78 citations · 171 across the 33 of their papers we have counts for
5 papers · 1 filter
Detecting independence of random vectors: generalized distance covariance and Gaussian covariance
Björn Böttcher, Martin Keller-Ressel, René L. Schilling
Distance covariance is a quantity to measure the dependence of two random vectors. We show that the original concept introduced and developed by Székely, Rizzo and Bakirov can be e…
Distance multivariance: New dependence measures for random vectors
Björn Böttcher, Martin Keller-Ressel, René L. Schilling
We introduce two new measures for the dependence of random variables: distance multivariance and total distance multivariance. Both measures are based on the weighted $L^…
Erratum to: `Yield curve shapes and the asymptotic short rate distribution in affine one-factor models'
Martin Keller-Ressel
This paper corrects an error in [Keller-Ressel, M. and Steiner T. "Yield curve shapes and the asymptotic short rate distribution in affine one-factor models." Finance and Stochasti…
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…
Semi-Static and Sparse Variance-Optimal Hedging
Paolo Di Tella, Martin Haubold, Martin Keller-Ressel
We consider hedging of a contingent claim by a 'semi-static' strategy composed of a dynamic position in one asset and static (buy-and-hold) positions in other assets. We give gener…