Authors: Fontana, Claudio, Grbac, Zorana, Schmidt, Thorsten

Contributors: Fontana, Claudio, Grbac, Zorana, Schmidt, Thorsten

Subject Terms: affine processes, alternative risk-free rate, hedging, Libor reform, local risk-minimization, semimartingales, SOFR, SONIA, stochastic discontinuities

File Description: STAMPA

Relation: info:eu-repo/semantics/altIdentifier/wos/WOS:001050045700001; volume:34; issue:1; firstpage:151; lastpage:189; numberofpages:39; journal:MATHEMATICAL FINANCE; https://hdl.handle.net/11577/3511032; info:eu-repo/semantics/altIdentifier/scopus/2-s2.0-85168295830

Availability: https://doi.org/10.1111/mafi.12415
https://hdl.handle.net/11577/3511032

Authors: Fontana, Claudio, Grbac, Zorana, Schmidt, Thorsten

Contributors: Università degli Studi di Padova

Superior Title: Mathematical Finance ; volume 34, issue 1, page 151-189 ; ISSN 0960-1627 1467-9965

Availability: https://doi.org/10.1111/mafi.12415

Authors: Fontana, Claudio, Grbac, Zorana, Schmidt, Thorsten

Subject Terms: Quantitative Finance - Mathematical Finance, Mathematics - Probability, Quantitative Finance - Pricing of Securities, 60G15, 60G44, 60G57, 91G15, 91G20, 91G30

Relation: http://arxiv.org/abs/2202.00929

Availability: http://arxiv.org/abs/2202.00929

Authors: Fontana, Claudio^Aff1, Grbac, Zorana, Gümbel, Sandrine, Schmidt, Thorsten^{Aff3, Aff4, Aff5}

Superior Title: Finance and Stochastics. 24(2):465-511

Authors: Grbac, Zorana, Krief, David, Tankov, Peter

Contributors: Université Paris Cité (UPCité), Université Paris Diderot - Paris 7 (UPD7), École Nationale de la Statistique et de l'Administration Économique (ENSAE Paris)

Superior Title: ISSN: 0001-8678 ; Advances in Applied Probability ; https://hal.science/hal-03899237 ; Advances in Applied Probability, 2021, 53 (1), pp.220-250. ⟨10.1017/apr.2020.58⟩.

Subject Terms: large deviations Monte Carlo methods importance sampling affine stochastic volatility MSC2010: 91G60 60F10, large deviations, Monte Carlo methods, importance sampling, affine stochastic volatility, [MATH]Mathematics [math], [QFIN]Quantitative Finance [q-fin]

Relation: hal-03899237; https://hal.science/hal-03899237; https://hal.science/hal-03899237/document; https://hal.science/hal-03899237/file/grbac_krief_tankov.pdf

Availability: https://doi.org/10.1017/apr.2020.58
https://hal.science/hal-03899237
https://hal.science/hal-03899237/document
https://hal.science/hal-03899237/file/grbac_krief_tankov.pdf

Authors: Grbac, Zorana^Aff5, Meneghello, Laura^Aff6, Runggaldier, Wolfgang J.^Aff6

Contributors: Glau, Kathrin, editor^Aff1, Grbac, Zorana, editor^Aff2, Scherer, Matthias, editor^Aff3, Zagst, Rudi, editor^Aff4

Superior Title: Innovations in Derivatives Markets : Fixed Income Modeling, Valuation Adjustments, Risk Management, and Regulation. 165:191-226

Authors: Grbac, Zorana^Aff13, Runggaldier, Wolfgang J.^Aff14

Contributors: Bank, Peter, Series editor^Aff1, Barrieu, Pauline, Series editor^Aff2, Bergomi, Lorenzo, Series editor^Aff3, Cont, Rama, Series editor^Aff4, Cvitanic, Jaksa, Series editor^Aff5, Grasselli, Matheus R, Series editor^Aff6, Kou, Steven, Series editor^Aff7, Ludkowski, Mike, Series editor^Aff8, Piterbarg, Vladimir, Series editor^Aff9, Touzi, Nizar, Series editor^Aff10, Grbac, Zorana^Aff11, Runggaldier, Wolfgang J.^Aff12

Superior Title: Interest Rate Modeling: Post-Crisis Challenges and Approaches. :115-135

Authors: Grbac, Zorana^Aff13, Runggaldier, Wolfgang J.^Aff14

Contributors: Bank, Peter, Series editor^Aff1, Barrieu, Pauline, Series editor^Aff2, Bergomi, Lorenzo, Series editor^Aff3, Cont, Rama, Series editor^Aff4, Cvitanic, Jaksa, Series editor^Aff5, Grasselli, Matheus R, Series editor^Aff6, Kou, Steven, Series editor^Aff7, Ludkowski, Mike, Series editor^Aff8, Piterbarg, Vladimir, Series editor^Aff9, Touzi, Nizar, Series editor^Aff10, Grbac, Zorana^Aff11, Runggaldier, Wolfgang J.^Aff12

Superior Title: Interest Rate Modeling: Post-Crisis Challenges and Approaches. :35-76

