Financial Mathematics 2 (1), 255-286, 20112552011
2-) A neural network-based framework for financial model calibrationS Liu, A Borovykh, LA Grzelak, CW OosterleeJournal of Mathematics in Industry 9, 1-28, 2019992019
3-) Mathematical modeling and computation in finance: with exercises and Python and MATLAB computer codesCW Oosterlee, LA GrzelakWorld Scientific, 20191182019
4-) Extension of stochastic volatility equity models with the Hull–White interest rate processLA Grzelak, CW Oosterlee, S Van WeerenQuantitative Finance 12 (1), 89-105, 20121052012
5-) The Heston Stochastic-Local Volatility Model: Efficient Monte Carlo SimulationAW Van der Stoep, LA Grzelak, CW OosterleeInternational Journal of Theoretical and Applied Finance, Forthcoming, 20131022013