5 papers in the archive (2023–2026), average empirical rigor 3.2/10, average math complexity 8.7/10. Quadrant mix: Holy Grail ×2, Lab Rats ×3.
Works mostly in Options & Derivatives Pricing, Volatility Modeling & Forecasting, Fixed Income & Interest Rates.
Frequent co-authors: Gudmund Pammer (3), Lorenz Riess (2), Julio Backhoff (2), Beatrice Acciaio (1), Evgeny Kolosov (1), Manuel Hasenbichler (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%).
European option smiles determine the risk-neutral marginal laws of an asset, but not their intertemporal coupling, which is decisive for many applications. The Bass martingale construction selects, among all calibrated martingales, the one closest to Bachelier dynamics; it permits fast calibration a
The increasing availability of granular and big data on various objects of interest has made it necessary to develop methods for condensing this information into a representative and intelligible map. Financial regulation is a field that exemplifies this need, as regulators require diverse and often
Change of numeraire is a classical tool in mathematical finance. Campi-Laachir-Martini established its applicability to martingale optimal transport. We note that the results of Campi-Laachir-Martini extend to the case of weak martingale transport. We apply this to shadow couplings, continuous time
We investigate the martingale Schrödinger bridge, recently introduced by Nutz and Wiesel as a distinguished martingale transport plan between two probability measures in convex order. We show that this construction extends naturally to arbitrary dimension and admits several equivalent characterizati
Strassen’s theorem asserts that for given marginal probabilities $μ,ν$ there exists a martingale starting in $μ$ and terminating in $ν$ if and only if $μ,ν$ are in convex order. From a financial perspective, it guarantees the existence of market-consistent martingale pricing measures for arbitrage-f