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source:"econis"
~person:"Grbac, Zorana"
~person:"Schlögl, Erik"
~subject:"Interest rate derivative"
~subject:"Optionspreistheorie"
~subject:"Stochastischer Prozess"
~type_genre:"Conference paper"
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Interest rate derivative
Optionspreistheorie
Stochastischer Prozess
Option pricing theory
3
Stochastic process
3
Yield curve
3
Zinsstruktur
3
Martingal
2
Martingale
2
Zinsderivat
2
Affine LIBOR models
1
Asymptotic approximation
1
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1
Derivat
1
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1
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STR
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affine processes
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alternative risk-free rate
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hedging
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semimartingales
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Grbac, Zorana
Schlögl, Erik
Avellaneda, Marco
1
Benth, Fred Espen
1
Brody, Dorje C.
1
Fontana, Claudio
1
Genaro, Alan de
1
Glau, Kathrin
1
Goudenege, Ludovic
1
Hughston, Lane P.
1
Krief, David
1
Meier, David M.
1
Molent, Andrea
1
Mordecki, Ernesto
1
Papapantoleon, Antonis
1
Russo, Vincenzo
1
Schmidt, Thorsten
1
Sosa, Andrés
1
Tankov, Peter
1
Torri, Gabriele
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Zanette, Antonino
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Advanced modelling in mathematical finance : in honour of Ernst Eberlein
2
Mathematical finance : an international journal of mathematics, statistics and financial economics
1
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ECONIS (ZBW)
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Term structure modeling with overnight rates beyond stochastic continuity
Fontana, Claudio
;
Grbac, Zorana
;
Schmidt, Thorsten
- In:
Mathematical finance : an international journal of …
34
(
2024
)
1
,
pp. 151-189
Persistent link: https://www.econbiz.de/10014471210
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2
A unified view of LIBOR models
Glau, Kathrin
;
Grbac, Zorana
;
Papapantoleon, Antonis
- In:
Advanced modelling in mathematical finance : in honour …
,
(pp. 423-452)
.
2016
Persistent link: https://www.econbiz.de/10011800390
Saved in:
3
Approximate option pricing in the Lévy Libor model
Grbac, Zorana
;
Krief, David
;
Tankov, Peter
- In:
Advanced modelling in mathematical finance : in honour …
,
(pp. 453-476)
.
2016
Persistent link: https://www.econbiz.de/10011800391
Saved in:
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