3 papers in the archive (2024–2025), average empirical rigor 3.5/10, average math complexity 8.5/10. Quadrant mix: Holy Grail ×1, Lab Rats ×2.
Works mostly in Volatility Modeling & Forecasting, Fixed Income & Interest Rates, Commodities & Energy Markets.
Frequent co-authors: Jian He (2), Sven Karbach (2), Peter Spreij (1), Fred Espen Benth (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%).
In this paper we develop Maximum likelihood (ML) based algorithms to calibrate the model parameters in credit rating transition models. Since the credit rating transition models are not Gaussian linear models, the celebrated Kalman filter is not suitable to compute the likelihood of observed migrati
We study the pricing of European-style options written on forward contracts within function-valued infinite-dimensional affine stochastic volatility models. The dynamics of the underlying forward price curves are modeled within the Heath-Jarrow-Morton-Musiela framework as solution to a stochastic pa
In this paper, we examine continuous-time autoregressive moving-average (CARMA) processes on Banach spaces driven by Lévy subordinators. We show their existence and cone-invariance, investigate their first and second order moment structure, and derive explicit conditions for their stationarity. Spec