Zorana Grbac

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Term structure modeling with overnight rates beyond stochastic continuity Mathematical Finance	2024-01-18	Paper
Long-Time Trajectorial Large Deviations and Importance Sampling for Affine Stochastic Volatility Models Advances in Applied Probability	2022-01-18	Paper
Multiple curve Lévy forward price model allowing for negative interest rates Mathematical Finance	2020-05-14	Paper
Term structure modelling for multiple curves with stochastic discontinuities Finance and Stochastics	2020-03-25	Paper
Term structure modelling for multiple curves with stochastic discontinuities Finance and Stochastics	2020-03-25	Paper
Derivative pricing for a multi-curve extension of the Gaussian, exponentially quadratic short rate model Innovations in Derivatives Markets	2018-10-22	Paper
A Lévy HJM multiple-curve model with application to CVA computation Quantitative Finance	2018-09-19	Paper
Long-time trajectorial large deviations for affine stochastic volatility models and application to variance reduction for option pricing	2018-09-17	Paper
Martingale property of exponential semimartingales: a note on explicit conditions and applications to asset price and Libor models Applied Mathematical Finance	2018-04-06	Paper
A Unified View of LIBOR Models Springer Proceedings in Mathematics & Statistics	2017-07-31	Paper
Approximate option pricing in the Lévy Libor model Springer Proceedings in Mathematics & Statistics	2017-07-31	Paper
Affine LIBOR models with multiple curves: theory, examples and calibration SIAM Journal on Financial Mathematics	2015-10-21	Paper
Interest rate modeling: post-crisis challenges and approaches SpringerBriefs in Quantitative Finance	2015-10-08	Paper
Information, no-arbitrage and completeness for asset price models with a change point Stochastic Processes and their Applications	2014-09-02	Paper
Discrete tenor models for credit risky portfolios driven by time-inhomogeneous Lévy processes SIAM Journal on Financial Mathematics	2014-01-23	Paper
Rating based Lévy Libor model Mathematical Finance	2013-10-11	Paper
A tractable LIBOR model with default risk Mathematics and Financial Economics	2013-07-25	Paper
Counterparty risk and funding: the four wings of the TVA International Journal of Theoretical and Applied Finance	2013-06-24	Paper
A multiple-curve HJM model of interbank risk Mathematics and Financial Economics	2013-02-26	Paper
Credit risk in Lévy Libor modeling: rating based approach.	2010-05-05	Paper

Research outcomes over time

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