Concepedia

Zorana Grbac

ZG

Statistics

Publications

5

Citations

215

H-Index

5

Active since

2012

Affiliations

Université d'Évry Val-d'Essonne(Current)

Université Paris Cité

Laboratoire de Probabilités et Modèles Aléatoires

Zorana Grbac is an author at Université d'Évry Val-d'Essonne specializing in finance, financial economics, and business.

Publications per year

2012–2020

5

Publications

5

A multiple-curve HJM model of interbank risk

Stéphane Crépey, Zorana Grbac, Hai-Nam Nguyen · Mathematics and Financial Economics · 2012 · 70 citations

, , +14

COUNTERPARTY RISK AND FUNDING: THE FOUR WINGS OF THE TVA

Stéphane Crépey, Rémi Gerboud, Zorana Grbac et al. · International Journal of Theoretical and Applied Finance · 2013 · 46 citations

, , +14

A Lévy HJM multiple-curve model with application to CVA computation

Stéphane Crépey, Zorana Grbac, Nathalie Ngor et al. · Quantitative Finance · 2014 · 38 citations · Full text

, , +17

Affine LIBOR Models with Multiple Curves: Theory, Examples and Calibration

Zorana Grbac, Antonis Papapantoleon, John Schoenmakers et al. · SIAM Journal on Financial Mathematics · 2015 · 35 citations · Full text

, , +16

Term structure modelling for multiple curves with stochastic discontinuities

Claudio Fontana, Zorana Grbac, Sandrine Gümbel et al. · Finance and Stochastics · 2020 · 26 citations · Full text

, , +10

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