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Citations per year
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Cited by
All
Since 2019
Citations
4
4
h-index
1
1
i10-index
0
0
0
4
2
2023
2024
1
3
Co-authors
Lech A. Grzelak
Utrecht University
Verified email at uu.nl
Follow
Leonardo Perotti
PhD Candidate, Mathematical Institute,
Utrecht University
Verified email at uu.nl
Applied mathematics
Computational finance
Quantitative finance
Articles
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Year
Fast sampling from time-integrated bridges using deep learning
L Perotti, LA Grzelak
Journal of Computational Mathematics and Data Science 5, 100060
, 2022
3
2022
On pricing of discrete Asian and Lookback options under the Heston model
L Perotti, LA Grzelak
International Journal of Computer Mathematics 101 (8), 889-918
, 2024
1
2024
Volatility Parametrizations with Random Coefficients: Analytic Flexibility for Implied Volatility Surfaces
NF Zaugg, LA Grzelak, L Perotti
arXiv preprint arXiv:2411.04041
, 2024
2024
Modeling and Replication of the Prepayment Option of Mortgages including Behavioral Uncertainty
L Perotti, LA Grzelak, CW Oosterlee
arXiv preprint arXiv:2410.21110
, 2024
2024
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Lech A. GrzelakUtrecht UniversityVerified email at uu.nl
Lech A. GrzelakUtrecht UniversityVerified email at uu.nl