Authors: Grbac, Zorana^Aff13, Runggaldier, Wolfgang J.^Aff14

Contributors: Bank, Peter, Series editor^Aff1, Barrieu, Pauline, Series editor^Aff2, Bergomi, Lorenzo, Series editor^Aff3, Cont, Rama, Series editor^Aff4, Cvitanic, Jaksa, Series editor^Aff5, Grasselli, Matheus R, Series editor^Aff6, Kou, Steven, Series editor^Aff7, Ludkowski, Mike, Series editor^Aff8, Piterbarg, Vladimir, Series editor^Aff9, Touzi, Nizar, Series editor^Aff10, Grbac, Zorana^Aff11, Runggaldier, Wolfgang J.^Aff12

Superior Title: Interest Rate Modeling: Post-Crisis Challenges and Approaches. :77-114

Authors: Grbac, Zorana^Aff13, Runggaldier, Wolfgang J.^Aff14

Contributors: Bank, Peter, Series editor^Aff1, Barrieu, Pauline, Series editor^Aff2, Bergomi, Lorenzo, Series editor^Aff3, Cont, Rama, Series editor^Aff4, Cvitanic, Jaksa, Series editor^Aff5, Grasselli, Matheus R, Series editor^Aff6, Kou, Steven, Series editor^Aff7, Ludkowski, Mike, Series editor^Aff8, Piterbarg, Vladimir, Series editor^Aff9, Touzi, Nizar, Series editor^Aff10, Grbac, Zorana^Aff11, Runggaldier, Wolfgang J.^Aff12

Superior Title: Interest Rate Modeling: Post-Crisis Challenges and Approaches. :1-33

Authors: Grbac, Zorana^Aff3, Krief, David^Aff3, Tankov, Peter^Aff3

Contributors: Kallsen, Jan, editor^Aff1, Papapantoleon, Antonis, editor^Aff2

Superior Title: Advanced Modelling in Mathematical Finance : In Honour of Ernst Eberlein. 189:453-476

Authors: Glau, Kathrin^Aff3, Grbac, Zorana^Aff4, Papapantoleon, Antonis^Aff5

Contributors: Kallsen, Jan, editor^Aff1, Papapantoleon, Antonis, editor^Aff2

Superior Title: Advanced Modelling in Mathematical Finance : In Honour of Ernst Eberlein. 189:423-452

Authors: Eberlein, Ernst, Gerhart, Christoph, Grbac, Zorana

Contributors: Université Paris Cité (UPCité), Laboratoire de Probabilités, Statistique et Modélisation (LPSM (UMR_8001)), Sorbonne Université (SU)-Centre National de la Recherche Scientifique (CNRS)-Université Paris Cité (UPCité)

Superior Title: ISSN: 0960-1627.

Subject Terms: [MATH]Mathematics [math], [QFIN]Quantitative Finance [q-fin]

Relation: hal-03898912; https://hal.science/hal-03898912; https://hal.science/hal-03898912/document; https://hal.science/hal-03898912/file/multiple-curve-Levy-forward-price-20112018.pdf

Availability: https://doi.org/10.1111/mafi.12210
https://hal.science/hal-03898912
https://hal.science/hal-03898912/document
https://hal.science/hal-03898912/file/multiple-curve-Levy-forward-price-20112018.pdf

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Authors: Eberlein, Ernst, Gerhart, Christoph, Grbac, Zorana

Subject Terms: Quantitative Finance - Mathematical Finance

Relation: http://arxiv.org/abs/1805.02605

Availability: http://arxiv.org/abs/1805.02605

Authors: Fontana, Claudio, Grbac, Zorana, Gümbel, Sandrine, Schmidt, Thorsten

Subject Terms: Quantitative Finance - Mathematical Finance, Mathematics - Probability

Relation: http://arxiv.org/abs/1810.09882; Finance and Stochastics, 24: 465-511, 2020

Availability: http://arxiv.org/abs/1810.09882

Authors: Fontana, Claudio, Grbac, Zorana, Jeanblanc, Monique, Li, Qinghua

Superior Title: In Stochastic Processes and their Applications September 2014 124(9):3009-3030

Authors: Glau, Kathrin, Scherer, Matthias, Grbac, Zorana

Superior Title: MODID-eea0d14d732:Springer Open

Subject Terms: Technology & Engineering / Chemical & Biochemical, bisacsh:TEC009010, Technology & Engineering / Engineering (general), bisacsh:TEC009000, Business & Economics / Industries / Food Industry, bisacsh:BUS070120

File Description: application/pdf

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Availability: https://doi.org/10.1007/978-3-319-33446-2
https://openresearchlibrary.org/viewer/1af4221c-7ad5-467f-b09f-f6f9cf340f4f
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Authors: Criens, David, Glau, Kathrin, Grbac, Zorana

Contributors: Université Paris Cité (UPCité)

Superior Title: ISSN: 1350-486X.

Subject Terms: Exponential semimartingale martingale property uniform integrability semimartingale asset price model Libor model, Exponential semimartingale, martingale property, uniform integrability, semimartingale asset price model, Libor model, [MATH]Mathematics [math], [QFIN]Quantitative Finance [q-fin]

Relation: hal-03898993; https://hal.science/hal-03898993; https://hal.science/hal-03898993/document; https://hal.science/hal-03898993/file/1506.08127.pdf

Availability: https://doi.org/10.1080/1350486X.2017.1327324
https://hal.science/hal-03898993
https://hal.science/hal-03898993/document
https://hal.science/hal-03898993/file/1506.08127.pdf