Zobrazeno 1 - 10
of 29
pro vyhledávání: '"Zorana Grbac"'
This book presents 20 peer-reviewed chapters on current aspects of derivatives markets and derivative pricing. The contributions, written by leading researchers in the field as well as experienced authors from the financial industry, present the stat
Publikováno v:
Advances in Applied Probability. 53:220-250
We establish a pathwise large deviation principle for affine stochastic volatility models introduced by Keller-Ressel (2011), and present an application to variance reduction for Monte Carlo computation of prices of path-dependent options in these mo
Autor:
Zorana Grbac, Blanka Horvath
Publikováno v:
Quantitative Finance. 21:1263-1265
The book ‘Mathematics of the Bond Market: A Levy Processes Approach’ by M. Barski and J. Zabczyk delivers what the title promises: It connects two themes that have been central to mathematical fina...
Publikováno v:
Finance and Stochastics. 24:465-511
We develop a general term structure framework taking stochastic discontinuities explicitly into account. Stochastic discontinuities are a key feature in interest rate markets, as for example the jumps of the term structures in correspondence to monet
Publikováno v:
Mathematical Finance. 30:167-195
In this paper, we develop a framework for discretely compounding interest rates that is based on the forward price process approach. This approach has a number of advantages, in particular in the current market environment. Compared to the classical
Publikováno v:
Applied Mathematical Finance. 24:23-37
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 semimartingale characteristics. This turns out to be very convenient in
Publikováno v:
SSRN Electronic Journal.
In this paper, we develop a framework for discretely compounding interest rates that is based on the forward price process approach. This approach has a number of advantages, in particular in the current market environment. Compared to the classical
Publikováno v:
Stochastic Processes and their Applications
Stochastic Processes and their Applications, 2014, 124 (9), pp.3009-3030. ⟨10.1016/j.spa.2014.04.010⟩
Stochastic Processes and their Applications, Elsevier, 2014, 124 (9), pp.3009-3030
Stochastic Processes and their Applications, 2014, 124 (9), pp.3009-3030. ⟨10.1016/j.spa.2014.04.010⟩
Stochastic Processes and their Applications, Elsevier, 2014, 124 (9), pp.3009-3030
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 $\tau$. Under minimal assumptions on the random time and on the driving Browni
Publikováno v:
Innovations in Derivatives Markets-Fixed Income Modeling, Valuation Adjustments, Risk Management, and Regulation
Innovations in Derivatives Markets-Fixed Income Modeling, Valuation Adjustments, Risk Management, and Regulation, Springer, pp.191-226, 2016
Innovations in Derivatives Markets ISBN: 9783319334455
Innovations in Derivatives Markets-Fixed Income Modeling, Valuation Adjustments, Risk Management, and Regulation, Springer, pp.191-226, 2016
Innovations in Derivatives Markets ISBN: 9783319334455
International audience; 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 short rate itself, we introduce short rate spread
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::cf779e202b52337bf587dffb9111770f
https://hal.archives-ouvertes.fr/hal-01485689
https://hal.archives-ouvertes.fr/hal-01485689
Publikováno v:
Advanced Modelling in Mathematical Finance – In honour of Ernst Eberlein
Advanced Modelling in Mathematical Finance – In honour of Ernst Eberlein, Springer, pp.453-476, 2016
Springer Proceedings in Mathematics & Statistics ISBN: 9783319458731
Advanced Modelling in Mathematical Finance – In honour of Ernst Eberlein, Springer, pp.453-476, 2016
Springer Proceedings in Mathematics & Statistics ISBN: 9783319458731
International audience; 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 (Financ. Stochast. 9:327-348 (2005) [9]). This model is an extension to
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::337237a13cc5b771a36f2f39b50760fa
https://hal.archives-ouvertes.fr/hal-01485687
https://hal.archives-ouvertes.fr/hal-01485687