Preprints & Notes
A comparison principle between rough and non-rough Heston models – with applications to the volatility surface (with Assad Majid). Submitted (2019)
Hydra: A method for strain-minimizing hyperbolic embedding of network- and distance-based data (with Stephanie Nargang). Submitted (2019)
Affine Rough Models (with Martin Larsson and Sergio Pulido). Submitted as book chapter (2018)
(links usually go to last preprint version before publication)
 Forward-Invariance and Wong-Zakai Approximation for Stochastic Moving Boundary Problems (with Marvin Müller). Forthcoming in the Journal of Evolution Equations (2019+)
 Semi-Static and Sparse Variance-Optimal Hedging (with Paolo Di Tella and Martin Haubold). Forthcoming in Mathematical Finance (2019+)
 Semi-Static Variance-Optimal Hedging in Stochastic Volatility Models with Fourier Representation (with Paolo Di Tella and Martin Haubold). Journal of Applied Probability 56/3, 787-809 (2019)
 Affine processes beyond stochastic continuity (with Thorsten Schmidt and Robert Wardenga). Forthcoming in Annals of Applied Probability (2019)
 Distance multivariance: New dependence measures for random vectors (with Björn Böttcher and Rene Schilling). Annals of Statistics, 47/5, 2757-2789 (2019)
 Affine forward variance models (with Jim Gatheral). Finance and Stochastics, 23/3, 501-533 (2019).
 Detecting independence of random vectors: generalized distance covariance and Gaussian covariance. (with Björn Böttcher and Rene Schilling). Modern Stochastics: Theory and Applications, 5/3, 353-383 (2018).
 Correction to: ‘Yield curve shapes and the asymptotic short rate distribution in affine one-factor models’. Finance and Stochastics, 22/2, 503-510 (2018).
 Implied volatility in strict local martingale models (with Antoine Jacquier). SIAM Journal on Financial Mathematics, 9/1, 171-189 (2018).
 Geometric Asian Option Pricing in General Affine Stochastic Volatility Models with Jumps (with Friedrich Hubalek and Carlo Sgarra). Quantitative Finance, 17/6, 873-888 (2017).
 A Stefan-type stochastic moving boundary problem (with Marvin Müller). Stochastics and Partial Differential Equations: Analysis and Computations, 4/4, 746-790 (2016).
 Affine Processes on Symmetric Cones (with Christa Cuchiero, Eberhard Mayerhofer and Josef Teichmann). Journal of Theoretical Probability 29/2, 359-422 (2016).
 Simple examples of pure-jump strict local martingales. Stochastic Processes and Applications 125/11, 4142-4153 (2015).
 A remark on Gatheral’s ‘most-likely path approximation’ of implied volatility (with Josef Teichmann). In ‘Large Deviations and Asymptotic Methods in Finance’, Springer Proceedings in Mathematics and Statistics, Vol. 110 (2015).
 Exponential Moments of Affine Processes (with Eberhard Mayerhofer). Annals of Applied Probability, 2015, 25/2, 714-752 (2015).
 Convex order properties of discrete realized variance and applications to variance options (with Claus Griessler). SIAM J. Finan. Math. 5/1 , 1-19 (2014).
 Regularity of affine processes on general state spaces (with Walter Schachermayer and Josef Teichmann). Electronic Journal of Probability 18, no. 43, 1-17 (2013).
 Large deviations and stochastic volatility with jumps: asymptotic implied volatility for affine models (with Antoine Jacquier and Aleksandar Mijatovic). Stochastics 85/2, 321-345 (2013).
 The affine LIBOR models (with Antonis Papapantoleon and Josef Teichmann). Mathematical Finance 23/4, 627-658 (2013).
 Asymptotic and Exact Pricing of Options on Variance (with Johannes Muhle-Karbe). Finance & Stochastics 17/1, 107-133 (2013).
 Polynomial processes and their applications to mathematical finance (with Christa Cuchiero and Josef Teichmann). Finance & Stochastics 16/4 711-740 (2012).
 On the Limit Distributions of Continuous-State Branching Processes with Immigration (with Aleksandar Mijatovic). Stochastic Processes and Applications 122, 2329-2345 (2012).
 Affine Processes are Regular (with Walter Schachermayer and Josef Teichmann). Journal of Probability Theory and Related Fields 151/3-4, 591-611(2011).
 Moment Explosions and Long-Term Behavior of Affine Stochastic Volatility Models. Mathematical Finance 21/1, 73-98 (2011).
 On convexity of solutions of ordinary differential equations (with Eberhard Mayerhofer and Alexander Smirnov). Journal of Mathematical Analysis and Applications 368/1 (2010).
 Moment Explosions in Stochastic Volatility Models (with Peter Friz). Contribution to Encyclopedia of Quantitative Finance (2009).
 Yield Curve Shapes and the Asymptotic Short Rate Distribution in Affine One-Factor Models (with Thomas Steiner). Finance & Stochastics 12/2, 149-172 (2008).
Affine Processes – Theory and Applications in Finance: A slightly updated version of my PhD thesis. Completed in January 2009 under supervision of Josef Teichmann.
An Intuitive Introduction to Operator Semi-groups: A short note on operator semi-groups and generators of Markov process. Written January 2006.