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