A new preprint by Martin Keller-Ressel on Affine forward variance models is available on ArXiv.
Author: stofin_user
Financial Mathematics: Exercise 4
Exercise Sheet 4 for Financial Mathematics is now online and due on January 17.
Keine Vorlesung am 20.12. / No lecture on Dec. 20
Am 20.12. findet keine VL Finanzmathematik statt / There will be no lecture in Financial Mathematics on December 20
Frohe Weihnachten und schöne Feiertage / Merry Christmas and Happy Holidays
Financial Mathematics: Exercise Sheet 3
Exercise Sheet 3 in Financial Mathematics is online and due on December 6.
Two new preprints on ‘Generalized Distance Covariance’
Together with Björn Böttcher and Rene Schilling, Martin Keller-Ressel has published two new preprints on measuring dependencies by Generalized Distance Covariance and Multivariance.
Vortrag “Formen der Yield- und Forwardkurve im Langzeitverhalten”
Martin Keller-Ressel hielt einen Vortrag über “Formen der Yield- und Forwardkurve im Langzeitverhalten” bei der Herbsttagung des Deutschen Vereins für Versicherungswissenschaft (Fachgruppe Versicherungsmathematik) in Stuttgart.
Talk ‘Semi-Static and Sparse Variance-Optimal Hedging’
Martin Keller-Ressel has given a talk on ‘Semi-Static and Sparse Variance-Optimal Hedging’ at the Workshop ‘Advances in Stochastic Analysis for Risk Modelling’ at CIRM, Marseille.
Financial Mathematics: Exercise Sheet 2
The exercise sheet for the second exercise class on Nov. 15 is now online.
New R Package ‘multivariance’ available
The new R package ‘multivariance’ implements distance multivariance, a measure of dependence which can be used to detect and quantify (high-order) dependence structures. The package was authored by Björn Böttcher with contributions by Martin Keller-Ressel.
Correction to ‘Yield curve shapes and the asymptotic short rate distribution in affine one-factor models’ online
Correction to ‘Yield curve shapes and the asymptotic short rate distribution in affine one-factor models’ is now available on arXiv.