9 citations · 10 across the 9 of their papers we have counts for
4 papers · 1 filter
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 ti…
Affine processes beyond stochastic continuity
Martin Keller-Ressel, Thorsten Schmidt, Robert Wardenga
In this paper we study time-inhomogeneous affine processes beyond the common assumption of stochastic continuity. In this setting times of jumps can be both inaccessible and predic…
Forward-Invariance and Wong-Zakai Approximation for Stochastic Moving Boundary Problems
Martin Keller-Ressel, Marvin S. Mueller
We discuss a class of stochastic second-order PDEs in one space-dimension with an inner boundary moving according to a possibly non-linear, Stefan-type condition. We show that prop…
Semi-Static Variance-Optimal Hedging in Stochastic Volatility Models with Fourier Representation
Paolo Di Tella, Martin Haubold, Martin Keller-Ressel
In a financial market model, we consider the variance-optimal semi-static hedging of a given contingent claim, a generalization of the classic variance-optimal hedging. To obtain a…