E-LIB Suche - Ergebnisse für: Grbac, Zorana

1

Term structure modeling with overnight rates beyond stochas..:

Fontana, Claudio ; Grbac, Zorana ; Schmidt, Thorsten
Mathematical Finance. 34 (2023) 1 - p. 151-189 , 2023

Link: https://doi.org/10.1111/..

2

Long-Time Trajectorial Large Deviations and Importance Samp..:

Grbac, Zorana ; Krief, David ; Tankov, Peter
Advances in Applied Probability. 53 (2021) 1 - p. 220-250 , 2021

Link: https://doi.org/10.1017/..

3

Mathematics of the Bond Market: A Lévy Processes Approach: ..:

Grbac, Zorana ; Horvath, Blanka
Quantitative Finance. 21 (2021) 8 - p. 1263-1265 , 2021

Link: https://doi.org/10.1080/..

4

Term structure modelling for multiple curves with stochasti..:

Fontana, Claudio ; Grbac, Zorana ; Gümbel, Sandrine.
Finance and Stochastics. 24 (2020) 2 - p. 465-511 , 2020

Link: https://doi.org/10.1007/..

5

Multiple curve Lévy forward price model allowing for negati..:

Eberlein, Ernst ; Gerhart, Christoph ; Grbac, Zorana
Mathematical Finance. 30 (2019) 1 - p. 167-195 , 2019

Link: https://doi.org/10.1111/..

6

Martingale property of exponential semimartingales: a note ..:

Criens, David ; Glau, Kathrin ; Grbac, Zorana
Applied Mathematical Finance. 24 (2017) 1 - p. 23-37 , 2017

Link: https://doi.org/10.1080/..

7

Derivative Pricing for a Multi-curve Extension of the Gauss..:

, In: Innovations in Derivatives Markets; Springer Proceedings in Mathematics & Statistics,

Grbac, Zorana ; Meneghello, Laura ; Runggaldier, Wolfgang J. - p. 191-226 , 2016

Link: https://doi.org/10.1007/..

8

Affine LIBOR Models with Multiple Curves: Theory, Examples ..:

Grbac, Zorana ; Papapantoleon, Antonis ; Schoenmakers, John.
SIAM Journal on Financial Mathematics. 6 (2015) 1 - p. 984-1025 , 2015

Link: https://doi.org/10.1137/..

9

Affine LIBOR models with multiple curves: Theory, examples ..

Preprint / Weierstraß-Institut für Angewandte Analysis und Stochastik ; 1951

Grbac, Zorana , 2014

Link: http://edok01.tib.uni-ha..

10

Information, no-arbitrage and completeness for asset price ..:

Fontana, Claudio ; Grbac, Zorana ; Jeanblanc, Monique.
Stochastic Processes and their Applications. 124 (2014) 9 - p. 3009-3030 , 2014

Link: https://doi.org/10.1016/..

11

A Lévy HJM multiple-curve model with application to CVA com..:

Crépey, Stéphane ; Grbac, Zorana ; Ngor, Nathalie.
Quantitative Finance. 15 (2014) 3 - p. 401-419 , 2014

Link: https://doi.org/10.1080/..

12

Discrete Tenor Models for Credit Risky Portfolios Driven by..:

Eberlein, Ernst ; Grbac, Zorana ; Schmidt, Thorsten
SIAM Journal on Financial Mathematics. 4 (2013) 1 - p. 616-649 , 2013

Link: https://doi.org/10.1137/..

13

A tractable LIBOR model with default risk:

Grbac, Zorana ; Papapantoleon, Antonis
Mathematics and Financial Economics. 7 (2012) 2 - p. 203-227 , 2012

Link: https://doi.org/10.1007/..

14

RATING BASED LÉVY LIBOR MODEL:

Eberlein, Ernst ; Grbac, Zorana
Mathematical Finance. 23 (2012) 4 - p. 591-626 , 2012

Link: https://doi.org/10.1111/..

15

A multiple-curve HJM model of interbank risk:

Crépey, Stéphane ; Grbac, Zorana ; Nguyen, Hai-Nam
Mathematics and Financial Economics. 6 (2012) 3 - p. 155-190 , 2012

Link: https://doi.org/10.1007/..