3 papers in the archive (2023–2025), average empirical rigor 3.3/10, average math complexity 8.3/10. Quadrant mix: Holy Grail ×1, Lab Rats ×2.
Works mostly in Fixed Income & Interest Rates, Commodities & Energy Markets.
Frequent co-authors: Andreas Celary (2), Shijie Xu (1), Zehra Eksi (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
This paper is concerned with finite dimensional models for the entire term structure for energy futures. As soon as a finite dimensional set of possible yield curves is chosen, one likes to estimate the dynamic behaviour of the yield curve evolution from data. The estimated model should be free of a
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.