9 citations · 14 across the 15 of their papers we have counts for
11 papers · 1 filter
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…
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…
State space decomposition and classification of term structure shapes in the two-factor Vasicek model
Martin Keller-Ressel, Felix Sachse
Using the concept of envelopes we show how to divide the state space $\RR^2$ of the two-factor Vasicek model into regions of identical term-structure shape. We develop a formula fo…
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…
Bartlett's Delta revisited: Variance-optimal hedging in the lognormal SABR and in the rough Bergomi model
Martin Keller-Ressel
We derive analytic expressions for the variance-optimal hedging strategy and its mean-square hedging error in the lognormal SABR and in the rough Bergomi model. In the SABR model,…
The classification of term structure shapes in the two-factor Vasicek model -- a total positivity approach
Martin Keller-Ressel
We provide a full classification of all attainable term structure shapes in the two-factor Vasicek model of interest rates. In particular, we show that the shapes normal, inverse,…