Lech A. Grzelak

Finance · 2010–2014

A researcher in the Science corpus: 3 papers; trusts 5 researchers and is trusted by 2 researchers here, as inferred from the citation graph.

Subfields

• Finance — 24 citations into it; #7,496 of 10,518 by trust here, #10,352 by citations
• Demography — 8 citations into it; #2,528 of 4,236 by trust here, #4,149 by citations

Whom Lech A. Grzelak trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

1. Alan L. Lewis
2. Bernt Øksendal
3. Fang Fang
4. Marek Musiela
5. Cornelis W. Oosterlee
6. Marek Rutkowski
7. Steven E. Shreve
8. Jim Gatheral
9. Damiano Brigo

Who trusts Lech A. Grzelak overall

1. R. Ahlip
2. Marek Rutkowski

Papers from Lech A. Grzelak's perspective

Ordered by how strongly the researchers Lech A. Grzelak trusts endorse each paper. Same corpus, a different order for every researcher.

1. The Pricing of Options and Corporate Liabilities
2. Martingale Methods in Financial Modelling
3. Pricing early-exercise and discrete barrier options by fourier-cosine series expansions (Numerische Mathematik)
4. Stochastic differential equations : an introduction with applications
5. Stochastic Calculus for Finance II: Continuous-Time Models
6. Cliquet options and volatility models
7. A Simple Option Formula for General Jump-Diffusion and Other Exponential Levy Processes
8. Financial Modelling with Jump Processes
9. Annals of Statistics
10. Financial Modelling with Jump Processes

Their papers

• The Heston Stochastic-Local Volatility Model: Efficient Monte Carlo Simulation (2014) — 71 citations
• Extension of stochastic volatility equity models with the Hull–White interest rate process (2012) — 74 citations
• On Cross-Currency Models with Stochastic Volatility and Correlated Interest Rates (2010) — 60 citations