The following pages link to Zorana Grbac (Q356477):
Displaying 18 items.
- A tractable LIBOR model with default risk (Q356479) (← links)
- Information, no-arbitrage and completeness for asset price models with a change point (Q740193) (← links)
- A multiple-curve HJM model of interbank risk (Q1938982) (← links)
- Term structure modelling for multiple curves with stochastic discontinuities (Q2308181) (← links)
- RATING BASED LÉVY LIBOR MODEL (Q2851557) (← links)
- Discrete Tenor Models for Credit Risky Portfolios Driven by Time-Inhomogeneous Lévy Processes (Q2873143) (← links)
- Interest Rate Modeling: Post-Crisis Challenges and Approaches (Q2950371) (← links)
- Affine LIBOR Models with Multiple Curves: Theory, Examples and Calibration (Q3195114) (← links)
- (Q3558454) (← links)
- Martingale property of exponential semimartingales: a note on explicit conditions and applications to asset price and Libor models (Q4610206) (← links)
- A Lévy HJM multiple-curve model with application to CVA computation (Q4683048) (← links)
- Derivative Pricing for a Multi-curve Extension of the Gaussian, Exponentially Quadratic Short Rate Model (Q4689909) (← links)
- A Unified View of LIBOR Models (Q4976510) (← links)
- Approximate Option Pricing in the Lévy Libor Model (Q4976512) (← links)
- Long-Time Trajectorial Large Deviations and Importance Sampling for Affine Stochastic Volatility Models (Q5022286) (← links)
- Multiple curve Lévy forward price model allowing for negative interest rates (Q5109986) (← links)
- COUNTERPARTY RISK AND FUNDING: THE FOUR WINGS OF THE TVA (Q5299992) (← links)
- Term structure modeling with overnight rates beyond stochastic continuity (Q6178393) (← links)
