78 citations · 171 across the 33 of their papers we have counts for
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q-fin.MF2019
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,…
q-fin.MF2019
A comparison principle between rough and non-rough Heston models - with applications to the volatility surface
Martin Keller-Ressel, Assad Majid
We present a number of related comparison results, which allow to compare moment explosion times, moment generating functions and critical moments between rough and non-rough Hesto…
stat.CO2019★ 1 cited
Hydra: A method for strain-minimizing hyperbolic embedding of network- and distance-based data
Martin Keller-Ressel, Stephanie Nargang
We introduce hydra (hyperbolic distance recovery and approximation), a new method for embedding network- or distance-based data into hyperbolic space. We show mathematically that h…