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1

HOW CLOSE ARE THE OPTION PRICING FORMULAS OF BACHELIER AND BLACK–MERTON–SCHOLES?

Walter Schachermayer, Josef Teichmann

Journal:

Mathematical Finance

Year:

2008

Language:

english

File:

PDF, 142 KB

english, 2008

2

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

Buehler, Hans, Gonon, Lukas, Teichmann, Josef, Wood, Ben, Mohan, Baranidharan, Kochems, Jonathan

Journal:

SSRN Electronic Journal

Year:

2019

Language:

english

File:

PDF, 1.20 MB

english, 2019

3

Stochastic Analysis with Applications to Mathematical Finance || On the Geometry of the Term Structure of Interest Rates

Damir Filipović and Josef Teichmann

Journal:

Proceedings Mathematical Physical & Engineering Sciences

Year:

2004

Language:

english

File:

PDF, 880 KB

english, 2004

4

Cubature on Wiener Space in Infinite Dimension

Christian Bayer and Josef Teichmann

Journal:

Proceedings Mathematical Physical & Engineering Sciences

Year:

2008

Language:

english

File:

PDF, 1.83 MB

english, 2008

5

Efficient Simulation and Calibration of General HJM Models by Splitting Schemes

Dörsek, Philipp, Teichmann, Josef

Journal:

SIAM Journal on Financial Mathematics

Year:

2013

Language:

english

File:

PDF, 360 KB

english, 2013

6

Jump-diffusions in Hilbert spaces: existence, stability and numerics

Filipović, Damir, Tappe, Stefan, Teichmann, Josef

Journal:

Stochastics An International Journal of Probability and Stochastic Processes

Year:

2010

Language:

english

File:

PDF, 377 KB

english, 2010

7

[Springer Proceedings in Mathematics & Statistics] Large Deviations and Asymptotic Methods in Finance Volume 110 ||

Friz, Peter K., Gatheral, Jim, Gulisashvili, Archil, Jacquier, Antoine, Teichmann, Josef

Year:

2015

Language:

english

File:

PDF, 6.81 MB

english, 2015

8

Regularity of finite-dimensional realizations for evolution equations

Damir Filipović, Josef Teichmann

Journal:

Journal of Functional Analysis

Year:

2003

Language:

english

File:

PDF, 179 KB

english, 2003

9

Existence of invariant manifolds for stochastic equations in infinite dimension

Damir Filipović, Josef Teichmann

Journal:

Journal of Functional Analysis

Year:

2003

Language:

english

File:

PDF, 338 KB

english, 2003

10

Affine processes are regular

Martin Keller-Ressel, Walter Schachermayer, Josef Teichmann

Journal:

Probability Theory and Related Fields

Year:

2011

Language:

english

File:

PDF, 275 KB

english, 2011

11

A NOTE ON NONAFFINE SOLUTIONS OF TERM STRUCTURE EQUATIONS WITH APPLICATIONS TO POWER EXCHANGES

Josef Teichmann

Journal:

Mathematical Finance

Year:

2005

Language:

english

File:

PDF, 106 KB

english, 2005

12

Term Structure Models Driven by Wiener Processes and Poisson Measures: Existence and Positivity

Filipović, Damir, Tappe, Stefan, Teichmann, Josef

Journal:

SIAM Journal on Financial Mathematics

Year:

2010

Language:

english

File:

PDF, 446 KB

english, 2010

13

Calculating the Greeks by Cubature Formulae

Josef Teichmann

Journal:

Proceedings Mathematical Physical & Engineering Sciences

Year:

2006

Language:

english

File:

PDF, 1.84 MB

english, 2006

14

Fourier transform methods for pathwise covariance estimation in the presence of jumps

Cuchiero, Christa, Teichmann, Josef

Journal:

Stochastic Processes and their Applications

Year:

2015

Language:

english

File:

PDF, 1.19 MB

english, 2015

15

Weak and strong Taylor methods for numerical solutions of stochastic differential equations

Siopacha, Maria, Teichmann, Josef

Journal:

Quantitative Finance

Year:

2011

Language:

english

File:

PDF, 228 KB

english, 2011

16

CONSISTENT YIELD CURVE PREDICTION

Teichmann, Josef, Wüthrich, Mario V.

