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Full name: Lech Grzelak
Formal name: L.A. Grzelak
Function: Scientific Staff Member, Researcher

Email: Lech.Grzelak@cwi.nl
Room: L123
Research groups: Scientific Computing, Algorithms and Complexity


Career

2013 Scientific staff member SC - Scientific computing
2012 - 2013 Scientific staff member 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.

All publications (link to repository)

Centrum Wiskunde & Informatica | Science Park 123  | 1098 XG Amsterdam | info@cwi.nl

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