Martin Keller-Ressel
Title
Cited by
Cited by
Year
Moment explosions and long‐term behavior of affine stochastic volatility models
M Keller‐Ressel
Mathematical Finance: An International Journal of Mathematics, Statistics …, 2011
1422011
Polynomial processes and their applications to mathematical finance
C Cuchiero, M Keller-Ressel, J Teichmann
Finance and Stochastics 16 (4), 711-740, 2012
1202012
Affine processes are regular
M Keller-Ressel, W Schachermayer, J Teichmann
Probability Theory and Related Fields 151 (3-4), 591-611, 2011
852011
Exponential moments of affine processes
M Keller-Ressel, E Mayerhofer
The Annals of Applied Probability 25 (2), 714-752, 2015
742015
Affine processes: theory and applications in finance
M Keller-Ressel
642008
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
592008
The affine LIBOR models
M Keller‐Ressel, A Papapantoleon, J Teichmann
Mathematical Finance: An International Journal of Mathematics, Statistics …, 2013
552013
Affine forward variance models
J Gatheral, M Keller-Ressel
Finance and Stochastics 23 (3), 501-533, 2019
522019
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
46*2013
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
412012
Regularity of affine processes on general state spaces
M Keller-Ressel, W Schachermayer, J Teichmann
Electronic journal of probability 18, 1-17, 2013
392013
Asymptotic and exact pricing of options on variance
M Keller-Ressel, J Muhle-Karbe
Finance and Stochastics 17 (1), 107-133, 2013
332013
Affine processes on symmetric cones
C Cuchiero, M Keller-Ressel, E Mayerhofer, J Teichmann
Journal of Theoretical Probability 29 (2), 359-422, 2016
282016
Moment explosions in stochastic volatility models
P Friz, M Keller-Ressel
Encyclopedia of Quantitative Finance, 1247-1253, 2010
252010
Distance multivariance: New dependence measures for random vectors
B Böttcher, M Keller-Ressel, RL Schilling
The Annals of Statistics 47 (5), 2757-2789, 2019
202019
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
182017
A Stefan-type stochastic moving boundary problem
M Keller-Ressel, MS Müller
Stochastics and Partial Differential Equations: Analysis and Computations 4 …, 2016
152016
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
122020
Implied volatility in strict local martingale models
A Jacquier, M Keller-Ressel
SIAM Journal on Financial Mathematics 9 (1), 171-189, 2018
122018
Affine processes beyond stochastic continuity
M Keller-Ressel, T Schmidt, R Wardenga
The Annals of Applied Probability 29 (6), 3387-3437, 2019
112019
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Articles 1–20