author-photo

Zorana Grbac

Paris Diderot University

44

Papers

350

Citations

Citation Trend

Filter By

Papers (32) Sort By

Journal Conference Others

Long-Time Trajectorial Large Deviations and Importance Sampling for Affine Stochastic Volatility Models

2021 Advances in Applied Probability
Show All
- Source
- Cite
- Save
Citations (1)
Term structure modelling for multiple curves with stochastic discontinuities

2020 Finance and Stochastics
Show All
- Source
- Cite
- Save
Citations (7)
Multiple curve L\'evy forward price model allowing for negative interest rates

2019 Mathematical Finance
Show All
- Source
- Cite
- Save
Citations (13)
Multiple curve L\'evy forward price model allowing for negative interest rates

2018
Show All
- Source
- Cite
- Save
Citations (3)
Long-time trajectorial large deviations for affine stochastic volatility models and application to variance reduction for option pricing

2018 arXiv: Probability
Show All
- Source
- Cite
- Save
Citations (0)
Long-time trajectorial large deviations for affine stochastic volatility models and application to variance reduction for option pricing

2018
Show All
- Source
- Cite
- Save
Citations (0)
Innovations in Derivatives Markets: Fixed Income Modeling, Valuation Adjustments, Risk Management, and Regulation

2017
Show All
- Source
- Cite
- Save
Citations (7)
Martingale property of exponential semimartingales: a note on explicit conditions and applications to asset price and Libor models

2017 Applied Mathematical Finance
Show All
- Source
- Cite
- Save
Citations (3)
Advanced Modelling in Mathematical Finance – In honour of Ernst Eberlein

2016
Show All
- Source
- Cite
- Save
Citations (1)
Derivative pricing for a multi-curve extension of the Gaussian, exponentially quadratic short rate model

2016 arXiv: Pricing of Securities
Show All
- Source
- Cite
- Save
Citations (7)