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Josef Teichmann

Identifiers

  • name variant Josef Teichmann 0.60 · backfill

Papers (56)

  1. Rough SDEs and Robust Filtering for Jump-Diffusions math.PR · 2025 · author #3
  2. An elementary proof of the reconstruction theorem math.PR · 2018 · author #2
  3. Deep Hedging q-fin.CP · 2018 · author #3
  4. Linearized Filtering of Affine Processes Using Stochastic Riccati Equations math.PR · 2018 · author #2
  5. A fundamental theorem of asset pricing for continuous time large financial markets in a two filtration setting q-fin.MF · 2017 · author #3
  6. Functional Analytic (Ir-)Regularity Properties of SABR-type Processes q-fin.MF · 2017 · author #3
  7. Parabolic free boundary price formation models under market size fluctuations math.AP · 2016 · author #2
  8. Consistent Re-Calibration of the Discrete-Time Multifactor Vasi\v{c}ek Model q-fin.MF · 2015 · author #3
  9. Consistent Recalibration of Yield Curve Models q-fin.MF · 2015 · author #3
  10. Pathwise construction of affine processes math.PR · 2014 · author #2
  11. Discrete Time Term Structure Theory and Consistent Recalibration Models q-fin.MF · 2014 · author #2
  12. Exotic one-parameter semigroups of endomorphisms of a symmetric cone math.RA · 2014 · author #4
  13. A convergence result for the Emery topology and a variant of the proof of the fundamental theorem of asset pricing math.PR · 2014 · author #2
  14. The G\"{a}rtner-Ellis theorem, homogenization, and affine processes q-fin.MF · 2014 · author #2
  15. When roll-overs do not qualify as num\'eraire: bond markets beyond short rate paradigms q-fin.PR · 2013 · author #3
  16. Fourier transform methods for pathwise covariance estimation in the presence of jumps math.ST · 2013 · author #2
  17. Consistent Long-Term Yield Curve Prediction q-fin.PR · 2012 · author #1
  18. Invariant manifolds with boundary for jump-diffusions math.PR · 2012 · author #3
  19. Cubature Methods For Stochastic (Partial) Differential Equations In Weighted Spaces math.PR · 2012 · author #2
  20. Efficient simulation and calibration of general HJM models by splitting schemes math.PR · 2011 · author #2
  21. Affine processes on symmetric cones math.PR · 2011 · author #4
  22. Path properties and regularity of affine processes on general state spaces math.PR · 2011 · author #2
  23. Regularity of affine processes on general state spaces math.PR · 2011 · author #3
  24. A Semigroup Point Of View On Splitting Schemes For Stochastic (Partial) Differential Equations math.PR · 2010 · author #2
  25. A new extrapolation method for weak approximation schemes with applications math.PR · 2009 · author #2
  26. A remark on Gatheral's 'most-likely path approximation' of implied volatility q-fin.PR · 2009 · author #2
  27. A Heat Kernel Approach to Interest Rate Models q-fin.PR · 2009 · author #3
  28. Affine processes on positive semidefinite matrices math.PR · 2009 · author #4
  29. Another approach to some rough and stochastic partial differential equations math.PR · 2009 · author #1
  30. Affine processes are regular math.PR · 2009 · author #3
  31. Term Structure Models Driven by Wiener Process and Poisson Measures: Existence and Positivity math.PR · 2009 · author #3
  32. A new approach for scenario generation in Risk management q-fin.RM · 2009 · author #3
  33. The affine LIBOR models q-fin.PR · 2009 · author #3
  34. Polynomial processes and their applications to mathematical Finance math.PR · 2008 · author #3
  35. Jump-Diffusions in Hilbert Spaces: Existence, Stability and Numerics math.PR · 2008 · author #3
  36. Affine Models q-fin.PR · 2008 · author #3
  37. Cubature on Wiener space in infinite dimension math.PR · 2007 · author #2
  38. Ornstein-Uhlenbeck Processes on Lie Groups math.PR · 2007 · author #3
  39. How close are the option pricing formulas of Bachelier and Black-Merton-Scholes? q-fin.PR · 2007 · author #2
  40. Characterization of optimal Transport Plans for the Monge-Kantorovich-Problem math.OC · 2007 · author #2
  41. Another proof for the equivalence between invariance of closed sets with respect to stochastic and deterministic systems math.OC · 2007 · author #4
  42. Non-monotone convergence in the quadratic Wasserstein distance math.PR · 2007 · author #3
  43. Weak and Strong Taylor methods for numerical solutions of stochastic differential equations q-fin.CP · 2007 · author #2
  44. Absolutely continuous laws of Jump-Diffusions in finite and infinite dimensions with applications to mathematical Finance math.PR · 2005 · author #3
  45. Hypoellipticity in infinite dimensions and an application in interest rate theory math.PR · 2005 · author #2
  46. The proof of Tchakaloff's Theorem math.NA · 2005 · author #2
  47. Calculating the Greeks by Cubature formulas math.PR · 2004 · author #1
  48. Smooth perfectness for the group of diffeomorphisms math.DG · 2004 · author #3
  49. A hyper-geometric approach to the BMV-conjecture math-ph · 2004 · author #3
  50. On Finite-dimensional Term Structure models math.PR · 2002 · author #2
  51. Regularity of finite-dimensional realizations for Evolution Equations math.FA · 2001 · author #2
  52. A general proof of the Dybvig-Ingersoll-Ross-Theorem: Long forward rates can never fall math.PR · 2001 · author #3
  53. Smooth perfectness through decomposition of diffeomorphisms into fiber preserving ones math.DG · 2001 · author #2
  54. Finite dimensional Realizations of Stochastic Equations math.PR · 2001 · author #2
  55. Totally geodesic subgroups of diffeomorphisms math.DG · 2001 · author #2
  56. Description of infinite dimensional abelian regular Lie groups math.DG · 1998 · author #2

