66 citations · 77 across the 21 of their papers we have counts for
8 papers · 1 filter
Accelerated Computations of Sensitivities for xVA
Griselda Deelstra, Lech A. Grzelak, Felix L. Wolf
Exposure simulations are fundamental to many xVA calculations and are a nested expectation problem where repeated portfolio valuations create a significant computational expense. S…
Randomization of Short-Rate Models, Analytic Pricing and Flexibility in Controlling Implied Volatilities
Lech A. Grzelak
We focus on extending existing short-rate models, enabling control of the generated implied volatility while preserving analyticity. We achieve this goal by applying the Randomized…
On Pricing of Discrete Asian and Lookback Options under the Heston Model
Leonardo Perotti, Lech A. Grzelak
We propose a new, data-driven approach for efficient pricing of - fixed- and float-strike - discrete arithmetic Asian and Lookback options when the underlying process is driven by…
Efficient Wrong-Way Risk Modelling for Funding Valuation Adjustments
T. van der Zwaard, L. A. Grzelak, C. W. Oosterlee
Wrong-Way Risk (WWR) is an important component in Funding Valuation Adjustment (FVA) modelling. Yet, the standard assumption is independence between market risks and the counterpar…
On Randomization of Affine Diffusion Processes with Application to Pricing of Options on VIX and S&P 500
Lech A. Grzelak
The class of Affine (Jump) Diffusion (AD) has, due to its closed form characteristic function (ChF), gained tremendous popularity among practitioners and researchers. However, ther…
Sensitivities and Hedging of the Collateral Choice Option
Griselda Deelstra, Lech A. Grzelak, Felix L. Wolf
The collateral choice option allows a collateral-posting party the opportunity to change the type of security in which the collateral is deposited. Due to non-zero collateral basis…
Efficient Pricing and Calibration of High-Dimensional Basket Options
Lech A. Grzelak, Juliusz Jablecki, Dariusz Gatarek
This paper studies equity basket options -- i.e., multi-dimensional derivatives whose payoffs depend on the value of a weighted sum of the underlying stocks -- and develops a new a…
Relevance of Wrong-Way Risk in Funding Valuation Adjustments
T. van der Zwaard, L. A. Grzelak, C. W. Oosterlee
In March 2020, the world was thrown into financial distress. This manifested itself in increased uncertainty in the financial markets. Many interest rates collapsed, and funding sp…