M.Sc. Felix Sachse

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

Wissenschaftlicher Mitarbeiter

M.Sc. Felix Sachse

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work

Visiting address:

Bürogebäude Z21, room 313 Zellescher Weg 25

01217 Dresden

Teaching

Please refer to my German webpage

with Martin Keller-Ressel
Term structure shapes and their consistent dynamics in the Svensson Family.
accepted in Mathematical Finance
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

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”