11 citations · 19 across the 5 of their papers we have counts for
5 papers · 1 filter
Supermartingale deflators in the absence of a numéraire
Philipp Harms, Chong Liu, Ariel Neufeld
In this paper we study arbitrage theory of financial markets in the absence of a numéraire both in discrete and continuous time. In our main results, we provide a generalization of…
Strong convergence rates for Markovian representations of fractional processes
Philipp Harms
Many fractional processes can be represented as an integral over a family of Ornstein-Uhlenbeck processes. This representation naturally lends itself to numerical discretizations,…
Consistent Re-Calibration of the Discrete-Time Multifactor Vasiček Model
Philipp Harms, David Stefanovits, Josef Teichmann +1
The discrete-time multifactor Vasiček model is a tractable Gaussian spot rate model. Typically, two- or three-factor versions allow one to capture the dependence structure between…
Affine representations of fractional processes with applications in mathematical finance
Philipp Harms, David Stefanovits
Fractional processes have gained popularity in financial modeling due to the dependence structure of their increments and the roughness of their sample paths. The non-Markovianity…
Consistent Recalibration of Yield Curve Models
Philipp Harms, David Stefanovits, Josef Teichmann +1
The analytical tractability of affine (short rate) models, such as the Vasicek and the Cox-Ingersoll-Ross models, has made them a popular choice for modelling the dynamics of inter…