Below, please find a list of selected publications from our many fields of expertise. Further publications can be found on our personal webpages.

Cross Hedging of Financial Risk


Dark Markets and Hidden Liquidity

Econometric Tools for High-Frequency Data


Estimation and Forecasting of Vast-Dimensional Asset Return Covariances


Hedging in Illiquid Markets


Implied and Stochastic Volatility

  • M. Beiglboeck, P. Friz, S. Sturm: Is the minimum value of an option on variance generated by local volatility? SIAM J. Finan. Math. 2, pp. 213-220, 2011.
  • S. Benaim, P. Friz: Regular Variation and Smile Asymptotics, Math. Finance Vol. 19 no 1. pp. 1-12, 2009.
  • M. Keller-Ressel: Moment Explosions and Long-Term Behavior of Affine Stochastic Volatility Models. Mathematical Finance 21/1, pp. 73-98, 2011.
  • P. Friz, S. Gerhold, A. Gulisashvili, S. Sturm On refined volatility smile expansion in the Heston model, Quantitative Finance, Volume 11, Issue 8, pp. 1151-1164, 2011.

Interest Rate Modeling and Pricing of Structured Callable Products


LIBOR Models


Optimal Order Placement