Josef Teichmann

Finance · 2003–2018

A researcher in the Science corpus: 10 papers; trusts 12 researchers and is trusted by 14 researchers here, as inferred from the citation graph.

Subfields

• Finance — 49 citations into it; #4,427 of 10,518 by trust here, #3,667 by citations
• Economics and Econometrics — 19 citations into it
• Management Science and Operations Research — 11 citations into it
• Mathematical Physics — 7 citations into it
• Applied Mathematics — 5 citations into it; #3,788 of 7,620 by trust here, #4,749 by citations

Whom Josef Teichmann trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

1. Damir Filipovi'c
2. Miljenko Huzak
3. Omar El Euch
4. Eduardo Abi Jaber
5. Hans Föllmer
6. Mathieu Rosenbaum
7. Diederik P. Kingma
8. Cédric Villani

Who trusts Josef Teichmann overall

1. Mathias Beiglbock
2. Christa Cuchiero
3. Eduardo Abi Jaber

Papers from Josef Teichmann's perspective

Ordered by how strongly the researchers Josef Teichmann trusts endorse each paper. Same corpus, a different order for every researcher.

1. Adam: A Method for Stochastic Optimization (International Conference on Learning Representations)
2. Volatility is rough
3. The characteristic function of rough Heston models
4. Rough fractional diffusions as scaling limits of nearly unstable heavy tailed Hawkes processes
5. Affine Volterra processes (The Annals of Applied Probability)
6. Perfect hedging in rough Heston models (The Annals of Applied Probability)
7. Topics in Optimal Transportation
8. Markovian structure of the Volterra Heston model (Statistics and Probability Letters)
9. MOMENT EXPLOSIONS AND LONG‐TERM BEHAVIOR OF AFFINE STOCHASTIC VOLATILITY MODELS
10. Stochastic equations in infinite dimensions

Their papers

• Deep hedging (2018) — 446 citations
• Generalized Feller processes and Markovian lifts of stochastic Volterra processes: the affine case (2018) — 82 citations
• Large Deviations and Asymptotic Methods in Finance (2015) — 58 citations
• A new perspective on the fundamental theorem of asset pricing for large financial markets (2014) — 46 citations
• Affine processes are regular (2009) — 78 citations
• Affine Processes on Positive Semidefinite Matrices (2009) — 165 citations
• Characterization of optimal transport plans for the Monge-Kantorovich problem (2007) — 64 citations
• HOW CLOSE ARE THE OPTION PRICING FORMULAS OF BACHELIER AND BLACK–MERTON–SCHOLES? (2007) — 99 citations
• On the geometry of the term structure of interest rates (2004) — 68 citations
• EXISTENCE OF INVARIANT MANIFOLDS FOR STOCHASTIC EQUATIONS IN INFINITE DIMENSION (2003) — 83 citations