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Martin Keller-Ressel

Identifiers

  • name variant Martin Keller-Ressel 0.60 · backfill

Papers (27)

  1. A comparison principle between rough and non-rough Heston models - with applications to the volatility surface q-fin.MF · 2019 · author #1
  2. Affine Rough Models q-fin.MF · 2018 · author #1
  3. Affine processes beyond stochastic continuity math.PR · 2018 · author #1
  4. Affine forward variance models q-fin.MF · 2018 · author #2
  5. Forward-Invariance and Wong-Zakai Approximation for Stochastic Moving Boundary Problems math.PR · 2018 · author #1
  6. Detecting independence of random vectors: generalized distance covariance and Gaussian covariance math.PR · 2017 · author #2
  7. Erratum to: `Yield curve shapes and the asymptotic short rate distribution in affine one-factor models' q-fin.MF · 2017 · author #1
  8. Semi-Static Variance-Optimal Hedging in Stochastic Volatility Models with Fourier Representation math.PR · 2017 · author #3
  9. Semi-Static and Sparse Variance-Optimal Hedging q-fin.MF · 2017 · author #3
  10. Implied volatility in strict local martingale models q-fin.MF · 2015 · author #2
  11. A Stefan-type stochastic moving boundary problem math.PR · 2015 · author #1
  12. Geometric Asian Option Pricing in General Affine Stochastic Volatility Models with Jumps q-fin.PR · 2014 · author #2
  13. Simple examples of pure-jump strict local martingales math.PR · 2014 · author #1
  14. Affine processes on symmetric cones math.PR · 2011 · author #2
  15. Exponential moments of affine processes math.PR · 2011 · author #1
  16. Large deviations and stochastic volatility with jumps: asymptotic implied volatility for affine models q-fin.PR · 2011 · author #2
  17. Regularity of affine processes on general state spaces math.PR · 2011 · author #1
  18. On the Limit Distributions of Continuous-State Branching Processes with Immigration math.PR · 2011 · author #1
  19. Convex order of discrete, continuous and predictable quadratic variation & applications to options on variance q-fin.PR · 2011 · author #1
  20. Asymptotic and Exact Pricing of Options on Variance q-fin.PR · 2010 · author #1
  21. A remark on Gatheral's 'most-likely path approximation' of implied volatility q-fin.PR · 2009 · author #1
  22. On convexity of solutions of ordinary differential equations math.CA · 2009 · author #1
  23. Affine processes are regular math.PR · 2009 · author #1
  24. The affine LIBOR models q-fin.PR · 2009 · author #1
  25. Polynomial processes and their applications to mathematical Finance math.PR · 2008 · author #2
  26. Moment Explosions and Long-Term Behavior of Affine Stochastic Volatility Models q-fin.PR · 2008 · author #1
  27. Yield Curve Shapes and the Asymptotic Short Rate Distribution in Affine One-Factor Models q-fin.PR · 2007 · author #1

Mentions

  • 1111.1659 #1 · backfill · confidence 0.70 Martin Keller-Ressel
  • 1108.3998 #2 · backfill · confidence 0.70 Martin Keller-Ressel
  • 1105.0632 #1 · backfill · confidence 0.70 Martin Keller-Ressel
  • 1103.5605 #1 · backfill · confidence 0.70 Martin Keller-Ressel
  • 1103.2310 #1 · backfill · confidence 0.70 Martin Keller-Ressel
  • 1003.5514 #1 · backfill · confidence 0.70 Martin Keller-Ressel
  • 0911.0562 #1 · backfill · confidence 0.70 Martin Keller-Ressel
  • 0910.2195 #1 · backfill · confidence 0.70 Martin Keller-Ressel
  • 0906.3392 #1 · backfill · confidence 0.70 Martin Keller-Ressel
  • 0904.0555 #1 · backfill · confidence 0.70 Martin Keller-Ressel
  • 0812.4740 #2 · backfill · confidence 0.70 Martin Keller-Ressel
  • 0802.1823 #1 · backfill · confidence 0.70 Martin Keller-Ressel
  • 0704.0567 #1 · backfill · confidence 0.70 Martin Keller-Ressel

Frequent Coauthors