| On the Heston model with stochastic interest rates LA Grzelak, CW Oosterlee SIAM Journal on Financial Mathematics 2 (1), 255-286, 2011 | 296 | 2011 |
| A neural network-based framework for financial model calibration S Liu, A Borovykh, LA Grzelak, CW Oosterlee Journal of Mathematics in Industry 9 (1), 9, 2019 | 140 | 2019 |
| Mathematical modeling and computation in finance: with exercises and Python and MATLAB computer codes CW Oosterlee, LA Grzelak World Scientific, 2019 | 129 | 2019 |
| Extension of stochastic volatility equity models with the Hull–White interest rate process LA Grzelak, CW Oosterlee, S Van Weeren Quantitative Finance 12 (1), 89-105, 2012 | 106 | 2012 |
| The Heston Stochastic-Local Volatility Model: Efficient Monte Carlo Simulation AW Van der Stoep, LA Grzelak, CW Oosterlee International Journal of Theoretical and Applied Finance, Forthcoming, 2013 | 103 | 2013 |
| The Stochastic Collocation Monte Carlo Sampler: Highly Efficient Sampling from "Expensive" Distributions LA Grzelak, J Witteveen, M Suarez-Taboada, CW Oosterlee Available at SSRN 2529691, 2014 | 61* | 2014 |
| On cross-currency models with stochastic volatility and correlated interest rates LA Grzelak, CW Oosterlee Applied Mathematical Finance 19 (1), 1-35, 2012 | 59 | 2012 |
| Efficient pricing of commodity options with early-exercise under the Ornstein–Uhlenbeck process B Zhang, LA Grzelak, CW Oosterlee Applied Numerical Mathematics 62 (2), 91-111, 2012 | 32 | 2012 |
| The affine Heston model with correlated Gaussian interest rates for pricing hybrid derivatives LA Grzelak, CW Oosterlee, S Van Weeren Quantitative Finance 11 (11), 1647-1663, 2011 | 29 | 2011 |
| On an efficient multiple time step Monte Carlo simulation of the SABR model Á Leitao, LA Grzelak, CW Oosterlee Quantitative Finance 17 (10), 1549-1565, 2017 | 27 | 2017 |
| On a one time-step Monte Carlo simulation approach of the SABR model: Application to European options Á Leitao, LA Grzelak, CW Oosterlee Applied Mathematics and Computation 293, 461-479, 2017 | 27 | 2017 |
| From Arbitrage to Arbitrage-Free Implied Volatilities LA Grzelak, CW Oosterlee Journal of Computational Finance, Forthcoming, Available at SSRN 2529684, 2015 | 26* | 2015 |
| Analysis of an affine version of the Heston–Hull–White option pricing partial differential equation S Guo, LA Grzelak, CW Oosterlee Applied Numerical Mathematics 72, 143-159, 2013 | 26 | 2013 |
| Calibration and Monte Carlo pricing of the SABR-Hull-White model for long-maturity equity derivatives B Chen, LA Grzelak, CW Oosterlee The Journal of Computational Finance (79–113) Volume 15, 2011 | 25 | 2011 |
| An equity-interest rate hybrid model with stochastic volatility and the interest rate smile LA Grzelak, CW Oosterlee The Journal of Computational Finance 15 (4), 1–33, 2010 | 20 | 2010 |
| Pricing inflation products with stochastic volatility and stochastic interest rates SN Singor, LA Grzelak, DDB van Bragt, CW Oosterlee Insurance: Mathematics and Economics 52 (2), 286-299, 2013 | 19 | 2013 |
| A novel Monte Carlo approach to hybrid local volatility models AW van der Stoep, LA Grzelak, CW Oosterlee Quantitative Finance 17 (9), 1347-1366, 2017 | 18 | 2017 |
| The collocating local volatility framework–a fresh look at efficient pricing with smile LA Grzelak International Journal of Computer Mathematics 96 (11), 2209-2228, 2019 | 17 | 2019 |
| The Seven-League Scheme: Deep learning for large time step Monte Carlo simulations of stochastic differential equations S Liu, LA Grzelak, CW Oosterlee Risks 10 (3), 47, 2022 | 14 | 2022 |
| Determination of the corrosion rate of a MIC influenced pipeline using four consecutive pig runs GGJ Achterbosch, LA Grzelak International Pipeline Conference 42622, 209-217, 2006 | 14 | 2006 |
Cornelis W. OosterleeUtrecht University, Mathematical InstituteVerified email at uu.nl
