Chair of Stochastic Analysis and Financial Mathematics (OTT professorship)

Organisational unit: Chair

Organisation profile

Former Chair holder: Prof. Dr. Martin Keller-Ressel

Research continued as Chair of Stochastic Analysis and Financial Mathematics

Former unit

Active until. 31 Jul 2019.

Contact

Parent units

Institute of Mathematical Stochastics

Keywords

Research Focus

Finanzmathematik
Stochastische Prozesse

AFFINE PROCESSES BEYOND STOCHASTIC CONTINUITY

Keller-Ressel, M., Schmidt, T. & Wardenga, R., Dec 2019, In: Annals of Applied Probability. 29, 6, p. 3387-3437 51 p.

Research output: Contribution to journal › Research article › Contributed › peer-review

Correction to: ‘Yield curve shapes and the asymptotic short rate distribution in affine one-factor models’

Keller-Ressel, M., 2018, Finance and Stochastics, 22, p. 503–510.

Research output: Contribution to specialist publication › Corrections (errata and retractions) › peer-review

Detecting independence of random vectors: generalized distance covariance and Gaussian covariance.

Böttcher, B., Keller-Ressel, M. & Schilling, R., 2018, In: Modern Stochastics: Theory and Applications.

Research output: Contribution to journal › Research article › Contributed › peer-review

Implied volatility in strict local martingale models

Jacquier, A. & Keller-Ressel, M., 2018, In: SIAM Journal on Financial Mathematics.

Research output: Contribution to journal › Research article › Contributed › peer-review

Geometric Asian Option Pricing in General Affine Stochastic Volatility Models with Jumps

Hubalek, F., Keller-Ressel, M. & Sgarra, C., 2017, In: Quantitative Finance. 17, 6, p. 873-888

Research output: Contribution to journal › Research article › Contributed › peer-review

View all research output (15)

Journal of Theoretical Probability

ISSNs: 0894-9840

Additional searchable ISSN (electronic): 1572-9230

Springer Science and Business Media B.V., United States of America

Scopus rating (2023): CiteScore 1.5 SJR 0.588 SNIP 0.898

Journal

Modern Stochastics: Theory and Applications

ISSNs: 2351-6046

Additional searchable ISSN (electronic): 2351-6054

VTeX

Scopus rating (2023): CiteScore 1.3 SJR 0.48 SNIP 1.139

Indexed in DOAJ

Journal

Quantitative Finance

ISSNs: 1469-7688

Additional searchable ISSN (electronic): 1469-7696

Taylor & Francis

Scopus rating (2023): CiteScore 3.2 SJR 0.705 SNIP 1.084

Journal

SIAM Journal on Financial Mathematics

ISSNs: 1945-497X

Society for Industrial and Applied Mathematics, Philadelphia

Scopus rating (2023): CiteScore 2.3 SJR 0.822 SNIP 0.965

Journal

Annals of Applied Probability

ISSNs: 1050-5164

Institute of Mathematical Statistics

Scopus rating (2023): CiteScore 2.7 SJR 1.62 SNIP 1.445

Journal

View all journals (7)