9 citations · 10 across the 7 of their papers we have counts for
12 papers
W-shaped implied volatility curves in a variance-gamma mixture model
Martin Keller-Ressel
In liquid option markets, W-shaped implied volatility curves have occasionally be observed. We show that such shapes can be reproduced in a mixture of two variance-gamma models. Th…
A Theory of Hyperbolic Prototype Learning
Martin Keller-Ressel
We introduce Hyperbolic Prototype Learning, a type of supervised learning, where class labels are represented by ideal points (points at infinity) in hyperbolic space. Learning is…
The hyperbolic geometry of financial networks
Martin Keller-Ressel, Stephanie Nargang
Based on data from the European banking stress tests of 2014, 2016 and the transparency exercise of 2018 we demonstrate for the first time that the latent geometry of financial net…
A comparison principle between rough and non-rough Heston models - with applications to the volatility surface
Martin Keller-Ressel, Assad Majid
We present a number of related comparison results, which allow to compare moment explosion times, moment generating functions and critical moments between rough and non-rough Hesto…
Hydra: A method for strain-minimizing hyperbolic embedding of network- and distance-based data
Martin Keller-Ressel, Stephanie Nargang
We introduce hydra (hyperbolic distance recovery and approximation), a new method for embedding network- or distance-based data into hyperbolic space. We show mathematically that h…
Affine Rough Models
Martin Keller-Ressel, Martin Larsson, Sergio Pulido
The goal of this survey article is to explain and elucidate the affine structure of recent models appearing in the rough volatility literature, and show how it leads to exponential…