Martin Keller-Ressel
TitleCited byYear
Moment explosions and long‐term behavior of affine stochastic volatility models
M Keller‐Ressel
Mathematical Finance: An International Journal of Mathematics, Statistics …, 2011
Polynomial processes and their applications to mathematical finance
C Cuchiero, M Keller-Ressel, J Teichmann
Finance and Stochastics 16 (4), 711-740, 2012
Affine processes are regular
M Keller-Ressel, W Schachermayer, J Teichmann
Probability Theory and Related Fields 151 (3-4), 591-611, 2011
Exponential moments of affine processes
M Keller-Ressel, E Mayerhofer
The Annals of Applied Probability 25 (2), 714-752, 2015
Affine processes
M Keller-Ressel
The affine LIBOR models
M Keller‐Ressel, A Papapantoleon, J Teichmann
Mathematical Finance: An International Journal of Mathematics, Statistics …, 2013
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
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
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
Regularity of affine processes on general state spaces
M Keller-Ressel, W Schachermayer, J Teichmann
Electronic journal of probability 18, 2013
Asymptotic and exact pricing of options on variance
M Keller-Ressel, J Muhle-Karbe
Finance and Stochastics 17 (1), 107-133, 2013
Affine processes on symmetric cones
C Cuchiero, M Keller-Ressel, E Mayerhofer, J Teichmann
Journal of Theoretical Probability 29 (2), 359-422, 2016
Affine forward variance models
J Gatheral, M Keller-Ressel
Finance and Stochastics, 1-33, 2019
Moment explosions
PK Friz, MK Ressel
Encyclopedia of Quantitative Finance, 2010
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
A Stefan-type stochastic moving boundary problem
M Keller-Ressel, MS Müller
Stochastics and Partial Differential Equations: Analysis and Computations 4 …, 2016
Convex order of discrete, continuous, and predictable quadratic variation and applications to options on variance
C Griessler, M Keller-Ressel
SIAM Journal on Financial Mathematics 5 (1), 1-19, 2014
On convexity of solutions of ordinary differential equations
M Keller-Ressel, E Mayerhofer, AG Smirnov
arXiv preprint arXiv:0910.2195, 2009
Affine processes-Theory and applications in mathematical finance
M Keller-Ressel
TU Vienna, 2009
On the non-optimality of information: an analysis of the welfare effects of anticipated shocks in the New Keynesian model
HW Wohltmann, RC Winkler
Economics working paper/Christian-Albrechts-Universität Kiel, Department of …, 2008
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Articles 1–20