ETH Zürich - D-MATH - HOME - update on 15062012

Publications and Preprints

All of my preprints can be found on ArXiv, some also on the preprint servers of the Erwin Schrödinger Institute, or of the Mittag-Leffler-Institute,

• [50] Christa Cuchiero, Josef Teichmann: Fourier transform methods for pathwise covariance estimation in the presence of jumps, arXiv/1301.3602, preprint, 2013.
• [49] Josef Teichmann, Mario Wüthrich: Consistent Long-Term Yield Curve Prediction, arXiv/1203.2017, preprint, submitted, 2012.
• [48] Damir Filipovic, Stefan Tappe, Josef Teichmann: Invariant manifolds with boundary for jump-diffusions, arXiv/1202.1076, preprint, submitted, 2012.
• [47] Philipp Dörsek, Josef Teichmann, Dejan Veluscek: Cubature Methods For Stochastic (Partial) Differential Equations In Weighted Space, arXiv/1201.4024, preprint, submitted, 2012.
• [46] Stefan Haller, Tomasz Rybicki, Josef Teichmann: Smooth perfectness for the group of diffeomorphisms, arXiv/0409605, second extended version of an earlier preprint, submitted, 2012.
• [45] Philipp Dörsek, Josef Teichmann: Efficient simulation and calibration for general HJM models by splitting schemes, arXiv/1112.5330, preprint, submitted, 2011.
• [44] Christa Cuchiero, Martin Keller-Ressel, Eberhard Mayerhofer, Josef Teichmann: Affine processes on symmetric cones, arXiv1112.1233, preprint, submitted, 2011.
• [43] Christa Cuchiero, Josef Teichmann: Path properties and regularity of affine processes on general state spaces, arXiv/1107.1607, to appear in Séminaire de Probabilité, 2011.
• [42] Martin Keller-Ressel, Walter Schachermayer, Josef Teichmann: Regularity of affine processes on general state spaces, arXiv/1105.0632, preprint, submitted, 2011.
• [41] Philipp Dörsek, Josef Teichmann: A Semigroup Point Of View On Splitting Schemes For Stochastic (Partial) Differential Equations, arXiv/1011.2651, preprint, 2010.
• [40] Kojiro Oshima, Josef Teichmann, Dejan Veluscek: A new extrapolation method for weak approximation schemes with applications, arXiv/0911.4380, Ann. Appl. Probab. 22 (2012), no. 3.
• [39] Martin Keller-Ressel, Josef Teichmann: A remark on Gatheral's 'most-likely path approximation' of implied volatility, arXiv/0911.5062, preprint, 2009.
• [38] Jiro Akahori, Yuji Hishida, Josef Teichmann, Takahiro Tsuchiya: A Heat Kernel Approach to Interest Rate Models, arXiv/0910.5033, preprint, 2009.
• [37] Christa Cuchiero, Damir Filipovic, Eberhard Mayerhofer, Josef Teichmann: Affine processes on positive semidefinite matrices, arXiv/0910.0137, The Annals of Applied Probability. Volume 21, Number 2 (2011), 397-463.
• [36] Josef Teichmann: Another approach to some rough and stochastic partial differential equations, arXiv/0908.2814, Stochastics and Dynamics 11 (2011), no. 2-3, 535-550.
• [35] Martin Keller-Ressel, Walter Schachermayer, Josef Teichmann: Affine processes are regular, arXiv/0906.3392, Probab. Theory Relat. Fields 151 (2011), 591-611.
• [34] Damir Filipovic, Stefan Tappe, Josef Teichmann: Term Structure Models Driven by Wiener Process and Poisson Measures: Existence and Positivity, arXiv/0905.1413, SIAM J. Financial Math. 1 (2010), 523-554.
• [33] Juan-Pablo Ortega, Rainer Pullirsch, Josef Teichmann, Julian Wergieluk: A new approach for scenario generation in Risk management, arXiv/0904.0624, preprint, 2009.
