78 citations · 171 across the 33 of their papers we have counts for
4 papers · 1 filter
Affine Rough Models
Martin Keller-Ressel, Martin Larsson, Sergio Pulido
The goal of this survey article is to explain and elucidate the affine structure of recent models appearing in the rough volatility literature, and show how it leads to exponential…
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…
Affine forward variance models
Jim Gatheral, Martin Keller-Ressel
We introduce the class of affine forward variance (AFV) models of which both the conventional Heston model and the rough Heston model are special cases. We show that AFV models can…