Zorana Grbac is an Assistant Professor (Maître de conférences) at the Laboratoire de Probabilités, Statistiques et Modélisation, Université Paris–Diderot.
She received her PhD in Mathematics from the University of Freiburg, supervised by Ernst Eberlein, and was a post-doc at the University of Évry and at TU Berlin.
Her main research interests are in the fields of interest rate modeling, credit risk modeling and applications of semimartingales with jumps in mathematical finance and insurance, as well as asymptotic methods in option pricing.
Her research work has been published in leading journals in probability and finance, including Finance and Stochastics, Mathematical Finance, and Stochastic Processes and their Applications.
She co-authored with W. Runggaldier a book on Interest Rate Modeling: Post-Crisis Challenges and Approaches (SpringerBriefs in Quantitative Finance, 2015) and co-edited a book on Innovations in Derivatives Markets: Fixed Income Modeling, Valuation Adjustments, Risk Management, and Regulation (Springer, 2016).
