Yannick Dillschneider

Goethe University Frankfurt - Department of Finance

Theodor-W.-Adorno-Platz 3

Frankfurt, 60629

Germany

SCHOLARLY PAPERS

8

DOWNLOADS

1,069

SSRN CITATIONS

4

CROSSREF CITATIONS

5

Scholarly Papers (8)

1.

Functional Ross Recovery: Theoretical Results and Empirical Tests

Journal of Economic Dynamics and Control, Volume 108, November 2019, 103750
Number of pages: 58 Posted: 27 Jun 2017 Last Revised: 14 Nov 2020
Yannick Dillschneider and Raimond Maurer
Goethe University Frankfurt - Department of Finance and Goethe University Frankfurt - Finance Department
Downloads 383 (95,596)
Citation 3

Abstract:

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Ross recovery, pricing kernel, state price density, Perron-Frobenius theory

2.

Ross Recovery in Pricing Semigroups

Number of pages: 44 Posted: 14 Feb 2018 Last Revised: 25 May 2021
Yannick Dillschneider
Goethe University Frankfurt - Department of Finance
Downloads 206 (181,556)
Citation 1

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Ross recovery, pricing kernel, pricing semigroup, Perron-Frobenius theory

3.

Generalized Transform Analysis for Asset Pricing and Parameter Estimation

Number of pages: 77 Posted: 07 Jan 2021 Last Revised: 25 May 2021
Yannick Dillschneider
Goethe University Frankfurt - Department of Finance
Downloads 135 (260,260)
Citation 1

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standard transforms, generalized transforms, asset pricing, GMM estimation

4.

Characteristic Function-Based Estimation of Affine Option Pricing Models

Number of pages: 12 Posted: 14 Feb 2019
Yannick Dillschneider
Goethe University Frankfurt - Department of Finance
Downloads 125 (275,759)

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Stochastic Volatility, Option Pricing, Generalized Method of Moments, Characteristic Function

5.

Dynamic Portfolio Choice with Annuities When the Interest Rate Is Stochastic

Number of pages: 35 Posted: 06 Sep 2019 Last Revised: 17 Jan 2020
Yannick Dillschneider, Raimond Maurer and Peter Schober
Goethe University Frankfurt - Department of Finance, Goethe University Frankfurt - Finance Department and Goethe University Frankfurt - Department of Finance
Downloads 80 (369,959)

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Annuity risk, deferred life annuities, dynamic portfolio choice, interest rate risk

6.

Affine Stochastic Volatility Models: Supplementary Material

Number of pages: 13 Posted: 20 Feb 2019
Yannick Dillschneider
Goethe University Frankfurt - Department of Finance
Downloads 75 (383,922)
Citation 1

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affine processes, stochastic volatility, characteristic function, polynomial moments

7.

Generalized Euler Equation Errors for Discrete Time Dynamic Portfolio Choice Models

Number of pages: 25 Posted: 20 Sep 2019 Last Revised: 12 Feb 2020
Yannick Dillschneider, Raimond Maurer and Peter Schober
Goethe University Frankfurt - Department of Finance, Goethe University Frankfurt - Finance Department and Goethe University Frankfurt - Department of Finance
Downloads 34 (542,127)
Citation 1

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Dynamic portfolio choice, discrete time dynamic programming, Euler equation errors, gradient-based optimization

8.

GMM Estimation of Stochastic Volatility Models Using Transform-Based Moments of Derivatives Prices

Number of pages: 79 Posted: 07 Jan 2021 Last Revised: 25 May 2021
Yannick Dillschneider and Raimond Maurer
Goethe University Frankfurt - Department of Finance and Goethe University Frankfurt - Finance Department
Downloads 31 (558,188)
Citation 1

Abstract:

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generalized transform analysis, stochastic volatility models, option pricing, GMM estimation