GRZELAK, LECH A.: search on Z-Library

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1

THE HESTON STOCHASTIC-LOCAL VOLATILITY MODEL: EFFICIENT MONTE CARLO SIMULATION

VAN DER STOEP, ANTHONIE W., GRZELAK, LECH A., OOSTERLEE, CORNELIS W.

Journal:

International Journal of Theoretical and Applied Finance

Year:

2014

Language:

english

File:

PDF, 1.59 MB

english, 2014

2

On the Heston Model with Stochastic Interest Rates

Grzelak, Lech A., Oosterlee, Cornelis W.

Journal:

SIAM Journal on Financial Mathematics

Year:

2011

Language:

english

File:

PDF, 572 KB

english, 2011

3

On a one time-step Monte Carlo simulation approach of the SABR model: Application to European options

Leitao, Álvaro, Grzelak, Lech A., Oosterlee, Cornelis W.

Journal:

Applied Mathematics and Computation

Year:

2017

Language:

english

File:

PDF, 1.73 MB

english, 2017

4

The CLV Framework - A Fresh Look at Efficient Pricing with Smile

Grzelak, Lech A.

Journal:

SSRN Electronic Journal

Year:

2016

Language:

english

File:

PDF, 1.18 MB

english, 2016

5

Extension of stochastic volatility equity models with the Hull–White interest rate process

Grzelak, Lech A., Oosterlee, Cornelis W., Van Weeren, Sacha

Journal:

Quantitative Finance

Year:

2012

Language:

english

File:

PDF, 333 KB

english, 2012

6

On Cross-Currency Models with Stochastic Volatility and Correlated Interest Rates

Grzelak, Lech A., Oosterlee, Cornelis W.

Journal:

Applied Mathematical Finance

Year:

2012

Language:

english

File:

PDF, 405 KB

english, 2012

7

On Cross-Currency Models with Stochastic Volatility and Correlated Interest Rates

Grzelak, Lech A., Oosterlee, Cornelis W.

Journal:

SSRN Electronic Journal

Year:

2010

Language:

english

File:

PDF, 461 KB

english, 2010

8

On an efficient multiple time step Monte Carlo simulation of the SABR model

Leitao, Álvaro, Grzelak, Lech A., Oosterlee, Cornelis W.

Journal:

Quantitative Finance

Year:

2017

Language:

english

File:

PDF, 800 KB

english, 2017

9

A neural network-based framework for financial model calibration

Liu, Shuaiqiang, Borovykh, Anastasia, Grzelak, Lech A., Oosterlee, Cornelis W.

Journal:

Journal of Mathematics in Industry

Year:

2019

File:

PDF, 2.24 MB

2019

10

An Arbitrage-Free Hagan Implied Density via the Stochastic Collocation Method

Grzelak, Lech A., Oosterlee, Cornelis W.

Journal:

SSRN Electronic Journal

Year:

2014

Language:

english

File:

PDF, 419 KB

english, 2014

11

A Novel Monte Carlo Approach to Hybrid Local Volatility Models

van der Stoep, Anthonie Willem, Grzelak, Lech A., Oosterlee, Cornelis W.

Journal:

SSRN Electronic Journal

Year:

2016

Language:

english

File:

PDF, 3.56 MB

english, 2016

12

Calibration and Monte Carlo Pricing of the SABR-Hull-White Model for Long-Maturity Equity Derivatives

Chen, Bin, Grzelak, Lech A., Oosterlee, Cornelis W.

Journal:

SSRN Electronic Journal

Year:

2011

Language:

english

File:

PDF, 1.23 MB

english, 2011

13

A computational approach to hedging Credit Valuation Adjustment in a jump-diffusion setting

van der Zwaard, Thomas, Grzelak, Lech A., Oosterlee, Cornelis W.

Journal:

Applied Mathematics and Computation

Year:

2021

File:

PDF, 3.43 MB

2021

14

Bathymetric variations in vertical distribution patterns of meiofauna in the surface sediments of the deep Arctic ocean (HAUSGARTEN, Fram strait)

Górska, Barbara, Grzelak, Katarzyna, Kotwicki, Lech, Hasemann, Christiane, Schewe, Ingo, Soltwedel, Thomas, Włodarska-Kowalczuk, Maria

Journal:

Deep Sea Research Part I: Oceanographic Research Papers

Year:

2014

Language:

english

File:

PDF, 1.59 MB

english, 2014

15

First observation of the marine tardigrades Batillipes mirus and Batillipes noerrevangi (Arthrotardigrada, Batillipedidae) from a strongly brackish part of the Polish Baltic Sea coast

Zawierucha, Krzysztof, Grzelak, Katarzyna, Kotwicki, Lech, Kaczmarek, Łukasz, Kristensen, Reinhardt Møbjerg

Journal:

Marine Biology Research

Year:

2015

Language:

english

File:

PDF, 331 KB

english, 2015

16

Analysis of an affine version of the Heston–Hull–White option pricing partial differential equation

Guo, Shimin, Grzelak, Lech A., Oosterlee, Cornelis W.

