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Publications by Lech A. Grzelak
The Affine Heston Model With Correlated Gaussian Interest Rates for Pricing Hybrid Derivatives
Quantitative Finance
Economics
Econometrics
Finance
Extension of Stochastic Volatility Equity Models With Hull-White Interest Rate Process
SSRN Electronic Journal
Related publications
A General Stochastic Volatility Model for the Pricing of Interest Rate Derivatives
SSRN Electronic Journal
Model-Based Pricing for Financial Derivatives
Journal of Econometrics
Philosophy of Science
Applied Mathematics
Economics
Econometrics
History
On the Performance of Hybrid Digital-Analog Coding for Broadcasting Correlated Gaussian Sources
IEEE Transactions on Communications
Electronic Engineering
Electrical
Are Interest Rate Derivatives Spanned by the Term Structure of Interest Rates?
SSRN Electronic Journal
The Pricing of Correlated Default Risk: Evidence From the Credit Derivatives Market
SSRN Electronic Journal
Pricing American Options Under Stochastic Volatility and Stochastic Interest Rates
Journal of Financial Economics
Management
Finance
Economics
Strategy
Accounting
Econometrics
A General Gaussian Interest Rate Model Consistent With the Current Term Structure
ISRN Probability and Statistics
The Randomized Heston Model
SIAM Journal on Financial Mathematics
Applied Mathematics
Numerical Analysis
Finance
Pricing Interest Rate Caps and Floors Under the Pearson-Sun Interest Rate Model
Applied Mathematical Sciences
Applied Mathematics
