6 citations · 12 across the 9 of their papers we have counts for
14 papers
Propagation of carbon price shocks through the value chain: the mean-field game of defaults
Zorana Grbac, Simone Pavarana, Thorsten Schmidt +1
We introduce a new mean-field game framework to analyze the impact of carbon pricing in a multi-sector economy with defaultable firms. Each sector produces a homogeneous good, with…
Term structure modelling with overnight rates beyond stochastic continuity
Claudio Fontana, Zorana Grbac, Thorsten Schmidt
Overnight rates, such as the SOFR (Secured Overnight Financing Rate) in the US, are central to the current reform of interest rate benchmarks. A striking feature of overnight rates…
Term structure modeling for multiple curves with stochastic discontinuities
Claudio Fontana, Zorana Grbac, Sandrine Gümbel +1
We develop a general term structure framework taking stochastic discontinuities explicitly into account. Stochastic discontinuities are a key feature in interest rate markets, as f…
Long-time trajectorial large deviations for affine stochastic volatility models and application to variance reduction for option pricing
Zorana Grbac, David Krief, Peter Tankov
This work extends the variance reduction method for the pricing of possibly path-dependent derivatives, which was developed in (Genin and Tankov, 2016) for exponential Lévy models,…
Multiple curve Lévy forward price model allowing for negative interest rates
Ernst Eberlein, Christoph Gerhart, Zorana Grbac
In this paper we develop a framework for discretely compounding interest rates which is based on the forward price process approach. This approach has a number of advantages, in pa…
A unified view of LIBOR models
Kathrin Glau, Zorana Grbac, Antonis Papapantoleon
We provide a unified framework for modeling LIBOR rates using general semimartingales as driving processes and generic functional forms to describe the evolution of the dynamics. W…
Derivative pricing for a multi-curve extension of the Gaussian, exponentially quadratic short rate model
Zorana Grbac, Laura Meneghello, Wolfgang J. Runggaldier
The recent financial crisis has led to so-called multi-curve models for the term structure. Here we study a multi-curve extension of short rate models where, in addition to the sho…
Approximate Option Pricing in the Lévy Libor Model
Zorana Grbac, David Krief, Peter Tankov
In this paper we consider the pricing of options on interest rates such as caplets and swaptions in the Lévy Libor model developed by Eberlein and Özkan (2005). This model is an ex…
Martingale property of exponential semimartingales: a note on explicit conditions and applications to financial models
David Criens, Kathrin Glau, Zorana Grbac
We give a collection of explicit sufficient conditions for the true martingale property of a wide class of exponentials of semimartingales. We express the conditions in terms of se…
Affine LIBOR models with multiple curves: theory, examples and calibration
Zorana Grbac, Antonis Papapantoleon, John Schoenmakers +1
We introduce a multiple curve framework that combines tractable dynamics and semi-analytic pricing formulas with positive interest rates and basis spreads. Negatives rates and posi…
Information, no-arbitrage and completeness for asset price models with a change point
Claudio Fontana, Zorana Grbac, Monique Jeanblanc +1
We consider a general class of continuous asset price models where the drift and the volatility functions, as well as the driving Brownian motions, change at a random time . Und…
Counterparty Risk and Funding: The Four Wings of the TVA
Stéphane Crépey, Rémi Gerboud, Zorana Grbac +1
The credit crisis and the ongoing European sovereign debt crisis have highlighted the native form of credit risk, namely the counterparty risk. The related Credit Valuation Adjustm…
A tractable LIBOR model with default risk
Zorana Grbac, Antonis Papapantoleon
We develop a model for the dynamic evolution of default-free and defaultable interest rates in a LIBOR framework. Utilizing the class of affine processes, this model produces posit…
Discrete tenor models for credit risky portfolios driven by time-inhomogeneous Lévy processes
Ernst Eberlein, Zorana Grbac, Thorsten Schmidt
The goal of this paper is to specify dynamic term structure models with discrete tenor structure for credit portfolios in a top-down setting driven by time-inhomogeneous Lévy proce…