3 papers
math.PR2026
Moments of generalized fractional polynomial processes
Johannes Assefa, Martin Keller-Ressel
We derive a moment formula for generalized fractional polynomial processes, i.e., for polynomial-preserving Markov processes time-changed by an inverse Lévy-subordinator. If the t…
q-fin.MF2026
Discovering parametrizations of implied volatility with symbolic regression
Martin Keller-Ressel, Hannes Nikulski
We investigate the data-driven discovery of parametric representations for implied volatility slices. Using symbolic regression, we search for simple analytic formulas that approxi…
q-fin.MF2024
Term structure shapes and their consistent dynamics in the Svensson family
Martin Keller-Ressel, Felix Sachse
We examine the shapes attainable by the forward- and yield-curve in the widely-used Svensson family, including the Nelson-Siegel and Bliss subfamilies. We provide a complete classi…