Lech A. Grzelak

1. On Randomization of Affine Diffusion Processes with Application to Pricing of Options on VIX and S&P 500
   2022/08/26 by Lech A. Grzelak, Grzelak, Lech A. · 1 citation
   Economics, Econometrics and Finance · #Capital Investment and Risk Analysis #Computational Finance (q-fin.CP) #FOS: Economics and business #General Finance (q-fin.GN) #Mathematical Finance (q-fin.MF) #Pricing of Securities (q-fin.PR) #Stochastic processes and financial applications
2. Consistent asset modelling with random coefficients and switches between regimes
   2024/01/18 by Felix L. Wolf, Griselda Deelstra, Wolf, Felix L. +3 · 1 citation
   Economics, Econometrics and Finance · #91G20 91G30 #Complex Systems and Time Series Analysis #Computational Finance (q-fin.CP) #FOS: Economics and business #Pricing of Securities (q-fin.PR) #Risk Management (q-fin.RM) #Stochastic processes and financial applications