Josef Teichmann

Vienna University of Technology

Department of Financial and Actuarial Mathematics

Wien

Austria

http://www.fam.tuwien.ac.at/~jteichma/

SCHOLARLY PAPERS

4

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500

SSRN CITATIONS
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Top 26,047

in Total Papers Citations

2

CROSSREF CITATIONS

26

Scholarly Papers (4)

1.

Affine Processes on Positive Semidefinite Matrices

Number of pages: 57 Posted: 04 Oct 2009 Last Revised: 08 Mar 2011
Independent, Ecole Polytechnique Fédérale de Lausanne, University of Limerick - Department of Mathematics and Statistics and Vienna University of Technology
Downloads 444 (66,923)
Citation 4

Abstract:

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affine process, stochastic correlation, term structure

2.

How Close are the Option Pricing Formulas of Bachelier and Black-Merton-Scholes?

Mathematical Finance, Vol. 18, Issue 1, pp. 155-170, January 2008
Number of pages: 16 Posted: 19 Dec 2007
Walter Schachermayer and Josef Teichmann
Universität Wien, Fakultät für Mathematik and Vienna University of Technology
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Abstract:

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3.

A Note on Nonaffine Solutions of Term Structure Equations with Applications to Power Exchanges

Mathematical Finance, Vol. 15, No. 1, pp. 191-201, January 2005
Number of pages: 11 Posted: 30 Dec 2004
Josef Teichmann
Vienna University of Technology
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4.

A General Proof of the Dybvig-Ingersoll-Ross Theorem: Long Forward Rates Can Never Fall

Mathematical Finance, Vol. 12, pp. 447-451, 2002
Number of pages: 5 Posted: 27 Dec 2002
Friedrich Hubalek, I. Klein and Josef Teichmann
Vienna University of Technology, University of Vienna - Department of Statistics and Decision Support Systems and Vienna University of Technology
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Abstract:

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Interest rate models, long forward rates