Personal profile
Link to Utrecht University staff page
Fingerprint
Dive into the research topics where Lech Grzelak is active. These topic labels come from the works of this person. Together they form a unique fingerprint.
- 1 Similar Profiles
Publication network from the last five years
Recent external collaboration on country/territory level. Dive into details by clicking on the dots or
-
Basket options with volatility skew: Calibrating a local volatility model by sample rearrangement
Zaugg, N. F. & Grzelak, L. A., 1 Feb 2026, In: Applied Mathematics and Computation. 510, 24 p., 129669.Research output: Contribution to journal › Article › Academic › peer-review
Open AccessFile -
On randomization of affine diffusion processes with application to pricing of options on VIX and S&P 500
Grzelak, L. A., 1 Jan 2026, In: Applied Mathematics and Computation. 508, 21 p., 129598.Research output: Contribution to journal › Article › Academic › peer-review
Open AccessFile -
Modeling and replication of the prepayment option of mortgages including behavioral uncertainty
Perotti, L., Grzelak, L. A. & Oosterlee, C. W., 15 May 2026, In: Journal of Computational and Applied Mathematics. 477, 117190.Research output: Contribution to journal › Article › Academic › peer-review
-
On the Hull-White model with volatility smile for Valuation Adjustments
van der Zwaard, T., Grzelak, L. A. & Oosterlee, C. W., 2025, In: Quantitative Finance. 25, 10, 21 p.Research output: Contribution to journal › Article › Academic › peer-review
Open AccessFile -
Randomization of short-rate models, analytic pricing and flexibility in controlling implied volatilities
Grzelak, L. A., Jul 2025, (E-pub ahead of print) In: International Journal of Computer Mathematics. 26 p.Research output: Contribution to journal › Article › Academic › peer-review
Open Access