Publications and Preprints

Almost all of my preprints can be found on ArXiv, few also on the preprint servers of the Erwin Schrödinger Institute, or of the Mittag-Leffler-Institute. My list of publications can be found at MathSciNet's search for Josef Teichmann or at Zentralblatt's search results for Josef Teichmann. You can also see my profile in Google Scholar, or a recent picture taken at MFO.

• [94] David Itkin, Benedikt Koch, Martin Larsson, Josef Teichmann: Ergodic robust maximization of asymptotic growth under stochastic volatility, arXiv/2211.15628, preprint, submitted, 2022.
• [93] Erdinc Akyildirim, Matteo Gambara, Josef Teichmann, Syong Zhou: Applications of Signature Methods to Market Anomaly Detection , arXiv/2201.02441, preprint, submitted, 2022.
• [92] Jakob Heiss, Josef Teichmann, Hanna Wutte: Infinite width (finite depth) neural networks benefit from multi-task learning unlike shallow Gaussian Processes – an exact quantitative macroscopic characterization, arXiv/2112.15577, preprint, submitted, 2021.
• [91] Jakob Heiss, Sven Seuken, Jakob Weissteiner, Josef Teichmann, Hanna Wutte: NOMU: Neural Optimization-based Model Uncertainty, arXiv/2102.13640, preprint, 2021.
• [90] Christa Cuchiero, Sara Svaluto-Ferro, Josef Teichmann: Signature SDEs from an affine and polynomial perspective, preprint, submitted, 2021.
• [89] Christa Cuchiero, Lukas Gonon, Lyudmila Grigoryeva, Juan-Pablo Ortega, Josef Teichmann: Approximation of dynamics by randomized signature, preprint, submitted, 2021.
• [88] Blanka Horvath, Josef Teichmann, Zan Zuric: Deep Hedging under Rough Volatility, arXiv/2102.01962, Risks 9, no. 7, 1-20, 2021.
• [87] Nicolas Curin, Michael Kettler, Xi Kleisinger-Yu, Vlatka Komaric, Thomas Krabichler, Josef Teichmann, Hanna Wutte: A deep learning model for gas storage optimization, arXiv/2102.01980, Decisions in Economics and Finance, 44, 1021–1037, 2021.
• [86] Calypso Herrera, Florian Krach, Pierre Ruyssen, Josef Teichmann: Optimal Stopping via Randomized Neural Networks, arXiv/2104.13669, preprint, submitted, 2021.
• [85] Christa Cuchiero, Lukas Gonon, Lyudmila Grigoryeva, Juan-Pablo Ortega, Josef Teichmann: Discrete-time signatures and randomness in reservoir computing, arXiv/2010.14615, IEEE Transactions on Neural Networks and Learning Systems, 2021.
• [84] Thomas Krabichler, Josef Teichmann: Deep Replication of a Runoff Portfolio, arXiv/2009.05034, preprint, submitted, 2020.
• [83] Paul Friedrich, Josef Teichmann: Deep Investing in Kyle's Single Period Model, arXiv/2006.13889, preprint, submitted, 2020.
• [82] Matteo Gambara, Josef Teichmann: Consistent Recalibration Models and Deep Calibration, arXiv/2006.09455, preprint, submitted, 2020.
• [81] Martin Larsson, Marvin Müller, Josef Teichmann: Stopper-Controller Games embedded in Single-Player Control Problems, arXiv/2006.09493, preprint, submitted, 2020.
• [80] Calypso Herrera, Florian Krach, Josef Teichmann: Neural Jump Ordinary Differential Equations: Consistent Continuous-Time Prediction and Filtering, arXiv/2006.04727, preprint, 2020.
• [79] Chong Liu, David Prömel, Josef Teichmann: On Sobolev rough paths, arXiv/2006.03322, Journal of Mathematical Analysis and Applications, 497 (1), 2021.
• [78] Christa Cuchiero, Wahid Khosrawi-Sardroudi, Josef Teichmann: A generative adversarial network approach to calibration of local stochastic volatility models, arXiv/2005.02505, Risks 8, no. 4, 101, 2020.
• [77] Calypso Herrera, Florian Krach, Josef Teichmann: Estimating Full Lipschitz constants of Deep Neural Networks, arXiv/2004.13135, preprint, submitted, 2020.
• [76] Calypso Herrera, Florian Krach, Josef Teichmann: Deep Learning based Robust PCA for Positive Semidefinite Matrices, arXiv/2004.13612, preprint, submitted, 2020.
• [75] Thomas Krabichler, Josef Teichmann: The Jarrow and Turnbull setting revisited, arXiv/2004.12392, preprint, submitted, 2020.
