Full name: Lech Grzelak
Formal name: L.A. Grzelak
Function: Researcher
Email: L.A.Grzelak@cwi.nl
Telephone +31(0)20 592 4085
Room: L123
Research groups:
(MAC2) Scientific Computing and Control Theory
Formal name: L.A. Grzelak
Function: Researcher
Email: L.A.Grzelak@cwi.nl
Telephone +31(0)20 592 4085
Room: L123
Research groups:
(MAC2) Scientific Computing and Control Theory
Career
| 2012 - 2013 | Onderzoeker A MAC2 - Scientific Computing and Control Theory |
| 2011 - 2012 | Scientific staff member MAC2 - Scientific Computing and Control Theory |
Recent Publications
| L.A. Grzelak, C.W. Oosterlee. On cross-currency models with stochastic volatility and correlated interest rates. Applied Mathematical Finance 19, 1–35, 2012. |
| L.A. Grzelak, C.W. Oosterlee, S. van Weeren. Extension of stochastic volatility models with Hull-White interest rate process. Quantitative Finance 12, 89–105, 2012. |
| L.A. Grzelak, C.W. Oosterlee. An equity-interest rate hybrid model with stochastic volatility and the interest rate smile. Journal of Computational Finance 15, 45–77, 2012. |
| B. Chen, L.A. Grzelak, C.W. Oosterlee. Calibration and Monte Carlo Pricing of the SABR-Hull-White Model for Long-Maturity Equity Derivatives. Journal of Computational Finance, 2012. |
| L.A. Grzelak, C.W. Oosterlee. On cross-currency models with stochastic volatility and correlated interest rates. Applied Mathematical Finance iFirst, 1–35, 2011. |
