1 citations · 1 across the 3 of their papers we have counts for
3 papers
math.NA2023★ 1 cited
GPU acceleration of the Seven-League Scheme for large time step simulations of stochastic differential equations
Shuaiqiang Liu, Graziana Colonna, Lech A. Grzelak +1
Monte Carlo simulation is widely used to numerically solve stochastic differential equations. Although the method is flexible and easy to implement, it may be slow to converge. Mor…
q-fin.CP2022
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…
q-fin.RM2022
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…