Martin Keller-Ressel

Stochastic Analysis and Financial Mathematics

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New preprint on ‘Affine forward variance models’

22. January 2018 / stofin_user

A new preprint by Martin Keller-Ressel on Affine forward variance models is available on ArXiv.

Financial Mathematics: Exercise 4

10. January 2018 / stofin_user

Exercise Sheet 4 for Financial Mathematics is now online and due on January 17.

Keine Vorlesung am 20.12. / No lecture on Dec. 20

18. December 2017 / stofin_user

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

29. November 2017 / stofin_user

Exercise Sheet 3 in Financial Mathematics is online and due on December 6.

Two new preprints on ‘Generalized Distance Covariance’

27. November 2017 / stofin_user

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”

27. November 2017 / stofin_user

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’

27. November 2017 / stofin_user

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

7. November 2017 / stofin_user

The exercise sheet for the second exercise class on Nov. 15 is now online.

New R Package ‘multivariance’ available

3. November 2017 / stofin_user

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

3. November 2017 / stofin_user

Correction to ‘Yield curve shapes and the asymptotic short rate distribution in affine one-factor models’ is now available on arXiv.

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Recent Posts

  • New preprint on ‘Affine forward variance models’
  • Financial Mathematics: Exercise 4
  • Keine Vorlesung am 20.12. / No lecture on Dec. 20
  • Financial Mathematics: Exercise Sheet 3
  • Two new preprints on ‘Generalized Distance Covariance’
  • Vortrag “Formen der Yield- und Forwardkurve im Langzeitverhalten”
  • Talk ‘Semi-Static and Sparse Variance-Optimal Hedging’
  • Financial Mathematics: Exercise Sheet 2

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