• [74] Thomas Krabichler, Josef Teichmann: A constraint-based notion of illiquidity, arXiv.2004.12394, preprint, submitted, 2020.
• [73] Jakob Heiss, Josef Teichmann, Hanna Wutte: How implicit regularization of Neural Networks affects the learned function -- Part I, arXiv/1911.02903, preprint, submitted, 2019.
• [72] Christa Cuchiero, Martin Larsson, Josef Teichmann: Deep neural networks, generic universal interpolation, and controlled ODEs, arXiv/1908.07838, SIAM Journal on Mathematics of Data Science, 2 (3), 901-919, 2020.
• [71] Christa Cuchiero, Josef Teichmann: Markovian lifts of positive semidefinite affine Volterra type processes, arXiv/1907.01917, Decisions in Economics and Finance, Vol. 42(2), 407-448, 2019.
• [70] Hans Bühler, Lukas Gonon, Jonathan Kochems, Baranidharan Mohan, Josef Teichmann, Ben Wood: Deep Hedging: Hedging Derivatives Under Generic Market Frictions Using Reinforcement Learning, SSRN:3355706, preprint, 2019.
• [69] Harprit Singh, Josef Teichmann: An elementary proof of the reconstruction theorem, arXiv/1812.03082, preprint, submitted.
• [68] Chong Liu, David Prömel, Josef Teichmann: Optimal Extension of Sobolev rough paths, arXiv/1811.05173, JMAA, under revision, 2020.
• [67] Christa Cuchiero, Josef Teichmann: Generalized Feller processes and Markovian lifts of stochastic Volterra processes: the affine case, arXiv:1804.10450, Journal of Evolution Equations, 20 (4), 1301-1348, 2020.
• [66] Chong Liu, David Prömel, Josef Teichmann: Characterization of non-linear Besov spaces, arXiv/1806.04651, Trans. Amer. Math. Soc., Vol. 373(1), 529-550, 2020.
• [65] Hans Bühler, Lukas Gonon, Josef Teichmann, Ben Wood: Deep Hedging, arXiv:1802.03042, Quantitative Finance, Vol. 19(8), 1271-1291, 2019.
• [64] Lukas Gonon, Josef Teichmann: Linearized Filtering of Affine Processes Using Stochastic Riccati Equations, arXiv:1801.07796, Stochastic Processes and their Applications, Vol. 130(1), 394-430, 2020.
• [63] Christa Cuchiero, Irene Klein, Josef Teichmann: A fundamental theorem of asset pricing for continuous time large financial markets in a two filtration setting , arXiv:1705.02087, TVP (Theory of Probability and Its Applications, 65 (3), 388-404, 2020.
• [62] Chong Liu, David Prömel, Josef Teichmann: Stochastic analysis with modelled distributions, arXiv/1609.03834, Stochastics and Partial Differential Equations: Analysis and Computations, 9 (2), 343-379 (2021).  
• [61] Leif Döring, Blanka Horvath, Josef Teichmann: Functional Analytic (Ir-)Regularity Properties of SABR-Type Processes, arXiv/1701.02015, Int. J. Theor. Appl. Finance 20, no. 3, 2017.
• [60] Peter Markovich, Josef Teichmann, Marie-Therese Wolfram: Parabolic free boundary price formation models under market size fluctuations, arXiv/1603.04786, SIAM MMS 14(4), 1211-1237, 2016.
• [59] Philipp Harms, David Stefanovits, Josef Teichmann, Mario Wüthrich: Consistent Re-calibration of the Discrete-Time Multifactor Vasicek Model, arXiv/1512.06454, Risks 4, no. 3, 18, 2016.
• [58] Philipp Harms, David Stefanovits, Josef Teichmann, Mario Wüthrich: Consistent Recalibration of Yield Curve Models, arXiv/1502.02926, Mathematical Finance, Vol. 28(3), 757-799, 2018.
• [57] Nicoletta Gabrielli, Josef Teichmann: Pathwise construction of affine processes, arxiv:/1412.7837, appeared in Kathrin Glau et. al. (Eds): Innovations in Insurance, Risk- and Asset Management, World Scientific, 2018.
• [56] Christa Cuchiero, Irene Klein, Josef Teichmann: A new perspective on the fundamental theorem of asset pricing for large financial markets, arXiv/1412.7562, TVP (Theory of Probability and Its Applications) 60 (4), 561-579, 2016.
• [55] Anja Richter, Josef Teichmann: Discrete Time Term Structure Theory and Consistent Recalibration Models, arXiv:/1409.1830, SIAM J. Financial Math. 8, no. 1, 504-531, 2017.
