Dr. Felix Sachse

New webpage at Saarland University

Scientific employee at the Chair of Stochastic Analysis and Financial Mathematics
Prof. Dr. Martin Keller-Ressel 

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Wissenschaftlicher Mitarbeiter

Name

Dr. Felix Sachse

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Organization Name

Institute of Mathematical Stochastics

Institute of Mathematical Stochastics

Teaching

Please refer to my German webpage

Publications

• with Martin Keller-Ressel
  Term structure shapes and their consistent dynamics in the Svensson Family.
  Mathematical Finance, (2025).
  arXiv
• with Martin Keller-Ressel
  State space decomposition and classification of term structure shapes in the two-factor vasicek model.
  International Journal of Theoretical and Applied Finance, 26(04n05), 2350013 (2023).
  arXiv

Awards

• Best Paper Award 2023
  awarded by the International Journal of Theoretical and Applied Finance
  “for extremely interesting results in the framework of the two-factor Vasicek model using the concept of envelopes of curves and their associated winding number, which help to address several questions of practical interest related to the shape of the corresponding yield curves”