Zorana Grbac
Identifiers
- name variant Zorana Grbac 0.60 · backfill
Papers (11)
- Long-time trajectorial large deviations for affine stochastic volatility models and application to variance reduction for option pricing math.PR · 2018 · author #1
- Multiple curve L\'evy forward price model allowing for negative interest rates q-fin.MF · 2018 · author #3
- A unified view of LIBOR models q-fin.MF · 2016 · author #2
- Derivative pricing for a multi-curve extension of the Gaussian, exponentially quadratic short rate model q-fin.PR · 2015 · author #1
- Approximate Option Pricing in the L\'evy Libor Model q-fin.PR · 2015 · author #1
- Martingale property of exponential semimartingales: a note on explicit conditions and applications to financial models q-fin.MF · 2015 · author #3
- Affine LIBOR models with multiple curves: theory, examples and calibration q-fin.MF · 2014 · author #1
- Information, no-arbitrage and completeness for asset price models with a change point q-fin.PR · 2013 · author #2
- Counterparty Risk and Funding: The Four Wings of the TVA q-fin.RM · 2012 · author #3
- A tractable LIBOR model with default risk q-fin.PR · 2012 · author #1
- Discrete tenor models for credit risky portfolios driven by time-inhomogeneous L\'evy processes q-fin.PR · 2010 · author #2
Mentions
Frequent Coauthors
- Antonis Papapantoleon 3 shared papers
- David Krief 2 shared papers
- Ernst Eberlein 2 shared papers
- Kathrin Glau 2 shared papers
- Peter Tankov 2 shared papers
- Christoph Gerhart 1 shared papers
- Claudio Fontana 1 shared papers
- David Criens 1 shared papers
- David Skovmand 1 shared papers
- John Schoenmakers 1 shared papers
- Laura Meneghello 1 shared papers
- Monique Jeanblanc 1 shared papers
- Nathalie Ngor 1 shared papers
- Qinghua Li 1 shared papers
- R\'emi Gerboud 1 shared papers
- St\'ephane Cr\'epey 1 shared papers
- Thorsten Schmidt 1 shared papers
- Wolfgang J. Runggaldier 1 shared papers