Zorana Grbac

Université Paris VII Denis Diderot

2, place Jussieu

Paris, 75005

France

SCHOLARLY PAPERS

4

DOWNLOADS

456

SSRN CITATIONS
Rank 49,347

SSRN RANKINGS

Top 49,347

in Total Papers Citations

5

CROSSREF CITATIONS

8

Scholarly Papers (4)

1.

Term Structure Modelling With Overnight Rates Beyond Stochastic Continuity

Number of pages: 31 Posted: 15 Feb 2022
Claudio Fontana, Zorana Grbac and Thorsten Schmidt
University of Padova, Department of Mathematics, Université Paris VII Denis Diderot and University of Freiburg
Downloads 223 (199,857)

Abstract:

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Libor reform, alternative risk-free rate, SOFR, SONIA, €STR, affine processes, semimartingales, stochastic discontinuities, BSDE, local risk-minimization

2.

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 103 (373,875)
Citation 2

Abstract:

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

3.

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 69 (471,320)
Citation 2

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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 60 (513,359)
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
Downloads 1 (979,947)

Abstract:

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multiple yield curves, forward price model, negative interest rates, time‐inhomogeneous Lévy processes, Libor‐OIS spread