78 citations · 171 across the 33 of their papers we have counts for
7 papers · 1 filter
Affine processes on symmetric cones
Christa Cuchiero, Martin Keller-Ressel, Eberhard Mayerhofer +1
We consider affine Markov processes taking values in convex cones. In particular, we characterize all affine processes taking values in an irreducible symmetric cone in terms of ce…
Exponential moments of affine processes
Martin Keller-Ressel, Eberhard Mayerhofer
We investigate the maximal domain of the moment generating function of affine processes in the sense of Duffie, Filipović and Schachermayer [Ann. Appl. Probab. 13 (2003) 984-1053],…
Large deviations and stochastic volatility with jumps: asymptotic implied volatility for affine models
Antoine Jacquier, Martin Keller-Ressel, Aleksandar Mijatovic
Let denote the implied volatility at maturity for a strike , where and is the current value of the underlying. We show that has…
Path properties and regularity of affine processes on general state spaces
Christa Cuchiero, Josef Teichmann
We provide a new proof for regularity of affine processes on general state spaces by methods from the theory of Markovian semimartingales. On the way to this result we also show th…
Regularity of affine processes on general state spaces
Martin Keller-Ressel, Walter Schachermayer, Josef Teichmann
We consider a stochastically continuous, affine Markov process in the sense of Duffie, Filipovic and Schachermayer, with cadlag paths, on a general state space D, i.e. an arbitrary…
On the Limit Distributions of Continuous-State Branching Processes with Immigration
Martin Keller-Ressel, Aleksandar Mijatovic
We consider the class of continuous-state branching processes with immigration (CBI-processes), introduced by Kawazu and Watanabe (1971) and their limit distributions as time tends…
Convex order of discrete, continuous and predictable quadratic variation & applications to options on variance
Martin Keller-Ressel, Claus Griessler
We consider a square-integrable semimartingale and investigate the convex order relations between its discrete, continuous and predictable quadratic variation. As the main results,…