3 papers in the archive (2023–2026), average empirical rigor 5/10, average math complexity 7.2/10. Quadrant mix: Holy Grail ×2, Lab Rats ×1.
Works mostly in Fixed Income & Interest Rates, Volatility Modeling & Forecasting, Options & Derivatives Pricing.
Frequent co-authors: Felix Sachse (2), Hannes Nikulski (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 examine the shapes attainable by the forward- and yield-curve in the widely-used Svensson family, including the Nelson-Siegel and Bliss subfamilies. We provide a complete classification of all attainable shapes and partition the parameter space of each family according to these shapes. Building u
We investigate the data-driven discovery of parametric representations for implied volatility slices. Using symbolic regression, we search for simple analytic formulas that approximate the total implied variance as a function of log-moneyness and maturity. Our approach generates candidate parametriz
Using the concept of envelopes we show how to divide the state space $\RR^2$ of the two-factor Vasicek model into regions of identical term-structure shape. We develop a formula for determining the shapes utilizing winding numbers and give a nearly complete classification of the parameter space rega