Martin Keller-Ressel

Dresden University of Technology - Department of Mathematics

Professor of Statistical Analysis and Mathematical Finance

Zellescher Weg 12-14

Willers-Bau C 112

Dresden, 01062

Germany

SCHOLARLY PAPERS

8

DOWNLOADS

617

SSRN CITATIONS
Rank 26,768

SSRN RANKINGS

Top 26,768

in Total Papers Citations

10

CROSSREF CITATIONS

25

Scholarly Papers (8)

1.

Affine Forward Variance Models

Finance and Stochastics, Vol. 23, No. 3, 501-533, 2019
Number of pages: 30 Posted: 28 Jan 2018 Last Revised: 09 Jan 2020
Jim Gatheral and Martin Keller-Ressel
CUNY Baruch College and Dresden University of Technology - Department of Mathematics
Downloads 242 (157,980)
Citation 6

Abstract:

Loading...

Rough Volatility, Affine Process, Stochastic Volatility, Hawkes Process, Forward Variance

2.

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 125 (279,436)
Citation 2

Abstract:

Loading...

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

3.

Asymptotic and Exact Pricing of Options on Variance

Number of pages: 22 Posted: 20 Nov 2010 Last Revised: 15 Dec 2010
Martin Keller-Ressel and Johannes Muhle-Karbe
Dresden University of Technology - Department of Mathematics and Imperial College London - Department of Mathematics
Downloads 99 (328,595)
Citation 6

Abstract:

Loading...

Realized Variance, Quadratic Variation, Option Pricing, Small-Time Asymptotics, Fourier-Laplace Methods

4.

Large Deviations and Stochastic Volatility with Jumps: Asymptotic Implied Volatility for Affine Models

Number of pages: 30 Posted: 30 Aug 2011
Antoine (Jack) Jacquier, Martin Keller-Ressel and Aleksandar Mijatovic
Imperial College London, Dresden University of Technology - Department of Mathematics and Imperial College London
Downloads 66 (416,957)
Citation 3

Abstract:

Loading...

large deviation principle, stochastic volatility with jumps, affine processes, implied volatility in the large maturity limit

5.

Convex Order Properties of Discrete Realized Variance and Applications to Variance Options

Number of pages: 17 Posted: 12 Mar 2011
Martin Keller-Ressel
Dresden University of Technology - Department of Mathematics
Downloads 48 (483,340)

Abstract:

Loading...

Convex Order, Variance Options, Realized Variance, Quadratic Variation

6.

Total Positivity and the Classification of Term Structure Shapes in the Two-Factor Vasicek Model

Number of pages: 23 Posted: 23 Aug 2019
Martin Keller-Ressel
Dresden University of Technology - Department of Mathematics
Downloads 18 (651,306)
Citation 2

Abstract:

Loading...

yield curve, forward curve, term structure, Vasicek model, interest rates, total positivity, Descartes systems

7.

The Hyperbolic Geometry of Financial Networks

Number of pages: 9 Posted: 01 Jun 2020
Martin Keller-Ressel and Stephanie Nargang
Dresden University of Technology - Department of Mathematics and Technical University of Dresden
Downloads 16 (665,663)

Abstract:

Loading...

financial network, network geometry, hyperbolic geometry, systemic risk, financial contagion

8.

Moment Explosions and Long-Term Behavior of Affine Stochastic Volatility Models

Mathematical Finance, Vol. 21, Issue 1, pp. 73-98, 2010
Number of pages: 26 Posted: 30 Dec 2010
Martin Keller-Ressel
Dresden University of Technology - Department of Mathematics
Downloads 3 (766,987)
Citation 3
  • Add to Cart

Abstract:

Loading...

affine process, stochastic volatility, moment explosions, implied volatility smile