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Lech Grzelak holds an associate professor position at Utrecht University, specializing in Financial Mathematics and Financial Engineering with a strong emphasis on Scientific Computing. He received his PhD in Numerical Analysis from Delft University of Technology in 2011. Following his doctorate, he completed a postdoctoral fellowship at CWI (Centrum Wiskunde & Informatica) and TUDelft. Lech is a co-author of the book 'Mathematical Modeling in Computational Finance' published in 2019. His scientific publications primarily focus on multi-asset hybrid models, xVA, Local Volatility, and Randomization Collocation methods. Additionally, he serves as an associate editor for the Journal of Computational Finance and the Journal of Applied Mathematics and Computation. Lech also manages a YouTube channel, ComputationsInFinance, where he regularly shares free lectures and materials related to quantitative computational finance.
Utrecht University • Utrecht
Teaching and researching in the fields of Financial Mathematics, Financial Engineering, and Scientific Computing.
Department of Psychology