Sebastian Herrmann

University of Manchester

Oxford Road

Manchester, M13 9PL

United Kingdom

http://personalpages.manchester.ac.uk/staff/sebastian.herrmann

  • University of Manchester

SCHOLARLY PAPERS

6

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7

Scholarly Papers (6)

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1.

Strict Local Martingales and Optimal Investment in a Black-Scholes Model with a Bubble

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Strict Local Martingales and Optimal Investment in a Black-Scholes Model with a Bubble

Mathematical Finance, Forthcoming, Swiss Finance Institute Research Paper No. 13-58
Number of pages: 39 Posted: 17 Nov 2013 Last Revised: 18 Nov 2017
Martin Herdegen and Sebastian Herrmann
University of Warwick - Department of Statistics and University of Manchester
Downloads 318 (94,843)
Citation 2

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Bubbles; Strict local martingales; JLS model; Optimal investent; Utility maximisation; Power utility

Strict Local Martingales and Optimal Investment in a Black–Scholes Model with a Bubble

Mathematical Finance, Vol. 29, Issue 1, pp. 285-328, 2019
Number of pages: 44 Posted: 11 Jan 2019
Martin Herdegen and Sebastian Herrmann
University of Warwick - Department of Statistics and University of Manchester
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bubbles, JLS model, optimal investment, power utility, strict local martingales, utility maximization

2.

Hedging with Small Uncertainty Aversion

Finance and Stochastics, Vol. 21, No. 1, pp. 1-64, 2017, Swiss Finance Institute Research Paper No. 15-19
Number of pages: 48 Posted: 03 Jul 2015 Last Revised: 17 Apr 2017
Sebastian Herrmann, Johannes Muhle-Karbe and Frank Thomas Seifried
University of Manchester, Imperial College London - Department of Mathematics and University of Trier
Downloads 269 (114,239)

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volatility uncertainty, ambiguity aversion, option pricing and hedging, asymptotics

3.

Model Uncertainty, Recalibration, and the Emergence of Delta-Vega Hedging

Finance and Stochastics, Vol. 21, No. 4, pp. 873-930, 2017, Swiss Finance Institute Research Paper No. 15-52
Number of pages: 44 Posted: 24 Nov 2015 Last Revised: 18 Nov 2017
Sebastian Herrmann and Johannes Muhle-Karbe
University of Manchester and Imperial College London - Department of Mathematics
Downloads 249 (123,814)
Citation 1

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model uncertainty, recalibration, delta-vega hedging, small uncertainty aversion, asymptotics

4.

A Class of Strict Local Martingales

Swiss Finance Institute Research Paper No. 14-18
Number of pages: 35 Posted: 07 Mar 2014 Last Revised: 22 Oct 2014
Martin Herdegen and Sebastian Herrmann
University of Warwick - Department of Statistics and University of Manchester
Downloads 218 (141,219)
Citation 3

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Single jump; Strict local martingales; Stochastic integrals; Local martingale deflators; No arbitrage; No unbounded profit with bounded risk

5.

Inventory Management for High-Frequency Trading With Imperfect Competition

Number of pages: 25 Posted: 29 Aug 2018 Last Revised: 04 Jun 2019
Sebastian Herrmann, Johannes Muhle-Karbe, Dapeng Shang and Chen Yang
University of Manchester, Imperial College London - Department of Mathematics, Boston University - Questrom School of Business and ETH Zurich - Department of Mathematics
Downloads 53 (381,783)

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High-Frequency Trading, Information Asymmetry, Inventory Management, Imperfect Competition

6.

Robust Pricing and Hedging around the Globe

Number of pages: 47 Posted: 27 Jul 2017
Sebastian Herrmann and Florian Stebegg
University of Manchester and Columbia University
Downloads 21 (520,797)

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Robust Superhedging, Semi-Static Strategies, Martingale Optimal Transport, Duality