6 citations · 12 across the 9 of their papers we have counts for
3 papers · 1 filter
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…