Recent papers

A new preprint on  the hyperbolic geometry of financial networks  (co-authored with Stephanie Nargang) is now on arXiv.

The new preprint Total positivity and the classification of term structure shapes in the two-factor Vasicek model is now available on arXiv.

New preprint A comparison principle between rough and non-rough Heston models – with applications to the volatility surface with Assad Majid now available on ArXiv.

The preprint Hydra: A method for strain-minimizing hyperbolic embedding with Stephanie Nargang is now available.

The paper Detecting independence of random vectors: generalized distance covariance and Gaussian covariance  by Björn Böttcher, Martin Keller-Ressel and Rene Schilling has been published in Modern Stochastics: Theory and Applications.

A new preprint on affine processes beyond stochastic continuity by Martin Keller-Ressel, Thorsten Schmidt and Robert Wardenga is available on arXiv.

A new preprint by Martin Keller-Ressel on Affine forward variance models is available on ArXiv.

Together with Björn Böttcher and Rene Schilling, Martin Keller-Ressel has published two new preprints on measuring dependencies by Generalized Distance Covariance and Multivariance.

Correction to ‘Yield curve shapes and the asymptotic short rate distribution in affine one-factor models’ is now available on arXiv.

Paolo Di Tella, Martin Haubold and Martin Keller-Ressel have published two new preprints on variance-optimal semi-static hedging:

• Semi-static and sparse variance-optimal hedging

• Semi-Static Variance-Optimal Hedging in Stochastic Volatility Models with Fourier Representation