Zorana Grbac

Université Paris VII Denis Diderot

2, place Jussieu

Paris, 75005

France

SCHOLARLY PAPERS

3

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199

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Top 47,843

in Total Papers Citations

9

CROSSREF CITATIONS

3

Scholarly Papers (3)

1.

A Levy HJM Multiple-Curve Model with Application to CVA Computation

Number of pages: 29 Posted: 02 Oct 2013
Université d'Évry - Equipe d'Analyse et Probabilites, Université Paris VII Denis Diderot, Université d'Évry and Aarhus University - School of Business and Social Sciences
Downloads 95 (298,071)
Citation 7

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interest rate derivative, multiple-curve term structure model, Levy process, credit valuation adjustment (CVA), funding

2.

Market Models for Credit Risky Portfolios Driven by Time-Inhomogeneous Levy Processes

Number of pages: 34 Posted: 30 Aug 2012
Ernst Eberlein, Zorana Grbac and Thorsten Schmidt
University of Freiburg, Université Paris VII Denis Diderot and University of Freiburg
Downloads 55 (403,811)
Citation 1

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collateralized debt obligations, loss process, single tranche CDO, top-down model, market model, time-inhomogeneous Levy processes, Libor rate, forward measure, affine processes, extended Kalman filter, iTraxx

Multiple Curve Lévy Forward Price Model Allowing for Negative Interest Rates

Number of pages: 26 Posted: 23 May 2018
Ernst Eberlein, Christoph Gerhart and Zorana Grbac
University of Freiburg, University of Freiburg - Institut für Mathematische Stochastik and Université Paris VII Denis Diderot
Downloads 49 (432,361)
Citation 3

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Multiple Curve Lévy Forward Price Model Allowing for Negative Interest Rates

Mathematical Finance, Vol. 30, Issue 1, pp. 167-195, 2020
Number of pages: 29 Posted: 29 May 2020
Ernst Eberlein, Christoph Gerhart and Zorana Grbac
University of Freiburg, University of Freiburg - Institut für Mathematische Stochastik and Université Paris VII Denis Diderot
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multiple yield curves, forward price model, negative interest rates, time‐inhomogeneous Lévy processes, Libor‐OIS spread