66 citations · 77 across the 21 of their papers we have counts for
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Volatility Parametrizations with Random Coefficients: Analytic Flexibility for Implied Volatility Surfaces
Nicola F. Zaugg, Leonardo Perotti, Lech A. Grzelak
It is a market practice to express market-implied volatilities in some parametric form. The most popular parametrizations are based on or inspired by an underlying stochastic model…
Modeling and Replication of the Prepayment Option of Mortgages including Behavioral Uncertainty
Leonardo Perotti, Lech A. Grzelak, Cornelis W. Oosterlee
Prepayment risk embedded in fixed-rate mortgages forms a significant fraction of a financial institution's exposure, and it receives particular attention because of the magnitude o…
Basket Options with Volatility Skew: Calibrating a Local Volatility Model by Sample Rearrangement
Nicola F. Zaugg, Lech A. Grzelak
The pricing of derivatives tied to baskets of assets demands a sophisticated framework that aligns with the available market information to capture the intricate non-linear depende…
On the Hull-White model with volatility smile for Valuation Adjustments
T. van der Zwaard, L. A. Grzelak, C. W. Oosterlee
Affine Diffusion dynamics are frequently used for Valuation Adjustments (xVA) calculations due to their analytic tractability. However, these models cannot capture the market-impli…
Consistent asset modelling with random coefficients and switches between regimes
Felix L. Wolf, Griselda Deelstra, Lech A. Grzelak
We explore a stochastic model that enables capturing external influences in two specific ways. The model allows for the expression of uncertainty in the parametrisation of the stoc…