Journal:

Applied Numerical Mathematics

Year:

2013

Language:

english

File:

PDF, 734 KB

english, 2013

17

The Heston Stochastic-Local Volatility Model: Efficient Monte Carlo Simulation

van der Stoep, Anthonie Willem, Grzelak, Lech A., Oosterlee, Cornelis W.

Journal:

SSRN Electronic Journal

Year:

2013

File:

PDF, 1.24 MB

2013

18

Collocating Volatility: A Competitive Alternative to Stochastic Local Volatility Models

Van der Stoep, Anthonie W., Grzelak, Lech A., Oosterlee, Cornelis W.

Journal:

International Journal of Theoretical and Applied Finance

Year:

2020

File:

PDF, 1.22 MB

2020

19

Uncertainty quantification and Heston model

Suárez-Taboada, María, Witteveen, Jeroen A. S., Grzelak, Lech A., Oosterlee, Cornelis W.

Journal:

Journal of Mathematics in Industry

Year:

2018

Language:

english

File:

PDF, 2.35 MB

english, 2018

20

THE TIME-DEPENDENT FX-SABR MODEL: EFFICIENT CALIBRATION BASED ON EFFECTIVE PARAMETERS

VAN DER STOEP, ANTHONIE W., GRZELAK, LECH A., OOSTERLEE, CORNELIS W.

Journal:

International Journal of Theoretical and Applied Finance

Year:

2015

Language:

english

File:

PDF, 809 KB

english, 2015

21

The affine Heston model with correlated Gaussian interest rates for pricing hybrid derivatives

Grzelak, Lech A., Oosterlee, Cornelis W., Van Weeren, Sacha

Journal:

Quantitative Finance

Year:

2011

Language:

english

File:

PDF, 418 KB

english, 2011

22

The Stochastic Collocation Monte Carlo Sampler: Highly Efficient Sampling from 'Expensive' Distributions

Grzelak, Lech A., Witteveen, Jeroen, Suarez-Taboada, Maria, Oosterlee, Cornelis W.

Journal:

SSRN Electronic Journal

Year:

2014

Language:

english

File:

PDF, 609 KB

english, 2014

23

The oscillatory flow of the cerebrospinal fluid in the Sylvian aqueduct and the prepontine cistern measured with phase contrast MRI in children with hydrocephalus—a preliminary report

Nowosławska, Emilia, Gwizdała, Dominika, Barańska, Dobromiła, Grzelak, Piotr, Podgórski, Michał, Zakrzewski, Krzysztof, Polis, Bartosz, Stasiołek, Mariusz, Polis, Lech

Journal:

Child's Nervous System

Year:

2018

Language:

english

File:

PDF, 1.34 MB

english, 2018

24

A preliminary comparative assessment of the meiofaunal communities of Maltese pocket sandy beaches

Kotwicki, Lech, Deidun, Alan, Grzelak, Katarzyna, Gianni, Fabrizio

Journal:

Estuarine, Coastal and Shelf Science

Year:

2014

Language:

english

File:

PDF, 628 KB

english, 2014

25

Halomonhystera disjuncta – a young-carrying nematode first observed for the Baltic Sea in deep basins within chemical munitions disposal sites

Grzelak, Katarzyna, Kotwicki, Lech

Journal:

Deep Sea Research Part II: Topical Studies in Oceanography

Year:

2014

Language:

english

File:

PDF, 816 KB

english, 2014

26

Diffuse idiopathic skeletal hyperostosis inducted stridor and dysphagia

Burduk, Paweł K., Wierzchowska, Małgorzata, Grzelak, Lech, Dalke, Krzysztof, Mierzwiński, Józef

Journal:

Otolaryngologia Polska

Year:

2008

Language:

english

File:

PDF, 313 KB

english, 2008

27

Ecostructuring of marine nematode communities by submarine groundwater discharge

Grzelak, Katarzyna, Tamborski, Joseph, Kotwicki, Lech, Bokuniewicz, Henry

Journal:

Marine Environmental Research

Year:

2018

Language:

english

File:

PDF, 1.67 MB

english, 2018

28

The Affine Heston Model with Correlated Gaussian Interest Rates for Pricing Hybrid Derivatives

Grzelak, Lech A., Oosterlee, Cornelis W., van Weeren, Sacha

Journal:

SSRN Electronic Journal

Year:

2009

Language:

english

File:

PDF, 481 KB

english, 2009

29

Benthic communities in chemical munitions dumping site areas within the Baltic deeps with special focus on nematodes

Kotwicki, Lech, Grzelak, Katarzyna, Bełdowski, Jacek

Journal:

Deep Sea Research Part II: Topical Studies in Oceanography

Year:

2015

Language:

english

File:

