170 citations · 200 across the 17 of their papers we have counts for
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q-fin.MF2016
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…
q-fin.MF2015★ 1 cited
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…