3 papers in the archive (2023–2025), average empirical rigor 3.5/10, average math complexity 8.2/10. Quadrant mix: Holy Grail ×1, Lab Rats ×2.
Works mostly in Fixed Income & Interest Rates.
Frequent co-authors: Paul Krühner (2), Zehra Eksi (2), Paul Eisenberg (1).
Scores are our LLM-assisted heuristics (methodology), not peer review or citation counts. Author pages are generated from paper metadata; name variants may split one person across pages. arXiv author page →
Ordered by a blend of empirical rigor (60%) and math complexity (40%).
We consider the theory of bond discounts, defined as the difference between the terminal payoff of the contract and its current price. Working in the setting of finite-dimensional realizations in the HJM framework, under suitable notions of no-arbitrage, the admissible discount curves take the form
We consider an HJM model setting for Markov-chain modulated forward rates. The underlying Markov chain is assumed to induce regime switches on the forward curve dynamics. Our primary focus is on the interest rate and energy futures markets. After deriving HJM-drift conditions for the two markets, we
We identify all smooth manifolds of curves for Heath-Jarrow-Morton models that are consistent with any tangential diffusion coefficient. In fact, we show that these manifolds cannot be affine but must be of linear-rational type.