Martin Larsson
About me
I am an Assistant Professor of Mathematical Finance at ETH Zürich. My research interests lie in probability theory, stochastic processes, and applications in mathematical finance and financial engineering. A significant part of my research agenda centers on the theory and applications of finite and infinitedimensional affine and polynomial processes, which provide an excellent tradeoff between mathematical tractability and statistical flexibility. I am a member of the ETH Risk Center and an affiliated researcher at Aaaccell. My CV is available here.
Teaching
In the fall semester 2018 I teach a course on Trends in Stochastic Portfolio Theory.
Preprints

Convergence of local supermartingales (with J. Ruf), 2018.
[PDF]

Probability measurevalued polynomial diffusions (with C. Cuchiero and S. SvalutoFerro), 2018.
[arXiv]

Conditional infimum and recovery of monotone processes, 2018.
[arXiv]

Polynomial jumpdiffusion models (with D. Filipovic), 2017.
[arXiv]

Polynomial processes for power prices (with D. Filipovic and T. Ware), 2017.
[arXiv]

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

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

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

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)

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

Unspanned stochastic volatility in the multifactor CIR model (with D. Filipovic, F. Statti) [arXiv  SSRN]
Mathematical Finance, Forthcoming.

Polynomial jumpdiffusions on the unit simplex (with C. Cuchiero, S. SvalutoFerro) [Article  arXiv]
Annals of Applied Probability, 28(4), 24512500, 2018.

Affine processes with compact state space (with P. Krühner) [Article  arXiv]
Electronic Journal of Probability, 23, 2018.

On aggregation and representative agent equilibria (with R. Jarrow) [Article]
Journal of Mathematical Economics, 74, 119127, 2018.

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