93 results on '"Grbac, Zorana"'
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52. Pricing and Calibration in Market Models
53. COUNTERPARTY RISK AND FUNDING: THE FOUR WINGS OF THE TVA
54. Discrete Tenor Models for Credit Risky Portfolios Driven by Time-Inhomogeneous Lévy Processes
55. A L evy HJM Multiple-Curve Model with Application to CVA Computation
56. A tractable LIBOR model with default risk
57. RATING BASED LÉVY LIBOR MODEL
58. Market Models for Credit Risky Portfolios Driven by Time-Inhomogeneous Levy Processes
59. A Lévy HJM multiple-curve model with application to CVA computation.
60. Innovations in Derivatives Markets: Fixed Income Modeling, Valuation Adjustments, Risk Management, and Regulation
61. Innovations in Derivatives Markets: Fixed Income Modeling, Valuation Adjustments, Risk Management, and Regulation.
62. RATING BASED LÉVY LIBOR MODEL.
63. Multi-curve Construction : Definition, Calibration, Implementation and Application of Rate Curves
64. The Impact of a New CoCo Issuance on the Price Performance of Outstanding CoCos
65. Pricing Shared-Loss Hedge Fund Fee Structures
66. Inside the EMs Risky Spreads and CDS-Sovereign Bonds Basis
67. The Impact of Cointegration on Commodity Spread Options
68. Negative Basis Measurement: Finding the Holy Scale
69. Nonlinear Monte Carlo Schemes for Counterparty Risk on Credit Derivatives
70. The Dynamic Correlation Model and Its Application to the Heston Model
71. A Generalized Intensity-Based Framework for Single-Name Credit Risk
72. Basket Option Pricing and Implied Correlation in a One-Factor Lévy Model
73. Multi-curve Modelling Using Trees
74. Tight Semi-model-free Bounds on (Bilateral) CVA
75. Option Pricing and Sensitivity Analysis in the Lévy Forward Process Model
76. Impact of Multiple-Curve Dynamics in Credit Valuation Adjustments
77. Simultaneous Hedging of Regulatory and Accounting CVA
78. Analysis of Nonlinear Valuation Equations Under Credit and Funding Effects
79. Capital Optimization Through an Innovative CVA Hedge
80. CVA with Wrong-Way Risk in the Presence of Early Exercise
81. FVA and Electricity Bill Valuation Adjustment—Much of a Difference?
82. Nonlinearity Valuation Adjustment : Nonlinear Valuation Under Collateralization, Credit Risk, and Funding Costs
83. On magnetic curves in almost cosymplectic Sol space
84. Chebyshev's inequality of the Mercer type
85. Nonautonomous linearization: survey of recent results
86. Generalizations of Steffensen's inequality by Lidstone's polynomial and related results
87. Modification of the search algorithm for extremal Z4-codes
88. Some New Inequalities Involving the Generalized Hardy Operator
89. Linearization for difference equations with infinite delay
90. Chebyshev-Steffensen Inequality Involving the Inner Product
91. Bounds of Hermite-Hadamard-type for generalizations of Steffensen's inequality
92. On the converse Jensen-type inequality for generalized f-divergences
93. On joint weak convergence of partial sum and maxima processes
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