66 citations · 77 across the 21 of their papers we have counts for
5 papers · 1 filter
Fast Sampling from Time-Integrated Bridges using Deep Learning
Leonardo Perotti, Lech A. Grzelak
We propose a methodology to sample from time-integrated stochastic bridges, namely random variables defined as conditioned on and $Y(t_2…
Pricing and Hedging Prepayment Risk in a Mortgage Portfolio
Emanuele Casamassima, Lech A. Grzelak, Frank A. Mulder +1
Understanding mortgage prepayment is crucial for any financial institution providing mortgages, and it is important for hedging the risk resulting from such unexpected cash flows.…
Monte Carlo Simulation of SDEs using GANs
Jorino van Rhijn, Cornelis W. Oosterlee, Lech A. Grzelak +1
Generative adversarial networks (GANs) have shown promising results when applied on partial differential equations and financial time series generation. We investigate if GANs can…
Sparse Grid Method for Highly Efficient Computation of Exposures for xVA
Lech A. Grzelak
Every "x"-adjustment in the so-called xVA financial risk management framework relies on the computation of exposures. Considering thousands of Monte Carlo paths and tens of simulat…
Cheapest-to-Deliver Collateral: A Common Factor Approach
Felix L. Wolf, Lech A. Grzelak, Griselda Deelstra
The collateral choice option gives the collateral posting party the opportunity to switch between different collateral currencies which is well-known to impact the asset price. Qua…