Yannick Dillschneider

Goethe University Frankfurt - Department of Finance

Theodor-W.-Adorno-Platz 3

Frankfurt, 60629

Germany

SCHOLARLY PAPERS

6

DOWNLOADS

697

SSRN CITATIONS

1

CROSSREF CITATIONS

4

Scholarly Papers (6)

1.

Functional Ross Recovery: Theoretical Results and Empirical Tests

Journal of Economic Dynamics and Control, Volume 108, November 2019, 103750
Number of pages: 61 Posted: 27 Jun 2017 Last Revised: 18 Feb 2020
Yannick Dillschneider and Raimond Maurer
Goethe University Frankfurt - Department of Finance and Goethe University Frankfurt - Finance Department
Downloads 329 (94,941)
Citation 2

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

2.

Ross Recovery in Pricing Semigroups

Number of pages: 52 Posted: 14 Feb 2018 Last Revised: 19 Feb 2020
Yannick Dillschneider
Goethe University Frankfurt - Department of Finance
Downloads 181 (173,130)
Citation 1

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

3.

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 93 (288,879)

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

4.

Affine Stochastic Volatility Models: Supplementary Material

Number of pages: 13 Posted: 20 Feb 2019
Yannick Dillschneider
Goethe University Frankfurt - Department of Finance
Downloads 48 (410,262)
Citation 1

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affine processes, stochastic volatility, characteristic function, polynomial moments

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 27 (501,249)

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

6.

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 19 (548,323)
Citation 1

Abstract:

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