Martin Herdegen

University of Warwick - Department of Statistics

Coventry CV4 7AL

United Kingdom

SCHOLARLY PAPERS

10

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CITATIONS
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12

Scholarly Papers (10)

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 317 (93,674)
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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.

Strong Bubbles and Strict Local Martingales

International Journal of Theoretical and Applied Finance, Forthcoming, Swiss Finance Institute Research Paper No. 15-05
Number of pages: 38 Posted: 21 Feb 2015 Last Revised: 09 Feb 2016
Martin Herdegen and Martin Schweizer
University of Warwick - Department of Statistics and ETH Zurich
Downloads 224 (135,427)
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financial bubble, incomplete financial market, fundamental value, superreplication, strict local martingale, numéraire, viability, efficiency, no dominance efficiency, no dominance

3.

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 217 (139,645)
Citation 2

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

4.

Equilibrium Returns with Transaction Costs

Number of pages: 27 Posted: 29 Jul 2017 Last Revised: 13 Mar 2018
Université Paris Dauphine - CEREMADE, Osaka University, University of Warwick - Department of Statistics and Imperial College London - Department of Mathematics
Downloads 172 (172,861)
Citation 1

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equilibrium, transaction costs, liquidity premium

5.

Trading with Small Nonlinear Price Impact

Number of pages: 41
Thomas Cayé, Martin Herdegen and Johannes Muhle-Karbe
Dublin City University - School of Mathematical Sciences, University of Warwick - Department of Statistics and Imperial College London - Department of Mathematics
Downloads 149

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Nonlinear Price Impact, Portfolio Choice, Asymptotics

Semi-Efficient Valuations and Put-Call Parity

Swiss Finance Institute Research Paper No. 16-02
Number of pages: 49 Posted: 22 Jan 2016 Last Revised: 30 Jun 2017
Martin Herdegen and Martin Schweizer
University of Warwick - Department of Statistics and ETH Zurich
Downloads 144 (201,248)

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option valuation, put-call parity, absence of arbitrage, NUPBR, NFLVR, risk-neutral valuation, consistent valuation, maximal strategies, viability, efficiency, semi- efficient markets, completeness, incomplete markets

Semi‐Efficient Valuations and Put‐Call Parity

Mathematical Finance, Vol. 28, Issue 4, pp. 1061-1106, 2018
Number of pages: 46 Posted: 17 Sep 2018
Martin Herdegen and Martin Schweizer
University of Warwick - Department of Statistics and ETH Zurich
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absence of arbitrage, completeness, consistent valuation, efficiency, incomplete markets, maximal strategies, NFLVR, NUPBR, option valuation, put‐call parity, risk‐neutral valuation, semi‐efficient markets, viability

7.

Sensitivity of Optimal Consumption Streams

Swiss Finance Institute Research Paper No. 15-27
Number of pages: 29 Posted: 14 Aug 2015 Last Revised: 14 Sep 2017
Martin Herdegen and Johannes Muhle-Karbe
University of Warwick - Department of Statistics and Imperial College London - Department of Mathematics
Downloads 128 (220,566)
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optimal consumption, random endowment, asymptotic analysis

8.

Stability of Radner Equilibria with Respect to Small Frictions

Number of pages: 54 Posted: 21 Feb 2017 Last Revised: 21 Sep 2017
Martin Herdegen and Johannes Muhle-Karbe
University of Warwick - Department of Statistics and Imperial College London - Department of Mathematics
Downloads 118 (234,507)
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Trading costs, Radner equilibrium, asymptotics, stability, transaction tax

9.

Equilibrium Asset Pricing with Transaction Costs

Number of pages: 29 Posted: 11 Feb 2019 Last Revised: 19 Jun 2019
Martin Herdegen, Johannes Muhle-Karbe and Dylan Possamaï
University of Warwick - Department of Statistics, Imperial College London - Department of Mathematics and Columbia University
Downloads 44 (406,777)
Citation 2

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Asset Pricing, Radner Equilibrium, Transaction Costs, Forward-Backward SDEs

10.

A Dual Characterisation of Regulatory Arbitrage for Expected Shortfall

Number of pages: 18 Posted: 07 May 2019
Martin Herdegen and Nazem Khan
University of Warwick - Department of Statistics and University of Warwick - Department of Statistics
Downloads 41 (417,882)

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portfolio selection, Expected Shortfall, efficient frontier, regulatory arbitrage, fundamental theorem of asset pricing