Journal:

Year:

2016

Language:

english

File:

PDF, 698 KB

english, 2016

17

Usage Patterns of Advanced Analytical Methods in Tourism Research 1988–2008: A Six Journal Survey

Mazanec, Josef A., Ring, Amata, Stangl, Brigitte, Teichmann, Karin

Journal:

Information Technology & Tourism

Year:

2010

Language:

english

File:

PDF, 219 KB

english, 2010

18

FUNCTIONAL ANALYTIC (IR-)REGULARITY PROPERTIES OF SABR-TYPE PROCESSES

DÖRING, LEIF, HORVATH, BLANKA, TEICHMANN, JOSEF

Journal:

International Journal of Theoretical and Applied Finance

Year:

2017

Language:

english

File:

PDF, 655 KB

english, 2017

19

Discrete Time Term Structure Theory and Consistent Recalibration Models

Richter, Anja, Teichmann, Josef

Journal:

SIAM Journal on Financial Mathematics

Year:

2017

Language:

english

File:

PDF, 289 KB

english, 2017

20

Deep Hedging

Buehler, Hans, Gonon, Lukas, Teichmann, Josef, Wood, Ben

Journal:

SSRN Electronic Journal

Year:

2018

Language:

english

File:

PDF, 1.64 MB

english, 2018

21

Linearized filtering of affine processes using stochastic Riccati equations

Gonon, Lukas, Teichmann, Josef

Journal:

Stochastic Processes and their Applications

Year:

2019

Language:

english

File:

PDF, 872 KB

english, 2019

22

Another proof for the equivalence between invariance of closed sets with respect to stochastic and deterministic systems

Rainer Buckdahn, Marc Quincampoix, Catherine Rainer, Josef Teichmann

Journal:

Bulletin des Sciences Mathématiques

Year:

2010

Language:

english

File:

PDF, 126 KB

english, 2010

23

Totally geodesic subgroups of diffeomorphisms

Stefan Haller, Josef Teichmann, Cornelia Vizman

Journal:

Journal of Geometry and Physics

Year:

2002

Language:

english

File:

PDF, 111 KB

english, 2002

24

Vitamin D receptor initiation codon polymorphism, bone density and inflammatory activity of patients with ankylosing spondylitis

BarbaraM Obermayer-Pietsch, Uwe Lange, Gerlinde Tauber, Gerwig Frühauf, Astrid Fahrleitner, Harald Dobnig, Josef Hermann, Ferdinand Aglas, Joachim Teichmann, Gunter Neeck, Georg Leb

Journal:

Osteoporosis International

Year:

2003

Language:

english

File:

PDF, 249 KB

english, 2003

25

A Hyper-Geometric Approach to the BMV-Conjecture

Michael Drmota, Walter Schachermayer, Josef Teichmann

Journal:

Monatshefte für Mathematik

Year:

2005

Language:

english

File:

PDF, 193 KB

english, 2005

26

A Frobenius Theorem on Convenient Manifolds

Josef Teichmann

Journal:

Monatshefte für Mathematik

Year:

2001

Language:

english

File:

PDF, 94 KB

english, 2001

27

Smooth Perfectness through Decomposition of Diffeomorphisms into Fiber Preserving Ones

Stefan Haller, Josef Teichmann

Journal:

Annals of Global Analysis and Geometry

Year:

2003

Language:

english

File:

PDF, 109 KB

english, 2003

28

Ornstein–Uhlenbeck processes on Lie groups

Fabrice Baudoin, Martin Hairer, Josef Teichmann

Journal:

Journal of Functional Analysis

Year:

2008

Language:

english

File:

PDF, 162 KB

english, 2008

29

THE AFFINE LIBOR MODELS

Martin Keller-Ressel, Antonis Papapantoleon, Josef Teichmann

Journal:

Mathematical Finance

Year:

2012

Language:

english

File:

PDF, 696 KB

english, 2012

30

Absolutely Continuous Laws of Jump-Diffusions in Finite and Infinite Dimensions with Applications to Mathematical Finance

Forster, Barbara, Lütkebohmert, Eva, Teichmann, Josef

Journal:

SIAM Journal on Mathematical Analysis

Year:

2009

Language:

english

File:

PDF, 293 KB

english, 2009

31

Mobiles Datenerfassungs System zur Analyse von Verbrennungsprozessen

Sandra Gildemeister, DI(FH) Gernot Hacker, DI Josef Moik, Dr. Rüdiger Teichmann

Journal:

Year:

2010

Language:

german

File:

PDF, 1.38 MB

german, 2010

32

Polynomial processes and their applications to mathematical finance

Christa Cuchiero, Martin Keller-Ressel, Josef Teichmann

Journal:

Finance and Stochastics

Year:

2012

Language:

english

File:

PDF, 989 KB

english, 2012

33

Calculating the Greeks by cubature formulae

Teichmann, Josef

Journal:

Proceedings Mathematical Physical & Engineering Sciences

Year:

2006

Language:

english

File:

PDF, 380 KB

english, 2006

34

New roll-over protection system

Josef Mayer, Peter Teichmann, Michael Helbig, Thomas Jauch

Journal:

