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~person:"Grbac, Zorana"
~subject:"Option pricing theory"
~type_genre:"Aufsatz in Zeitschrift"
~type_genre:"Conference paper"
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Option pricing theory
Yield curve
8
Zinsstruktur
8
Optionspreistheorie
6
Stochastic process
5
Stochastischer Prozess
5
Interest rate derivative
4
Martingal
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Martingale
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Credit risk
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Kreditrisiko
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Theorie
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Affine LIBOR models
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Affine process
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Asymptotic approximation
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Credit rating
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Derivat
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Grbac, Zorana
Chen, Son-nan
9
Benth, Fred Espen
6
Elliott, Robert J.
6
Wu, Ting-pin
6
Eberlein, Ernst
5
Filipović, Damir
5
Joshi, Mark S.
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Macrina, Andrea
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Schoenmakers, John
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Levendorskij, Sergej Z.
4
Lin, Shih-kuei
4
Papapantoleon, Antonis
4
Rebonato, Riccardo
4
Schwartz, Eduardo S.
4
Subrahmanyam, Marti G.
4
Takahashi, Akihiko
4
White, Alan
4
Almeida, Caio
3
Backwell, Alex
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Barone-Adesi, Giovanni
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Fanelli, Viviana
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Grzelak, Lech A.
3
Jarrow, Robert A.
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Advanced modelling in mathematical finance : in honour of Ernst Eberlein
2
Applied mathematical finance
1
Mathematical finance : an international journal of mathematics, statistics and financial economics
1
Mathematical finance : an international journal of mathematics, statistics and financial theory
1
Mathematics and financial economics
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ECONIS (ZBW)
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1
Term structure modeling with overnight rates beyond stochastic continuity
Fontana, Claudio
;
Grbac, Zorana
;
Schmidt, Thorsten
- In:
Mathematical finance : an international journal of …
34
(
2024
)
1
,
pp. 151-189
Persistent link: https://www.econbiz.de/10014471210
Saved in:
2
Martingale property of exponential semimartingales : a note on explicit conditions and applications to asset price and Libor models
Criens, David
;
Glau, Kathrin
;
Grbac, Zorana
- In:
Applied mathematical finance
24
(
2017
)
1/2
,
pp. 23-37
Persistent link: https://www.econbiz.de/10011746992
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3
A unified view of LIBOR models
Glau, Kathrin
;
Grbac, Zorana
;
Papapantoleon, Antonis
- In:
Advanced modelling in mathematical finance : in honour …
,
(pp. 423-452)
.
2016
Persistent link: https://www.econbiz.de/10011800390
Saved in:
4
Approximate option pricing in the Lévy Libor model
Grbac, Zorana
;
Krief, David
;
Tankov, Peter
- In:
Advanced modelling in mathematical finance : in honour …
,
(pp. 453-476)
.
2016
Persistent link: https://www.econbiz.de/10011800391
Saved in:
5
Rating based Lévy Libor model
Eberlein, Ernst
;
Grbac, Zorana
- In:
Mathematical finance : an international journal of …
23
(
2013
)
4
,
pp. 591-626
Persistent link: https://www.econbiz.de/10010187684
Saved in:
6
A tractable LIBOR model with default risk
Grbac, Zorana
;
Papapantoleon, Antonis
- In:
Mathematics and financial economics
7
(
2013
)
2
,
pp. 203-227
Persistent link: https://www.econbiz.de/10009736861
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