Pregled po CROSBI profilu: Zorana Grbac (CROSBI Profil: 21812, MBZ: 267304)
Pronađeno 11 radova
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1.Gehmlich, Frank; Grbac, Zorana; Schmidt, ThorstenPricing and calibration in market models // Credit securitisations and derivatives : challenges for the global markets / Rösch, Daniel ; Scheule, Harald (ur.).
Chichester: John Wiley & Sons, 2013. str. 245-270 -
2.Eberlein, Ernst; Grbac, Zorana; Schmidt, ThorstenDiscrete tenor models for credit risky portfolios driven by time-inhomogeneous Lévy processes // SIAM Journal on Financial Mathematics, 4 (2013), 1; 616-649 doi:10.1137/110827132 (međunarodna recenzija, članak, znanstveni)
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3.Grbac, Zorana; Papapantoleon, AntonisA tractable LIBOR model with default risk // Mathematics and financial economics, 7 (2013), 2; 203-227 (međunarodna recenzija, članak, znanstveni)
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4.Eberlein, Ernst; Grbac, ZoranaRating based Lévy Libor model // Mathematical finance, 23 (2013), 4; 591-626 doi:10.1111/j.1467-9965.2011.00514.x (međunarodna recenzija, članak, znanstveni)
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5.Crépey, Stéphane; Gerboud, Rémi; Grbac, Zorana; Ngor, NathalieCounterparty risk and funding: The four wings of the TVA // International journal of theoretical and applied finance, 16 (2012), 1350006-1 doi:10.1142/S0219024913500064 (međunarodna recenzija, članak, znanstveni)
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6.Crépey, Stéphane; Grbac, Zorana; Nguyen Hai-NamA multiple-curve HJM model of interbank risk // Mathematics and financial economics, 6 (2012), 3; 155-190 (međunarodna recenzija, članak, znanstveni)
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7.Grbac, Zorana; Eberlein, ErnstRating based Lévy Libor model // 9th German Open Conference on Probability and Statistics
Leipzig, Njemačka, 2010. str. 231-232 (predavanje, međunarodna recenzija, sažetak, znanstveni) -
8.Grbac, ZoranaCredit Risk in Lévy Libor Modeling: Rating Based Approach, 2010., doktorska disertacija, Fakultät für Mathematik und Physik, Freiburg
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9.Grbac, ZoranaEnlargement of a filtration with a conditional Markov chain – the $(\mathcal{;H};)$ hypothesis and rating-based modeling // 4th Croatian Mathematical Congress / Scitovski, Rudolf (ur.).
Osijek: Croatian Mathematical Society, 2008. str. 30-30 (poster, međunarodna recenzija, sažetak, znanstveni) -
10.Grbac, Zorana; Eberlein, ErnstCredit rating-based Lévy Libor model // Concluding Workshop, Special Semester on Stochastics with Emphasis on Finance
Linz, Austrija, 2008. (pozvano predavanje, međunarodna recenzija, neobjavljeni rad, znanstveni) -
11.Grbac, ZoranaLévyjevi procesi u modeliranju kamatnih stopa na tržištu obveznica, 2004., magistarski rad, PMF - Matematički odjel, Zagreb
