Josef Teichmann
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Austrian mathematician
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Josef Teichmannmathematics Degrees
Mathematics
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Probability Theory
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#186
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Statistics
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Measure Theory
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#4415
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Mathematics
Josef Teichmann's Degrees
- PhD Mathematics University of Vienna
- Masters Mathematics University of Vienna
- Bachelors Mathematics University of Vienna
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Why Is Josef Teichmann Influential?
(Suggest an Edit or Addition)According to Wikipedia, Josef Teichmann is an Austrian mathematician and professor at ETH Zürich working on mathematical finance. After studying mathematics at the University of Graz, he pursued his PhD at the University of Vienna. The title of his dissertation in 1999 under the supervision of Peter W. Michor was "The Theory of Infinite-Dimensional Lie Groups from the Point of View of Functional Analysis".
Josef Teichmann's Published Works
Number of citations in a given year to any of this author's works
Total number of citations to an author for the works they published in a given year. This highlights publication of the most important work(s) by the author
Published Works
- Deep hedging (2018) (211)
- Affine Processes on Positive Semidefinite Matrices (2009) (164)
- Polynomial processes and their applications to mathematical finance (2008) (126)
- The proof of Tchakaloff’s Theorem (2005) (115)
- Term Structure Models Driven by Wiener Processes and Poisson Measures: Existence and Positivity (2009) (104)
- HOW CLOSE ARE THE OPTION PRICING FORMULAS OF BACHELIER AND BLACK–MERTON–SCHOLES? (2007) (91)
- EXISTENCE OF INVARIANT MANIFOLDS FOR STOCHASTIC EQUATIONS IN INFINITE DIMENSION (2003) (85)
- Affine processes are regular (2009) (72)
- On the geometry of the term structure of interest rates (2004) (71)
- Jump-diffusions in Hilbert spaces: existence, stability and numerics (2008) (66)
- Characterization of optimal transport plans for the Monge-Kantorovich problem (2007) (61)
- Large Deviations and Asymptotic Methods in Finance (2015) (54)
- Generalized Feller processes and Markovian lifts of stochastic Volterra processes: the affine case (2018) (52)
- Deep Neural Networks, Generic Universal Interpolation, and Controlled ODEs (2019) (50)
- A Generative Adversarial Network Approach to Calibration of Local Stochastic Volatility Models (2020) (49)
- A new perspective on the fundamental theorem of asset pricing for large financial markets (2014) (46)
- THE AFFINE LIBOR MODELS (2009) (43)
- Regularity of affine processes on general state spaces (2011) (37)
- Weak and strong Taylor methods for numerical solutions of stochastic differential equations (2007) (37)
- Hypoellipticity in infinite dimensions and an application in interest rate theory (2005) (36)
- Deep Hedging: Hedging Derivatives Under Generic Market Frictions Using Reinforcement Learning (2019) (35)
- ANOTHER APPROACH TO SOME ROUGH AND STOCHASTIC PARTIAL DIFFERENTIAL EQUATIONS (2009) (34)
- Fourier transform methods for pathwise covariance estimation in the presence of jumps (2013) (31)
- ON FINITE-DIMENSIONAL TERM STRUCTURE MODELS (2002) (31)
- Invariant manifolds with boundary for jump-diffusions (2012) (30)
- Path Properties and Regularity of Affine Processes on General State Spaces (2011) (29)
- Discrete-Time Signatures and Randomness in Reservoir Computing (2020) (28)
- Affine Processes on Symmetric Cones (2011) (27)
- Markovian lifts of positive semidefinite affine Volterra-type processes (2019) (27)
- A Semigroup Point Of View On Splitting Schemes For Stochastic (Partial) Differential Equations (2010) (26)
- Smooth Perfectness through Decomposition of Diffeomorphisms into Fiber Preserving Ones (2001) (26)