• [54] Bojan Kuzma, Matjaz Omladic, Klemen Sivic, Josef Teichmann: Exotic one-parameter semigroups of endomorphisms of a symmetric cone, arXiv:/1408.2967, Linear Algebra and Its Applications, Vol. 477, 42-75, 2015.
• [53] Archil Gulisashvili, Josef Teichmann: The Gärtner-Ellis theorem, homogenization, and affine processes, arXiv/1406.3716, in "Large Deviations and Asymptotic Methods in Finance" (Editors: P. Friz, J. Gatheral, A. Gulisashvili, A. Jacquier, J. Teichmann) , Springer Proceedings in Mathematics and Statistics, Vol. 110, 2015.
• [52] Christa Cuchiero, Josef Teichmann: A convergence result for the Emery topology and a variant of the proof of the fundamental theorem of asset pricing, arXiv/1406.5414, Finance and Stochastics, 19 (2015), volume 4.
• [51] Irene Klein, Thorsten Schmidt, Josef Teichmann: When roll-overs do not qualify as numeraire: bond markets beyond short rate paradigms, arXiv/1310.0032, appeared in a slightly shortened form as "No Arbitrage Theory for Bond Markets" in Jan Kallsen and Antonis Papapantoleon (Eds): Advanced Modeling in Mathematical Finance, Springer, 2016.
• [50] Christa Cuchiero, Josef Teichmann: Fourier transform methods for pathwise covariance estimation in the presence of jumps, arXiv/1301.3602, SPA 125 (2015), no. 1, 116-160.
• [49] Josef Teichmann, Mario Wüthrich: Consistent Long-Term Yield Curve Prediction, arXiv/1203.2017, appeared in a slightly revised form as "Consistent Yield curve predicition" in ASTIN Bulletin 46, no. 2, 191-224, 2016.
• [48] Damir Filipovic, Stefan Tappe, Josef Teichmann: Invariant manifolds with boundary for jump-diffusions, arXiv/1202.1076, EJP 19 (51), 2014.
• [47] Philipp Dörsek, Josef Teichmann, Dejan Veluscek: Cubature Methods For Stochastic (Partial) Differential Equations In Weighted Space, arXiv/1201.4024, Stochastic Partial Differential Equations: Analysis and Computations, 1 (2013), no. 4, 634-663.
• [46] Stefan Haller, Tomasz Rybicki, Josef Teichmann: Smooth perfectness for the group of diffeomorphisms, arXiv/0409605, J. Geom. Mech. 5 (2013), no. 3, 281-294.
• [45] Philipp Dörsek, Josef Teichmann: Efficient simulation and calibration for general HJM models by splitting schemes, arXiv/1112.5330, SIAM J. Financial Math. 4 (2013), no. 1, 575-598.
• [44] Christa Cuchiero, Martin Keller-Ressel, Eberhard Mayerhofer, Josef Teichmann: Affine processes on symmetric cones, arXiv1112.1233, J. Theor. Probab. (2016) 29, 359-422.
• [43] Christa Cuchiero, Josef Teichmann: Path properties and regularity of affine processes on general state spaces, arXiv/1107.1607, Séminaire de Probabilité XLV, 2013.
• [42] Martin Keller-Ressel, Walter Schachermayer, Josef Teichmann: Regularity of affine processes on general state spaces, arXiv/1105.0632, Electron. J. Probab. 18 (2013), no. 43, 17 pp.
• [41] Philipp Dörsek, Josef Teichmann: A Semigroup Point Of View On Splitting Schemes For Stochastic (Partial) Differential Equations, arXiv/1011.2651, preprint, 2010.
• [40] Kojiro Oshima, Josef Teichmann, Dejan Veluscek: A new extrapolation method for weak approximation schemes with applications, arXiv/0911.4380, The Annals of Applied Probability 22 (2012), no. 3.
• [39] Martin Keller-Ressel, Josef Teichmann: A remark on Gatheral's 'most-likely path approximation' of implied volatility, arXiv/0911.5062, in "Large Deviations and Asymptotic Methods in Finance" (Editors: P. Friz, J. Gatheral, A. Gulisashvili, A. Jacquier, J. Teichmann) , Springer Proceedings in Mathematics and Statistics, Vol. 110, 2015.
• [38] Jiro Akahori, Yuji Hishida, Josef Teichmann, Takahiro Tsuchiya: A Heat Kernel Approach to Interest Rate Models, arXiv/0910.5033, Jpn. J. Ind. Appl. Math. 31 (2014), no. 2, 419-439.
