Lech A. Grzelak

Lech A. Grzelak is a front office Sr. Quantitative Analyst at the Financial Engineering team at Rabobank in the Netherlands. At the same time, he holds an assistant professor position at the Delft University of Technology where he teaches a course on Computational Finance and Financial Engineering. Lech received his PhD in Numerical Analysis at the Delft University of Technology (the Netherlands) in 2011. His key areas of research are computational finance, numerical analysis, scientific computing and high-performance computing methods. Recent work has focused on efficient numerical methods for stochastic and local volatility models, cross-asset hybrid models and xVA. Lech is the editor of the Journal of Computational Finance and the Journal of Applied Mathematics and Computation. Lech has published several research articles on quantitative finance in multiple prime journals.