The new preprint Total positivity and the classification of term structure shapes in the two-factor Vasicek model is now available on arXiv.
New preprint A comparison principle between rough and non-rough Heston models – with applications to the volatility surface with Assad Majid now available on ArXiv.
The preprint Hydra: A method for strain-minimizing hyperbolic embedding with Stephanie Nargang is now available.
The paper Detecting independence of random vectors: generalized distance covariance and Gaussian covariance by Björn Böttcher, Martin Keller-Ressel and Rene Schilling has been published in Modern Stochastics: Theory and Applications.
Correction to ‘Yield curve shapes and the asymptotic short rate distribution in affine one-factor models’ is now available on arXiv.
Martin Keller-Ressel has published a new paper on ‘Geometric Asian option pricing in general affine stochastic volatility models with jumps’ with Carlo Sgarra and Friedrich Hubalek in the journal ‘Quantiative Finance’.