- Ornstein-Uhlenbeck processes on Lie groups (2007) (25)
- A Frobenius Theorem on Convenient Manifolds (2001) (25)
- Consistent recalibration of yield curve models (2015) (25)
- Cubature on Wiener space in infinite dimension (2007) (23)
- Absolutely Continuous Laws of Jump-Diffusions in Finite and Infinite Dimensions with Applications to Mathematical Finance (2005) (22)
- A new extrapolation method for weak approximation schemes with applications (2009) (20)
- Optimal Stopping via Randomized Neural Networks (2021) (19)
- Efficient Simulation and Calibration of General HJM Models by Splitting Schemes (2011) (18)
- Regularity of finite dimensional realizations for evolution equations (2001) (18)
- Smooth perfectness for the group of diffeomorphisms (2004) (17)
- No Arbitrage Theory for Bond Markets (2016) (16)
- Estimating Full Lipschitz Constants of Deep Neural Networks (2020) (16)
- Cubature methods for stochastic (partial) differential equations in weighted spaces (2012) (16)
- Calculation of Greeks for Jump-Diffusions (2005) (15)
- Calculating the Greeks by cubature formulae (2004) (15)
- How implicit regularization of Neural Networks affects the learned function - Part I (2019) (15)
- A convergence result for the Emery topology and a variant of the proof of the fundamental theorem of asset pricing (2014) (15)
- A heat kernel approach to interest rate models (2009) (14)
- Another proof for the equivalence between invariance of closed sets with respect to stochastic and deterministic systems (2007) (13)
- Neural Jump Ordinary Differential Equations: Consistent Continuous-Time Prediction and Filtering (2020) (13)
- When roll-overs do not qualify as num\'eraire: bond markets beyond short rate paradigms (2013) (13)
- Deep Hedging under Rough Volatility (2021) (12)
- DESCRIPTION OF INFINITE DIMENSIONAL ABELIAN REGULAR LIE GROUPS (1998) (12)
- Stochastic analysis with modelled distributions (2016) (12)
- Totally geodesic subgroups of diffeomorphisms (2001) (11)
- NOMU: Neural Optimization-based Model Uncertainty (2021) (10)
- A Fundamental Theorem of Asset Pricing for Continuous Time Large Financial Markets in a Two Filtration Setting (2017) (10)
- Regularity of Infinite-Dimensional Lie Groups by Metric Space Methods (2001) (10)
- A Hyper-Geometric Approach to the BMV-Conjecture (2004) (10)
- Discrete Time Term Structure Theory and Consistent Recalibration Models (2014) (9)
- A new approach to LIBOR modeling (2009) (8)
- An elementary proof of the reconstruction theorem (2018) (8)
- Applications of Signature Methods to Market Anomaly Detection (2022) (8)
- Characterization of nonlinear Besov spaces (2018) (8)
- Denise: Deep Learning based Robust PCA for Positive Semidefinite Matrices (2020) (7)
- A new approach for scenario generation in risk management (2009) (7)
- CONSISTENT YIELD CURVE PREDICTION (2016) (7)
- Parabolic Free Boundary Price Formation Models Under Market Size Fluctuations (2016) (7)
- FLEXIBLE COMPLETE MODELS WITH STOCHASTIC VOLATILITY GENERALISING HOBSON-ROGERS (2004) (7)
- Affine Models (2008) (6)
- Consistent Long-Term Yield Curve Prediction (2012) (6)
- Functional Analytic (Ir-)Regularity Properties of SABR-type Processes (2017) (6)
- Pathwise Construction of Affine Processes (2014) (6)
- Finite dimensional Realizations of Stochastic Equations (2001) (6)
- Exotic one-parameter semigroups of endomorphisms of a symmetric cone (2014) (5)
- Consistent Recalibration Models and Deep Calibration (2020) (5)
- A deep learning model for gas storage optimization (2021) (5)
- Hille-yosida theory in convenient analysis (2002) (4)
- Consistent Re-Calibration of the Discrete-Time Multifactor Vasiček Model (2015) (4)
- A NOTE ON NONAFFINE SOLUTIONS OF TERM STRUCTURE EQUATIONS WITH APPLICATIONS TO POWER EXCHANGES (2005) (4)
- Optimal Extension to Sobolev Rough Paths (2018) (4)
- On Sobolev rough paths (2020) (4)
- A simple proof for the equivalence between invariance for stochastic and deterministic Systems (2007) (3)
- Deep Replication of a Runoff Portfolio (2020) (3)
