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Martin Keller-Ressel
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Moment explosions and long‐term behavior of affine stochastic volatility models
M Keller‐Ressel
Mathematical Finance: An International Journal of Mathematics, Statistics …, 2011
1612011
Polynomial processes and their applications to mathematical finance
C Cuchiero, M Keller-Ressel, J Teichmann
Finance and Stochastics 16, 711-740, 2012
1572012
Affine processes are regular
M Keller-Ressel, W Schachermayer, J Teichmann
Probability Theory and Related Fields 151 (3-4), 591-611, 2011
902011
Exponential moments of affine processes
M Keller-Ressel, E Mayerhofer
892015
Affine forward variance models
J Gatheral, M Keller-Ressel
Finance and Stochastics 23, 501-533, 2019
762019
Affine processes: theory and applications in finance
M Keller-Ressel
na, 2008
702008
Yield curve shapes and the asymptotic short rate distribution in affine one-factor models
M Keller-Ressel, T Steiner
Finance and Stochastics 12 (2), 149-172, 2008
622008
The affine LIBOR models
M Keller‐Ressel, A Papapantoleon, J Teichmann
Mathematical Finance: An International Journal of Mathematics, Statistics …, 2013
612013
On the limit distributions of continuous-state branching processes with immigration
M Keller-Ressel, A Mijatović
Stochastic Processes and their Applications 122 (6), 2329-2345, 2012
502012
Large deviations and stochastic volatility with jumps: asymptotic implied volatility for affine models
A Jacquier, M Keller-Ressel, A Mijatović
Stochastics An International Journal of Probability and Stochastic Processes …, 2013
49*2013
Regularity of affine processes on general state spaces
M Keller-Ressel, W Schachermayer, J Teichmann
412013
Distance multivariance: New dependence measures for random vectors
B Böttcher, M Keller-Ressel, RL Schilling
392019
Affine processes on symmetric cones
C Cuchiero, M Keller-Ressel, E Mayerhofer, J Teichmann
Journal of theoretical probability 29, 359-422, 2016
382016
Asymptotic and exact pricing of options on variance
M Keller-Ressel, J Muhle-Karbe
Finance and Stochastics 17, 107-133, 2013
362013
Hydra: a method for strain-minimizing hyperbolic embedding of network-and distance-based data
M Keller-Ressel, S Nargang
Journal of Complex Networks 8 (1), cnaa002, 2020
312020
Geometric Asian option pricing in general affine stochastic volatility models with jumps
F Hubalek, M Keller-Ressel, C Sgarra
Quantitative Finance 17 (6), 873-888, 2017
302017
Moment explosions in stochastic volatility models
P Friz, M Keller-Ressel
Encyclopedia of quantitative finance, 1247-1253, 2010
302010
Hyperbolic busemann learning with ideal prototypes
M Ghadimi Atigh, M Keller-Ressel, P Mettes
Advances in Neural Information Processing Systems 34, 103-115, 2021
232021
Affine rough models
M Keller-Ressel, M Larsson, S Pulido
arXiv preprint arXiv:1812.08486, 2018
212018
A Stefan-type stochastic moving boundary problem
M Keller-Ressel, MS Müller
Stochastics and Partial Differential Equations: Analysis and Computations 4 …, 2016
202016
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