PDF, 594 KB

english, 2015

30

Bathymetric patterns in standing stock and diversity of deep-sea nematodes at the long-term ecological research observatory HAUSGARTEN (Fram Strait)

Grzelak, Katarzyna, Kotwicki, Lech, Hasemann, Christiane, Soltwedel, Thomas

Journal:

Journal of Marine Systems

Year:

2017

Language:

english

File:

PDF, 1.75 MB

english, 2017

31

Extension of Stochastic Volatility Equity Models with Hull-White Interest Rate Process

Grzelak, Lech A., Oosterlee, Cornelis W., van Weeren, Sacha

Journal:

SSRN Electronic Journal

Year:

2009

Language:

english

File:

PDF, 432 KB

english, 2009

32

[ASME 2006 International Pipeline Conference - Calgary, Alberta, Canada (September 25–29, 2006)] Volume 2: Integrity Management; Poster Session; Student Paper Competition - Determination of the Corrosion Rate of a MIC Influenced Pipeline Using Four Consecutive Pig Runs

Achterbosch, Giorgio G. J., Grzelak, Lech A.

Year:

2006

Language:

english

File:

PDF, 727 KB

english, 2006

33

Chemical Munitions Search & Assessment—An evaluation of the dumped munitions problem in the Baltic Sea

Bełdowski, Jacek, Klusek, Zygmunt, Szubska, Marta, Turja, Raisa, Bulczak, Anna I., Rak, Daniel, Brenner, Matthias, Lang, Thomas, Kotwicki, Lech, Grzelak, Katarzyna, Jakacki, Jaromir, Fricke, Nicolai,

Journal:

Deep Sea Research Part II: Topical Studies in Oceanography

Year:

2015

Language:

english

File:

PDF, 2.46 MB

english, 2015

34

The Time-Dependent FX-SABR Model: Efficient Calibration based on Effective Parameters

van der Stoep, Anthonie Willem, Grzelak, Lech A., Oosterlee, Cornelis W.

Journal:

SSRN Electronic Journal

Year:

2014

Language:

english

File:

PDF, 653 KB

english, 2014

35

Meiofaunal distribution in Hornsund fjord, Spitsbergen

Katarzyna Grzelak, Lech Kotwicki

Journal:

Year:

2012

Language:

english

File:

PDF, 702 KB

english, 2012

36

Checklist of Gastrotricha of the Polish Baltic Sea with the first reports of Heterolepidoderma joermungandri Kånneby, 2011, and Turbanella hyalina Schultze, 1853

KOLICKA, MAŁGORZATA, KISIELEWSKI, JACEK, KOTWICKI, LECH, ZAWIERUCHA, KRZYSZTOF, GRZELAK, KATARZYNA

Journal:

Year:

2014

Language:

english

File:

PDF, 29.07 MB

english, 2014

37

Can seabirds modify carbon burial in fjords?

Węsławski, Jan Marcin, Urbański, Jacek, Głuchowska, Marta, Grzelak, Katarzyna, Kotwicki, Lech, Kwaśniewski, Sławomir, Legeżyńska, Joanna, Wiktor, Józef, Włodarska-Kowalczuk, Maria, Zaborska, Agata, Za

Journal:

Year:

2017

Language:

english

File:

PDF, 3.50 MB

english, 2017

38

Total benthic oxygen uptake in two Arctic fjords (Spitsbergen) with different hydrological regimes

Kotwicki, Lech, Grzelak, Katarzyna, Opaliński, Krzysztof, Węsławski, Jan Marcin

Journal:

Year:

2017

Language:

english

File:

PDF, 781 KB

english, 2017

39

Pricing inflation products with stochastic volatility and stochastic interest rates

Singor, Stefan N., Grzelak, Lech A., van Bragt, David D.B., Oosterlee, Cornelis W.

Journal:

Insurance: Mathematics and Economics

Year:

2013

Language:

english

File:

PDF, 903 KB

english, 2013

40

The influence of selected demographic factors and wound location on the concentration of vascular endothelial growth factor (VEGF-A) in the wound healing process after neurosurgery: Brief report

Robert Ślusarz, Grażyna Gadomska, Monika Biercewicz, Lech Grzelak, Maria T. Szewczyk, Danuta Rość, Wojciech Beuth

Journal:

Wound Repair and Regeneration

Year:

2012

Language:

english

File:

PDF, 243 KB

english, 2012

41

A novel Monte Carlo approach to hybrid local volatility models

van der Stoep, Anthonie W., Grzelak, Lech A., Oosterlee, Cornelis W.

Journal:

Quantitative Finance

Year:

2017

Language:

english

File:

PDF, 1.78 MB

english, 2017

42

The Heston Stochastic-Local Volatility Model: Efficient Monte Carlo Simulation

van der Stoep, Anthonie Willem, Grzelak, Lech A., Oosterlee, Cornelis W.

Journal:

SSRN Electronic Journal

Year:

2013

Language:

english

File:

PDF, 1.24 MB

english, 2013

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