| Relevance of Wrong-Way Risk in Funding Valuation Adjustments T van der Zwaard, LA Grzelak, CW Oosterlee Finance Research Letters 49, 103091, 2022 | 7 | 2022 |
| A computational approach to hedging Credit Valuation Adjustment in a jump-diffusion setting T van der Zwaard, LA Grzelak, CW Oosterlee Applied Mathematics and Computation 391, 125671, 2021 | 5 | 2021 |
| On the Hull-White model with volatility smile for Valuation Adjustments T van der Zwaard, LA Grzelak, CW Oosterlee arXiv preprint arXiv:2403.14841, 2024 | 2 | 2024 |
| Efficient Wrong-Way Risk Modelling for Funding Valuation Adjustments T van der Zwaard, LA Grzelak, CW Oosterlee International Journal of Theoretical and Applied Finance 27 (2), 2024 | 1 | 2024 |
| The Heston model with Term Structure T van der Zwaard Delft University of Technology, 2016 | | 2016 |
| Het prijzen van Bitcoin-opties met behulp van sprong-diffusie processen (Engelse titel: Pricing Bitcoin options under jump-diffusion processes) T van der Zwaard Delft University of Technology, 2014 | | 2014 |
Lech A. GrzelakUtrecht UniversityVerified email at uu.nl
