Martin Larsson
About me
I am an Assistant Professor of Mathematical Finance at ETH Zürich. My research interests are probability theory, stochastic processes, and applications in mathematical finance and financial engineering. I am a member of the ETH Risk Center. My CV is available here.
Teaching
Preprints

Affine Volterra processes (with E. Abi Jaber and S. Pulido), 2017.
[arXiv]

Affine processes with compact state space (with P. Krühner), 2017.
[arXiv]

Unspanned stochastic volatility in the multifactor CIR Model (with D. Filipovic, F. Statti), 2017.
[arXiv]

Notes on the stochastic exponential and logarithm (with J. Ruf), 2017.
[arXiv]

Polynomial jumpdiffusions on the unit simplex (with C. Cuchiero, S. SvalutoFerro), 2016.
[arXiv]

Markov cubature rules for polynomial processes (with D. Filipovic, S. Pulido), 2016.
[SSRN  arXiv]

On the relation between linearitygenerating processes and linearrational models (with D. Filipovic, A. Trolle), 2016.
[SSRN]

Convergence of local supermartingales and NovikovKazamaki type conditions for processes with jumps (with J. Ruf), 2014.
[arXiv]

Nonequivalent beliefs and subjective equilibrium bubbles, 2013.
[arXiv]
Publications (accepted or appeared)

The space of outcomes of semistatic trading strategies need not be closed (with B. Acciaio and W. Schachermayer) [Article  arXiv]
Finance and Stochastics, 21(3), 741751, 2017.

Semistatic completeness and robust pricing by informed investors (with B. Acciaio) [Article  arXiv]
Annals of Applied Probability, 27(4), 22702304, 2017.

Polynomial diffusions on compact quadric sets (with S. Pulido) [Article  arXiv]
Stochastic Processes and their Applications, 127(3), 901926, 2017.

Linearrational term structure models (with D. Filipovic, A. Trolle) [SSRN]
Journal of Finance, 72(2), 655704, 2017.

Polynomial diffusions and applications in finance (with D. Filipovic) [Article  arXiv]
Finance and Stochastics, 20(4), 931972, 2016.

Price contagion through balance sheet linkages (with A. Capponi) [Article  SSRN]
Review of Asset Pricing Studies, 5(2), 227253, 2015.

Matrixvalued Bessel processes [Article  arXiv]
Electronic Journal of Probability, 20(60), 129, 2015.

Informational efficiency under shortsale constraints (with R. Jarrow) [Article  arXiv]
SIAM Journal on Financial Mathematics, 6(1), 804824, 2015.

Approximating functions on stratified sets (with D. Drusvyatskiy) [Article]
Transactions of the American Mathematical Society, 367, 725749, 2015

Strict local martingales, filtration shrinkage and the Föllmer measure [Article  arXiv]
Annals of Applied Probability, 24(4), 17391766, 2014

Will banning naked CDS impact bond prices? (with A. Capponi) [Article]
Annals of Finance, 10(3), 481508, 2014

Default and systemic risk in equilibrium (with A. Capponi) [Article]
Mathematical Finance, 25(1), 5176, 2015

Discretely sampled variance and volatility swaps versus their continuous approximations (with R. Jarrow, Y. Kchia, P. Protter) [Article]
Finance and Stochastics, 17(2), 305324, 2013

The meaning of market efficiency (with R. Jarrow) [Article]
Mathematical Finance, 22(1), 130, 2012

Linking progressive and initial filtration expansions (with Y. Kchia and P. Protter) [Article]
Malliavin Calculus and Stochastic Analysis, Springer Proceedings in Mathematics & Statistics, 34, 469487, 2013

A concave regularization technique for sparse mixture models (with J. Ugander) [Article  PDF]
Advances in Neural Information Processing Systems, 24, 18901898, 2011

Extremal dependence measure and extremogram: the regularly varying case (with S. Resnick) [Article]
Extremes, 15(2), 231256, 2012

Extremal behavior of Archimedean copulas (with J. Nešlehová) [Article]
Advances in Applied Probability, 43(1), 195216, 2011