Josef Teichmann

ETH Zurich

Professor

Rämistrasse 101

ZUE F7

Zürich, 8092

Switzerland

http://www.math.ethz.ch/~jteichma

Swiss Finance Institute

c/o University of Geneva

40 Bd du Pont-d'Arve

CH-1211 Geneva 4

Switzerland

SCHOLARLY PAPERS

6

DOWNLOADS

2,948

SSRN CITATIONS

3

CROSSREF CITATIONS

14

Scholarly Papers (6)

1.

Deep Hedging: Hedging Derivatives Under Generic Market Frictions Using Reinforcement Learning

Number of pages: 12 Posted: 30 May 2019
JP Morgan, ETH Zurich, ETH Zurich, JP Morgan Chase, JP Morgan and JP Morgan
Downloads 2,026 (7,144)
Citation 3

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Reinforcement Learning, Imperfect Hedging, Derivatives Pricing, Derivatives Hedging, Deep Learning

2.

Deep Hedging

Number of pages: 32 Posted: 20 Feb 2018 Last Revised: 28 Apr 2019
Hans Buehler, Lukas Gonon, Josef Teichmann and Ben Wood
JP Morgan, ETH Zurich, ETH Zurich and JP Morgan Chase
Downloads 783 (30,924)
Citation 5

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reinforcement learning, approximate dynamic programming, machine learning, market frictions, transaction costs, hedging, risk management, portfolio optimization

3.

A Remark on Gatheral's 'Most-Likely Path Approximation' of Implied Volatility

Number of pages: 4 Posted: 03 Nov 2009
Martin Keller-Ressel and Josef Teichmann
Dresden University of Technology - Department of Mathematics and ETH Zurich
Downloads 112 (247,101)
Citation 1

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Implied Volatility, Local Volatility, Stochastic Volatility, Volatility Surface, most-likely path

4.

Functional Analytic (Ir-)Regularity Properties of SABR-type Processes

Number of pages: 33 Posted: 10 Jan 2017
Leif Döring, Blanka Horvath and Josef Teichmann
University of Mannheim - School of Mathematics and Computer Science, Imperial College London - Department of Mathematics and ETH Zurich
Downloads 26 (492,116)

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SABR model, time change, asymptotics, semigroups, Feller property, Dirichlet forms

5.

Consistent Recalibration of Yield Curve Models

Mathematical Finance, Vol. 28, Issue 3, pp. 757-799, 2018
Number of pages: 43 Posted: 14 Jun 2018
University of Freiburg - Institut für Mathematische Stochastik, affiliation not provided to SSRN, ETH Zurich and RiskLab Finland
Downloads 1 (657,017)
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term structure, interest rate, consistent re‐calibration, yield curve, Hull‐White extension

6.

The Affine LIBOR Models

Mathematical Finance, Vol. 23, Issue 4, pp. 627-658, 2013
Number of pages: 32 Posted: 06 Aug 2013
Technische Universität Berlin (TU Berlin), Technische Universität Berlin (TU Berlin) and ETH Zurich
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LIBOR rate models, forward price models, affine processes, analytically tractable models