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Cuchiero, C.; Klein, I.; Teichmann, J.

A fundamental theorem of asset pricing for continuous time large financial markets in a two filtration setting. (English. Russian original) Zbl 1448.91306

Theory Probab. Appl. 65, No. 3, 388-404 (2020); translation from Teor. Veroyatn. Primen. 65, No. 3, 498-520 (2020).

MSC: 91G30 91G15

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Harms, Philipp; Stefanovits, David; Teichmann, Josef; Wüthrich, Mario V.

Consistent recalibration of yield curve models. (English) Zbl 1411.91622

Math. Finance 28, No. 3, 757-799 (2018).

MSC: 91G60 91G30 65R20

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Richter, Anja; Teichmann, Josef

Discrete time term structure theory and consistent recalibration models. (English) Zbl 1407.91256

SIAM J. Financ. Math. 8, 504-531 (2017).

MSC: 91G20 91G30

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Döring, Leif; Horvath, Blanka; Teichmann, Josef

Functional analytic (ir-)regularity properties of SABR-type processes. (English) Zbl 1396.91579

Int. J. Theor. Appl. Finance 20, No. 3, Article ID 1750013, 48 p. (2017).

MSC: 91B70 60H30 91G20 91G30

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Teichmann, Josef; Wüthrich, Mario V.

Consistent yield curve prediction. (English) Zbl 1390.91310

ASTIN Bull. 46, No. 2, 191-224 (2016).

MSC: 91G30 62P05

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Klein, Irene; Schmidt, Thorsten; Teichmann, Josef

No arbitrage theory for bond markets. (English) Zbl 1367.91183

Kallsen, Jan (ed.) et al., Advanced modeling in mathematical finance. In honour of Ernst Eberlein on the occasion of his 70th birthday, Kiel, Germany, May 22–25, 2015. Cham: Springer (ISBN 978-3-319-45873-1/hbk; 978-3-319-45875-5/ebook). Springer Proceedings in Mathematics & Statistics 189, 381-421 (2016).

MSC: 91G30 91G20

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Cuchiero, Christa; Klein, Irene; Teichmann, Josef

A new perspective on the fundamental theorem of asset pricing for large financial markets. (English. Russian original) Zbl 1352.91035

Theory Probab. Appl. 60, No. 4, 561-579 (2016); translation from Teor. Veroyatn. Primen. 60, No. 4, 660-685 (2015).

MSC: 91G99 91B24 60G48

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Cuchiero, Christa; Teichmann, Josef

A convergence result for the Emery topology and a variant of the proof of the fundamental theorem of asset pricing. (English) Zbl 1341.60018

Finance Stoch. 19, No. 4, 743-761 (2015).

MSC: 60F17 60G48 91B70 91G80

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Dörsek, Philipp; Teichmann, Josef

Efficient simulation and calibration of general HJM models by splitting schemes. (English) Zbl 1283.91193

SIAM J. Financ. Math. 4, 575-598 (2013).

Reviewer: Krzysztof Piasecki (Poznań)

MSC: 91G60 91G30 60H15 65C05

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Keller-Ressel, Martin; Papapantoleon, Antonis; Teichmann, Josef

The affine LIBOR models. (English) Zbl 1275.91140

Math. Finance 23, No. 4, 627-658 (2013).

MSC: 91G30 91G20

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Klein, Irene; Schmidt, Thorsten; Teichmann, Josef

When roll-overs do not qualify as numéraire: bond markets beyond short rate paradigms. arXiv:1310.0032

Preprint, arXiv:1310.0032 [q-fin.PR] (2013).

MSC: 60H30 91G30

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Siopacha, Maria; Teichmann, Josef

Weak and strong Taylor methods for numerical solutions of stochastic differential equations. (English) Zbl 1214.91136

Quant. Finance 11, No. 4, 517-528 (2011).

MSC: 91G60 91G30 60H07 91G20

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Filipović, Damir; Tappe, Stefan; Teichmann, Josef

Term structure models driven by Wiener processes and Poisson measures: existence and positivity. (English) Zbl 1207.91068

SIAM J. Financ. Math. 1, 523-554 (2010).

Reviewer: Johannes W. Nieuwenhuis (Groningen)

MSC: 91G30 60H15

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Forster, Barbara; Lütkebohmert, Eva; Teichmann, Josef

Absolutely continuous laws of jump-diffusions in finite and infinite dimensions with applications to mathematical finance. (English) Zbl 1173.60332

SIAM J. Math. Anal. 40, No. 5, 2132-2153 (2009).

MSC: 60H15 60H07 91G80 91G30

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Filipović, Damir; Teichmann, Josef

On the geometry of the term structure of interest rates. (English) Zbl 1048.60045

Proc. R. Soc. Lond., Ser. A, Math. Phys. Eng. Sci. 460, No. 2041, 129-167 (2004).

Reviewer: Yuliya S. Mishura (Kyïv)

MSC: 60H10 58J65 91G30

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Hubalek, Friedrich; Klein, Irene; Teichmann, Josef

A general proof of the Dybvig-Ingersoll-Ross theorem: long forward rates can never fall. (English) Zbl 1103.91350

Math. Finance 12, No. 4, 447-451 (2002).

MSC: 91G30

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