ATZautotechnology

Year:

2001

Language:

english

File:

PDF, 1.04 MB

english, 2001

35

Cubature methods for stochastic (partial) differential equations in weighted spaces

Dörsek, Philipp, Teichmann, Josef, Velušček, Dejan

Journal:

Stochastic Partial Differential Equations: Analysis and Computations

Year:

2013

Language:

english

File:

PDF, 335 KB

english, 2013

36

A heat kernel approach to interest rate models

Akahori, Jirô, Hishida, Yuji, Teichmann, Josef, Tsuchiya, Takahiro

Journal:

Japan Journal of Industrial and Applied Mathematics

Year:

2014

Language:

english

File:

PDF, 1.55 MB

english, 2014

37

ANOTHER APPROACH TO SOME ROUGH AND STOCHASTIC PARTIAL DIFFERENTIAL EQUATIONS

TEICHMANN, JOSEF

Journal:

Stochastics and Dynamics

Year:

2011

Language:

english

File:

PDF, 283 KB

english, 2011

38

Neues Überschlag-Schutzsystem

Josef Mayer,Peter Teichmann,Thomas Jauch

Journal:

ATZ - Automobiltechnische Zeitschrift

Year:

2001

Language:

german

File:

PDF, 4.01 MB

german, 2001

39

New rollover protection system

Josef Mayer,Peter Teichmann,Thomas Jauch

Journal:

ATZ worldwide eMagazine

Year:

2001

Language:

english

File:

PDF, 1.04 MB

english, 2001

40

Affine Processes on Symmetric Cones

Cuchiero, Christa, Keller-Ressel, Martin, Mayerhofer, Eberhard, Teichmann, Josef

Journal:

Journal of Theoretical Probability

Year:

2016

Language:

english

File:

PDF, 576 KB

english, 2016

41

10.1090/S0002-9939-06-08249-9

Bayer, Christian, Teichmann, Josef

Journal:

Proceedings of the American Mathematical Society

Year:

2006

Language:

english

File:

PDF, 141 KB

english, 2006

42

Exotic one-parameter semigroups of endomorphisms of a symmetric cone

Kuzma, Bojan, Omladič, Matjaž, Šivic, Klemen, Teichmann, Josef

Journal:

Linear Algebra and its Applications

Year:

2015

Language:

english

File:

PDF, 589 KB

english, 2015

43

[Springer Proceedings in Mathematics & Statistics] Large Deviations and Asymptotic Methods in Finance Volume 110 || On Singularities in the Heston Model

Friz, Peter K., Gatheral, Jim, Gulisashvili, Archil, Jacquier, Antoine, Teichmann, Josef

Year:

2015

Language:

english

File:

PDF, 142 KB

english, 2015

44

Hypoellipticity in Infinite Dimensions and an Application in Interest Rate Theory

Fabrice Baudoin and Josef Teichmann

Journal:

The Annals of Applied Probability

Year:

2005

Language:

english

File:

PDF, 1.04 MB

english, 2005

45

AFFINE PROCESSES ON POSITIVE SEMIDEFINITE MATRICES

Christa Cuchiero, Damir Filipović, Eberhard Mayerhofer and Josef Teichmann

Journal:

The Annals of Applied Probability

Year:

2011

Language:

english

File:

PDF, 5.03 MB

english, 2011

46

The Proof of Tchakaloff's Theorem

Christian Bayer and Josef Teichmann

Journal:

Proceedings of the American Mathematical Society

Year:

2006

Language:

english

File:

PDF, 211 KB

english, 2006

47

A NEW EXTRAPOLATION METHOD FOR WEAK APPROXIMATION SCHEMES WITH APPLICATIONS

Kojiro Oshima, Josef Teichmann and Dejan Velušček

Journal:

The Annals of Applied Probability

Year:

2012

Language:

english

File:

PDF, 1.90 MB

english, 2012

48

A convergence result for the Emery topology and a variant of the proof of the fundamental theorem of asset pricing

Cuchiero, Christa, Teichmann, Josef

Journal:

Finance and Stochastics

Year:

2015

Language:

english

File:

PDF, 1.07 MB

english, 2015

49

Characterization of optimal transport plans for the Monge-Kantorovich problem

Schachermayer, Walter, Teichmann, Josef

Journal:

Proceedings of the American Mathematical Society

Year:

2008

Language:

english

File:

PDF, 190 KB

english, 2008

50

Affine processes on positive semidefinite matrices

Cuchiero, Christa, Filipović, Damir, Mayerhofer, Eberhard, Teichmann, Josef

Journal:

The Annals of Applied Probability

Year:

2011

Language:

english

File:

PDF, 582 KB

english, 2011