• [32] Martin Keller-Ressel, Antonis Papapantoleon, Josef Teichmann: A new approach to LIBOR modeling, arXiv/0904.0555, accepted for publication in mathematical Finance, 2009.
• [31] Christa Cuchiero, Martin Keller-Ressel, Josef Teichmann: Polynomial processes and their applications to mathematical Finance, arXiv/0812.4740, Finance and Stochastics 16 (2012), volume 4.
• [30] Damir Filipovic, Stefan Tappe, Josef Teichmann: Jump-Diffusions in Hilbert Spaces: Existence, Stability and Numerics, arXiv/0810.5023, Stochastics 82 (2010), no. 5, 475-520.
• [29] Christa Cuchiero, Damir Filipovic, Josef Teichmann: Affine Models, arXiv/0809.1985, to appear in Encyclopedia of Quantitative Finance, 2009.
• [28] Christian Bayer, Josef Teichmann: Cubature on Wiener space in infinite dimension, arXiv/0711.3763, Proceedings of the Royal Society London A 464, 2493 - 2516, 2008.
• [27] Fabrice Baudoin, Martin Hairer, Josef Teichmann: Ornstein-Uhlenbeck Processes on Lie Groups, arXiv/0711.2419, J. Funct. Anal. 255 (2008), no. 4, 877-890.
• [26] Rainer Buckdahn, Marc Quincampoix, Catherine Rainer, Josef Teichmann: Another proof for the equivalence between invariance of closed sets with respect to stochastic and deterministic systems, arXiv/0707.2353, Bull. Sci. Math. 134 (2010), no. 2, 207-214.
• [25] Maria Siopacha, Josef Teichmann: Weak and Strong Taylor methods for numerical solutions of stochastic differential equations, arXiv/0704.0745, Journal of Quantitative Finance 11 (2011), no. 4, 517-528.
• [24] Walter Schachermayer, Uwe Schmock, Josef Teichmann: Non-monotone convergence in the quadratic Wasserstein distance, arXiv/0704.0876, Seminaire de Probabilités XLII, 2009.
• [23] Walter Schachermayer, Josef Teichmann: Characterization of optimal Transport Plans for the Monge-Kantorovich-Problem, arXiv/0711.1268, Proceedings of the AMS 137 (2009), no. 2, 519-529, 2009.
• [22] Barbara Forster, Eva Lütkebohmert, Josef Teichmann: Absolutely continuous laws of Jump-Diffusions in finite and infinite dimensions with applications to mathematical Finance, arXiv/0509016, renamed and extended version of "Calculating the Greeks for Jump-Diffusions" by the same authors, SIAM Journal of mathematical Analysis 40 (2008/09), no. 5, 2132-2153, 2008/09.
• [21] Christian Bayer, Josef Teichmann: The proof of Tchakaloff's Theorem (ps, pdf, arXiv/0502473), Proceedings of the AMS, 134 (10), 3035-3040, 2006.
• [20] Walter Schachermayer, Josef Teichmann: How close are the option pricing formulas of Bachelier and Black-Merton-Scholes? (pdf, arXiv/0711.1272), Mathematical Finance 18 (2008), no. 1, 155-170.
• [19] Josef Teichmann: Calculating the Greeks by Cubature formulas (ps, pdf, arXiv/0410112), Proceedings of the Royal Society London A 462, 647-670, 2006.
• [18] Michael Drmota, Walter Schachermayer, Josef Teichmann: A hyper-geometric approach to the BMV-conjecture (ps, pdf, arXiv/0408015), Monatshefte für Mathematik 146, 179-201, 2005.
• [17] Josef Teichmann: A note on non-affine solutions of term structure equations with applications to power exchanges (ps,pdf), Mathematical Finance 15 (1), 191-201, 2004.
• [16] Fabrice Baudoin, Josef Teichmann: Hypoellipticity in infinite dimensions and an application in interest rate theory (ps, pdf, arXiv/0508452), Annals of applied Probability 15 (3), 1765-1777, 2005.