• [37] Christa Cuchiero, Damir Filipovic, Eberhard Mayerhofer, Josef Teichmann: Affine processes on positive semidefinite matrices, arXiv/0910.0137, The Annals of Applied Probability 21 (2) (2011), 397-463.
• [36] Josef Teichmann: Another approach to some rough and stochastic partial differential equations, arXiv/0908.2814, Stochastics and Dynamics 11 (2011), no. 2-3, 535-550.
• [35] Martin Keller-Ressel, Walter Schachermayer, Josef Teichmann: Affine processes are regular, arXiv/0906.3392, Probab. Theory Relat. Fields 151 (2011), 591-611.
• [34] Damir Filipovic, Stefan Tappe, Josef Teichmann: Term Structure Models Driven by Wiener Process and Poisson Measures: Existence and Positivity, arXiv/0905.1413, SIAM J. Financial Math. 1 (2010), 523-554.
• [33] Juan-Pablo Ortega, Rainer Pullirsch, Josef Teichmann, Julian Wergieluk: A new approach for scenario generation in Risk management, arXiv/0904.0624, preprint, 2009.
• [32] Martin Keller-Ressel, Antonis Papapantoleon, Josef Teichmann: A new approach to LIBOR modeling, arXiv/0904.0555, Math. Finance 23 (2013), no. 4, 627-658.
• [31] Christa Cuchiero, Martin Keller-Ressel, Josef Teichmann: Polynomial processes and their applications to mathematical Finance, arXiv/0812.4740, Finance and Stochastics 16 (2012), volume 4.
• [30] Damir Filipovic, Stefan Tappe, Josef Teichmann: Jump-Diffusions in Hilbert Spaces: Existence, Stability and Numerics, arXiv/0810.5023, Stochastics 82 (2010), no. 5, 475-520.
• [29] Christa Cuchiero, Damir Filipovic, Josef Teichmann: Affine Models, arXiv/0809.1985, to appear in Encyclopedia of Quantitative Finance, 2009.
• [28] Christian Bayer, Josef Teichmann: Cubature on Wiener space in infinite dimension, arXiv/0711.3763, Proceedings of the Royal Society London A 464, 2493 - 2516, 2008.
• [27] Fabrice Baudoin, Martin Hairer, Josef Teichmann: Ornstein-Uhlenbeck Processes on Lie Groups, arXiv/0711.2419, J. Funct. Anal. 255 (2008), no. 4, 877-890.
• [26] Rainer Buckdahn, Marc Quincampoix, Catherine Rainer, Josef Teichmann: Another proof for the equivalence between invariance of closed sets with respect to stochastic and deterministic systems, arXiv/0707.2353, Bull. Sciences Math. 134 (2010), no. 2, 207-214.
• [25] Maria Siopacha, Josef Teichmann: Weak and Strong Taylor methods for numerical solutions of stochastic differential equations, arXiv/0704.0745, Journal of Quantitative Finance 11 (2011), no. 4, 517-528.
• [24] Walter Schachermayer, Uwe Schmock, Josef Teichmann: Non-monotone convergence in the quadratic Wasserstein distance, arXiv/0704.0876, Seminaire de Probabilités XLII, 2009.
• [23] Walter Schachermayer, Josef Teichmann: Characterization of optimal Transport Plans for the Monge-Kantorovich-Problem, arXiv/0711.1268, Proceedings of the AMS 137 (2009), no. 2, 519-529, 2009.
• [22] Barbara Forster, Eva Lütkebohmert, Josef Teichmann: Absolutely continuous laws of Jump-Diffusions in finite and infinite dimensions with applications to mathematical Finance, arXiv/0509016, renamed and extended version of "Calculating the Greeks for Jump-Diffusions" by the same authors, SIAM Journal of mathematical Analysis 40 (2008/09), no. 5, 2132-2153, 2008/09.
• [21] Christian Bayer, Josef Teichmann: The proof of Tchakaloff's Theorem (ps, pdf, arXiv/0502473), Proceedings of the AMS, 134 (10), 3035-3040, 2006.
• [20] Walter Schachermayer, Josef Teichmann: How close are the option pricing formulas of Bachelier and Black-Merton-Scholes? (pdf, arXiv/0711.1272), Mathematical Finance 18 (2008), no. 1, 155-170.
• [19] Josef Teichmann: Calculating the Greeks by Cubature formulas (ps, pdf, arXiv/0410112), Proceedings of the Royal Society London A 462, 647-670, 2006.
