78 citations · 171 across the 33 of their papers we have counts for
4 papers · 1 filter
A remark on Gatheral's 'most-likely path approximation' of implied volatility
Martin Keller-Ressel, Josef Teichmann
We give a new proof of the representation of implied volatility as a time-average of weighted expectations of local or stochastic volatility. With this proof we clarify the questio…
On convexity of solutions of ordinary differential equations
Martin Keller-Ressel, Eberhard Mayerhofer, Alexander G. Smirnov
We prove a result on the convex dependence of solutions of ordinary differential equations on an ordered finite-dimensional real vector space with respect to the initial data.
Affine processes are regular
Martin Keller-Ressel, Walter Schachermayer, Josef Teichmann
We show that stochastically continuous, time-homogeneous affine processes on the canonical state space $\Rplus^m \times \RR^n$ are always regular. In the paper of \citet{Duffie2003…
The affine LIBOR models
Martin Keller-Ressel, Antonis Papapantoleon, Josef Teichmann
We provide a general and flexible approach to LIBOR modeling based on the class of affine factor processes. Our approach respects the basic economic requirement that LIBOR rates ar…