• [15] Damir Filipovic, Josef Teichmann: On the Geometry of the Term structure of Interest Rates (ps, pdf), Proceedings of the Royal Society London A 460, 129-167, 2004.
• [14] Damir Filipovic, Josef Teichmann: Regularity of finite-dimensional realizations for Evolution Equations (ps, pdf, arXiv/0112244), Journal of Functional Analysis 197, 433-446, 2003.
• [13] Friedrich Hubalek, Irene Klein, Josef Teichmann: A general proof of the Dybvig-Ingersoll-Ross-Theorem: Long forward rates can never fall (ps, pdf, arXiv/0112230), Mathematical Finance 12 (4), 447-451, 2002.
• [12] Stefan Haller, Josef Teichmann: Smooth perfectness through decomposition of diffeomorphisms into fiber preserving ones (ps, pdf, arXiv/0110041), Annals of Global Analysis and Geometry 23, 53-63, 2003.
• [11] Josef Teichmann: Inheritance properties of Lipschitz-metrizable Frölicher groups (ps, pdf), Proceedings of the Howard Conference 2000, 2002.
• [10] Stefan Haller, Josef Teichmann, Cornelia Vizman: Totally geodesic subgroups of diffeomorphisms (ps, pdf, arXiv/0103220), Journal of Geometry and Physics 42, 342-354, 2002.
• [9]   Josef Teichmann: Introduction to the Habilitationsschrift (ps, pdf), October 2002.
• [8]   Josef Teichmann: A Frobenius Theorem on convenient manifolds (ps, pdf), Monatshefte für Mathematik 134, 159-167, 2001.
• [7]   Damir Filipovic, Josef Teichmann: Existence of invariant Manifolds for Stochastic Equations in infinite dimension (ps, pdf), Journal of Functional Analysis 197, 398-432, 2003.
• [6]   Josef Teichmann: Hille-Yoshida Theory in convenient Analysis (ps, pdf), Revista Matematica Complutense 15 (2), 449-474, 2002.
• [5]   Josef Teichmann: Regularity of infinite-dimensional Lie Groups by metric space methods (ps, pdf), Tokyo Journal of Mathematics 24, no. 1, 39-58, 2001.
• [4]   Peter W. Michor, Josef Teichmann: Description of infinite dimensional abelian regular Lie groups (ps, arXiv/9808072), Journal of Lie Theory 9,  487-489, 1999.
• [3]   Josef Teichmann: Tempered groups (ps, pdf), Proceedings of the Krynica conference on Geometry and Topology 1999, Univ. Iagel. Acta Math. 42, 55-67, 2004.
• [2]   Josef Teichmann: Trotter's formula on infinite dimensional Lie groups (ps, pdf), Journal of Lie Theory 11, no. 2, 427-440, 2001.
• [1]   Josef Teichmann: Hopf's decomposition and recurrent semigroups (ps, pdf), Publications des mathematiques de Besançon 15, 1997.

Articles of general interest

• Walter Schachermayer, Karl Sigmund, Josef Teichmann: Franz Alt 1910-2011, IMN 218, 12/2011.
• Walter Schachermayer, Josef Teichmann: Wie K. Itô den stochastischen Kalkül revolutionierte (IMN 205), 08/2007.

Working Papers

• Josef Teichmann: A Note on enlargeable Fréchet-Lie Algebras, working paper, 2001.
• Damir Filipovic, Josef Teichmann: On Finite-dimensional Term Structure models (ps, pdf, arXiv/0201204), working paper, 2002.
• Friedrich Hubalek, Josef Teichmann, Robert Tompkins: Flexible complete models with stochastic volatility generalising Hobson-Rogers (pdf), working paper, 2004.

Doctoral Thesis

• Josef Teichmann: Infinite dimensional Lie Theory from the point of view of Functional Analysis (ps, pdf), PhD Thesis, University of Vienna, 1999.