| Accelerated computations of sensitivities for xVA G Deelstra, LA Grzelak, FL Wolf International Journal of Computer Mathematics 101 (8), 842-864, 2024 | 4 | 2024 |
| Cheapest-to-deliver collateral: a common factor approach FL Wolf, LA Grzelak, G Deelstra Quantitative Finance 22 (4), 707-723, 2022 | 3 | 2022 |
| Consistent asset modelling with random coefficients and switches between regimes FL Wolf, G Deelstra, LA Grzelak Mathematics and Computers in Simulation 223, 65-85, 2024 | | 2024 |
| Stochastic models in xVA: with applications to collateralisation and exposure simulation FL Wolf Université libre de Bruxelles, 2024 | | 2024 |
| Sensitivities and Hedging of the Collateral Choice Option G Deelstra, LA Grzelak, FL Wolf International Journal of Theoretical and Applied Finance 25 (06), 2250027, 2022 | | 2022 |
| The Coupling Time Problem for Regime-Switching Martingales and Geometric Brownian Motions FL Wolf Rheinische Friedrich-Wilhelms-Universität Bonn, 2018 | | 2018 |
Lech A. GrzelakUtrecht UniversityVerified email at uu.nl