Mentions

  • 1201.4024 #2 · arxiv_oai · confidence 0.70 Josef Teichmann
  • 1112.5330 #2 · arxiv_oai · confidence 0.70 Josef Teichmann
  • 1011.2651 #2 · arxiv_oai · confidence 0.70 Josef Teichmann
  • 0911.4380 #2 · arxiv_oai · confidence 0.70 Josef Teichmann
  • 0812.4740 #3 · arxiv_oai · confidence 0.70 Josef Teichmann
  • 0810.5023 #3 · arxiv_oai · confidence 0.70 Josef Teichmann
  • math/0509016 #3 · arxiv_oai · confidence 0.70 Josef Teichmann
  • math/0502473 #2 · arxiv_oai · confidence 0.70 Josef Teichmann
  • math/0410112 #1 · arxiv_oai · confidence 0.70 Josef Teichmann
  • 1502.02926 #3 · backfill · confidence 0.70 Josef Teichmann
  • 1412.7837 #2 · backfill · confidence 0.70 Josef Teichmann
  • 1409.1830 #2 · backfill · confidence 0.70 Josef Teichmann
  • 1408.2967 #4 · backfill · confidence 0.70 Josef Teichmann
  • 1406.5414 #2 · backfill · confidence 0.70 Josef Teichmann
  • 1406.3716 #2 · backfill · confidence 0.70 Josef Teichmann
  • 2507.05930 #3 · arxiv_oai · confidence 0.70 Josef Teichmann
  • 1310.0032 #3 · backfill · confidence 0.70 Josef Teichmann
  • 1301.3602 #2 · backfill · confidence 0.70 Josef Teichmann
  • 1203.2017 #1 · backfill · confidence 0.70 Josef Teichmann
  • 1202.1076 #3 · backfill · confidence 0.70 Josef Teichmann
  • 1201.4024 #2 · backfill · confidence 0.70 Josef Teichmann
  • 1112.5330 #2 · backfill · confidence 0.70 Josef Teichmann
  • 1112.1233 #4 · backfill · confidence 0.70 Josef Teichmann
  • 1107.1607 #2 · backfill · confidence 0.70 Josef Teichmann
  • 1105.0632 #3 · backfill · confidence 0.70 Josef Teichmann
  • 1011.2651 #2 · backfill · confidence 0.70 Josef Teichmann
  • 0911.4380 #2 · backfill · confidence 0.70 Josef Teichmann
  • 0911.0562 #2 · backfill · confidence 0.70 Josef Teichmann
  • 0910.5033 #3 · backfill · confidence 0.70 Josef Teichmann
  • 0910.0137 #4 · backfill · confidence 0.70 Josef Teichmann
  • 0908.2814 #1 · backfill · confidence 0.70 Josef Teichmann
  • 0906.3392 #3 · backfill · confidence 0.70 Josef Teichmann
  • 0905.1413 #3 · backfill · confidence 0.70 Josef Teichmann
  • 0904.0624 #3 · backfill · confidence 0.70 Josef Teichmann
  • 0904.0555 #3 · backfill · confidence 0.70 Josef Teichmann
  • 0812.4740 #3 · backfill · confidence 0.70 Josef Teichmann
  • 0810.5023 #3 · backfill · confidence 0.70 Josef Teichmann
  • 0809.1985 #3 · backfill · confidence 0.70 Josef Teichmann
  • 0712.3763 #2 · backfill · confidence 0.70 Josef Teichmann
  • 0711.2419 #3 · backfill · confidence 0.70 Josef Teichmann
  • 0711.1272 #2 · backfill · confidence 0.70 Josef Teichmann
  • 0711.1268 #2 · backfill · confidence 0.70 Josef Teichmann
  • 0707.2353 #4 · backfill · confidence 0.70 Josef Teichmann
  • 0704.0876 #3 · backfill · confidence 0.70 Josef Teichmann
  • 0704.0745 #2 · backfill · confidence 0.70 Josef Teichmann

Frequent Coauthors