- Randomized Signature Layers for Signal Extraction in Time Series Data (2022) (3)
- A Remark on Gatheral's 'Most-Likely Path Approximation' of Implied Volatility (2009) (3)
- Linearized filtering of affine processes using stochastic Riccati equations (2018) (3)
- Theoretical Guarantees for Learning Conditional Expectation using Controlled ODE-RNN (2020) (3)
- The Gärtner-Ellis Theorem, Homogenization, and Affine Processes (2014) (3)
- The Jarrow & Turnbull setting revisited (2020) (3)
- Affine processes are regular (2011) (2)
- HOPF ’ S DECOMPOSITION AND RECURRENT SEMIGROUPS (2001) (2)
- FOUNDATIONS OF MARTINGALE THEORY AND STOCHASTIC CALCULUS FROM A FINANCE PERSPECTIVE (2015) (2)
- A Sobolev rough path extension theorem via regularity structures (2021) (2)
- Signature SDEs from an affine and polynomial perspective (2023) (2)
- ON MARTIN HAIRER’S THEORY OF REGULARITY STRUCTURES (2015) (1)
- Infinite wide (finite depth) Neural Networks benefit from multi-task learning unlike shallow Gaussian Processes - an exact quantitative macroscopic characterization (2021) (1)
- Consistent recalibration of the discrete-time multifactor Vasicek model Risks (2016) (1)
- BOND MARKETS BEYOND SHORT RATE PARADIGMS (2013) (1)
- How Infinitely Wide Neural Networks Can Benefit from Multi-task Learning -- an Exact Macroscopic Characterization (2021) (1)
- Non-monotone convergence in the quadratic Wasserstein distance (2007) (1)
- How (Implicit) Regularization of ReLU Neural Networks Characterizes the Learned Function - Part II: the Multi-D Case of Two Layers with Random First Layer (2019) (1)
- Deep Stochastic Portfolio Theory (2019) (1)
- Deep Investing in Kyle's Single Period Model (2020) (1)
- Generalized Feller processes and Markovian lifts of stochastic Volterra processes: the affine case (2020) (1)
- Denise: Deep Robust Principal Component Analysis for Positive Semidefinite Matrices (2020) (1)
- Characterization of non-linear Besov spaces (2018) (1)
- A constraint-based notion of illiquidity (2020) (1)
- PR ] 6 D ec 2 01 1 AFFINE PROCESSES ON SYMMETRIC CONES by Christa Cuchiero (2011) (0)
- CHAPTER 1: FINITE DIMENSIONAL REALIZATIONS A FROBENIUS THEOREM ON CONVENIENT MANIFOLDS (2008) (0)
- TEMPERED GROUPS (2001) (0)
- INHERITANCE PROPERTIES FOR LIPSCHITZ-METRIZABLE FRÖLICHER GROUPS (2002) (0)
- A heat kernel approach to interest rate models (2014) (0)
- Hypo-elliptic simulated annealing (2009) (0)
- Neural Jump Ordinary Differential Equation (2020) (0)
- Cubature methods for stochastic (partial) differential equations in weighted spaces (2013) (0)
- A convergence result for the Emery topology and a variant of the proof of the fundamental theorem of asset pricing (2015) (0)
- On the effectiveness of Randomized Signatures as Reservoir for Learning Rough Dynamics (2022) (0)
- Stopper-Controller Games embedded in Single-Player Control Problems (2020) (0)
- Trotter ’ s formula on infinite dimensional Lie groups (2001) (0)
- Aspects of Stochastic Integration beyond Standard Assumptions (2021) (0)
- Calibration of multivariate affine stochastic volatility models (2012) (0)
- Local Lipschitz Bounds of Deep Neural Networks (2020) (0)
- Optimal consumption and investment with power utility (2010) (0)
- A new approach to SPDEs with applications to numerics in interest rate theory (2009) (0)
- Stochastic analysis with modelled distributions (2020) (0)
- Фундаментальная теорема формирования цен финансовых активов в непрерывном времени для больших финансовых рынков с двумя фильтрациями (2020) (0)
- Reducing the number of neurons of Deep ReLU Networks based on the current theory of Regularization (2021) (0)
- Mathematics of Quantitative Finance (2018) (0)
- A NEW VIEW ON THE FUNDAMENTAL THEOREM OF ASSET PRICING FOR LARGE FINANCIAL MARKETS (2014) (0)
- Affine Processes on Symmetric Cones (2014) (0)
- Optimal Estimation of Generic Dynamics by Path-Dependent Neural Jump ODEs (2022) (0)
- Ergodic robust maximization of asymptotic growth under stochastic volatility (2022) (0)
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