• [18] Michael Drmota, Walter Schachermayer, Josef Teichmann: A hyper-geometric approach to the BMV-conjecture (ps, pdf, arXiv/0408015), Monatshefte für Mathematik 146, 179-201, 2005.
• [17] Josef Teichmann: A note on non-affine solutions of term structure equations with applications to power exchanges (ps,pdf), Mathematical Finance 15 (1), 191-201, 2004.
• [16] Fabrice Baudoin, Josef Teichmann: Hypoellipticity in infinite dimensions and an application in interest rate theory (ps, pdf, arXiv/0508452), Annals of applied Probability 15 (3), 1765-1777, 2005.
• [15] Damir Filipovic, Josef Teichmann: On the Geometry of the Term structure of Interest Rates (ps, pdf), Proceedings of the Royal Society London A 460, 129-167, 2004.
• [14] Damir Filipovic, Josef Teichmann: Regularity of finite-dimensional realizations for Evolution Equations (ps, pdf, arXiv/0112244), Journal of Functional Analysis 197, 433-446, 2003.
• [13] Friedrich Hubalek, Irene Klein, Josef Teichmann: A general proof of the Dybvig-Ingersoll-Ross-Theorem: Long forward rates can never fall (ps, pdf, arXiv/0112230), Mathematical Finance 12 (4), 447-451, 2002.
• [12] Stefan Haller, Josef Teichmann: Smooth perfectness through decomposition of diffeomorphisms into fiber preserving ones (ps, pdf, arXiv/0110041), Annals of Global Analysis and Geometry 23, 53-63, 2003.
• [11] Josef Teichmann: Inheritance properties of Lipschitz-metrizable Frölicher groups (ps, pdf), Proceedings of the Howard Conference 2000, 2002.
• [10] Stefan Haller, Josef Teichmann, Cornelia Vizman: Totally geodesic subgroups of diffeomorphisms (ps, pdf, arXiv/0103220), Journal of Geometry and Physics 42, 342-354, 2002.
• [9]   Josef Teichmann: Introduction to the Habilitationsschrift (ps, pdf), October 2002.
• [8]   Josef Teichmann: A Frobenius Theorem on convenient manifolds (ps, pdf), Monatshefte für Mathematik 134, 159-167, 2001.
• [7]   Damir Filipovic, Josef Teichmann: Existence of invariant Manifolds for Stochastic Equations in infinite dimension (ps, pdf), Journal of Functional Analysis 197, 398-432, 2003.
• [6]   Josef Teichmann: Hille-Yoshida Theory in convenient Analysis (ps, pdf), Revista Matematica Complutense 15 (2), 449-474, 2002.
• [5]   Josef Teichmann: Regularity of infinite-dimensional Lie Groups by metric space methods (ps, pdf), Tokyo Journal of Mathematics 24, no. 1, 39-58, 2001.
• [4]   Peter W. Michor, Josef Teichmann: Description of infinite dimensional abelian regular Lie groups (ps, arXiv/9808072), Journal of Lie Theory 9,  487-489, 1999.
• [3]   Josef Teichmann: Tempered groups (ps, pdf), Proceedings of the Krynica conference on Geometry and Topology 1999, Univ. Iagel. Acta Math. 42, 55-67, 2004.
• [2]   Josef Teichmann: Trotter's formula on infinite dimensional Lie groups (ps, pdf), Journal of Lie Theory 11, no. 2, 427-440, 2001.
• [1]   Josef Teichmann: Hopf's decomposition and recurrent semigroups (ps, pdf), Publications des mathematiques de Besançon 15, 1997.

Articles of general interest

• Josef Teichmann: Martin Hairer's regularity structures, Int. Math. Nachr., Wien 228, 11-21 (2015).
• Walter Schachermayer, Karl Sigmund, Josef Teichmann: Franz Alt 1910-2011, IMN 218, 12/2011.
• Walter Schachermayer, Josef Teichmann: Wie K. Itô den stochastischen Kalkül revolutionierte, IMN 205, 08/2007.

Working Papers

• Josef Teichmann: A Note on enlargeable Fréchet-Lie Algebras, working paper, 2001.
• Damir Filipovic, Josef Teichmann: On Finite-dimensional Term Structure models (ps, pdf, arXiv/0201204), working paper, 2002.
• Friedrich Hubalek, Josef Teichmann, Robert Tompkins: Flexible complete models with stochastic volatility generalising Hobson-Rogers (pdf), working paper, 2004.

Doctoral Thesis

• Josef Teichmann: Infinite dimensional Lie Theory from the point of view of Functional Analysis (ps, pdf), PhD Thesis, University of Vienna, 1999.