Martin Keller-Ressel

Available identifiers

zbMath Open keller-ressel.martinMaRDI QIDQ300274

List of research outcomes

Publication	Date of Publication	Type
STATE SPACE DECOMPOSITION AND CLASSIFICATION OF TERM STRUCTURE SHAPES IN THE TWO-FACTOR VASICEK MODEL	2024-01-23	Paper
Strain-minimizing hyperbolic network embeddings with landmarks	2023-03-10	Paper
W-shaped implied volatility curves in a variance-gamma mixture model	2022-09-29	Paper
Bartlett's Delta revisited: Variance-optimal hedging in the lognormal SABR and in the rough Bergomi model	2022-07-27	Paper
THE CLASSIFICATION OF TERM STRUCTURE SHAPES IN THE TWO-FACTOR VASICEK MODEL — A TOTAL POSITIVITY APPROACH	2021-10-20	Paper
Hydra: A method for strain-minimizing hyperbolic embedding of network- and distance-based data	2021-09-15	Paper
Forward invariance and Wong-Zakai approximation for stochastic moving boundary problems	2020-09-07	Paper
Semistatic and sparse variance‐optimal hedging	2020-05-14	Paper
Distance multivariance: new dependence measures for random vectors	2019-10-09	Paper
Semi-static variance-optimal hedging in stochastic volatility models with Fourier representation	2019-10-07	Paper
Affine forward variance models	2019-06-27	Paper
Detecting independence of random vectors: generalized distance covariance and Gaussian covariance	2019-05-17	Paper
Hydra: A method for strain-minimizing hyperbolic embedding of network- and distance-based data	2019-03-21	Paper
Affine Rough Models	2018-12-20	Paper
A Remark on Gatheral’s ‘Most-Likely Path Approximation’ of Implied Volatility	2018-12-11	Paper
Geometric Asian option pricing in general affine stochastic volatility models with jumps	2018-11-19	Paper
Implied Volatility in Strict Local Martingale Models	2018-04-16	Paper
Correction to: Yield curve shapes and the asymptotic short rate distribution in affine one-factor models	2018-04-06	Paper
A Stefan-type stochastic moving boundary problem	2018-02-02	Paper
Semi-Static and Sparse Variance-Optimal Hedging	2017-09-16	Paper
Affine processes on symmetric cones	2016-06-27	Paper
Simple examples of pure-jump strict local martingales	2015-08-24	Paper
Exponential moments of affine processes	2015-04-27	Paper
Convex Order of Discrete, Continuous, and Predictable Quadratic Variation and Applications to Options on Variance	2015-01-20	Paper
Large deviations and stochastic volatility with jumps: asymptotic implied volatility for affine models	2014-04-25	Paper
Regularity of affine processes on general state spaces	2014-01-17	Paper
The affine LIBOR models	2013-10-11	Paper
Asymptotic and exact pricing of options on variance	2013-02-07	Paper
Polynomial processes and their applications to mathematical finance	2012-12-07	Paper
On the limit distributions of continuous-state branching processes with immigration	2012-06-19	Paper
Affine processes are regular	2012-02-13	Paper
MOMENT EXPLOSIONS AND LONG-TERM BEHAVIOR OF AFFINE STOCHASTIC VOLATILITY MODELS	2011-02-02	Paper
On convexity of solutions of ordinary differential equations	2010-05-19	Paper
Yield curve shapes and the asymptotic short rate distribution in affine one-factor models	2008-06-18	Paper

Research outcomes over time

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