Publications (10)
Hedging with Small Uncertainty Aversion
Sebastian Herrmann, Johannes Muhle-Karbe, Frank Thomas Seifried
We study the pricing and hedging of derivative securities with uncertainty about the volatility of the underlying asset. Rather than taking all models from a prespecified class equ…
What Do You See in this Patient? Behavioral Testing of Clinical NLP Models
Betty van Aken, Sebastian Herrmann, Alexander Löser
Decision support systems based on clinical notes have the potential to improve patient care by pointing doctors towards overseen risks. Predicting a patient's outcome is an essenti…
Strict Local Martingales and Optimal Investment in a Black-Scholes Model with a Bubble
Martin Herdegen, Sebastian Herrmann
There are two major streams of literature on the modeling of financial bubbles: the strict local martingale framework and the Johansen-Ledoit-Sornette (JLS) financial bubble model.…
Inventory Management for High-Frequency Trading with Imperfect Competition
Sebastian Herrmann, Johannes Muhle-Karbe, Dapeng Shang +1
We study Nash equilibria for inventory-averse high-frequency traders (HFTs), who trade to exploit information about future price changes. For discrete trading rounds, the HFTs' opt…
Impact of centrality on cooperative processes
Sandro M. Reia, Sebastian Herrmann, José F. Fontanari
The solution of today's complex problems requires the grouping of task forces whose members are usually connected remotely over long physical distances and different time zones. He…
Model Uncertainty, Recalibration, and the Emergence of Delta-Vega Hedging
Sebastian Herrmann, Johannes Muhle-Karbe
We study option pricing and hedging with uncertainty about a Black-Scholes reference model which is dynamically recalibrated to the market price of a liquidly traded vanilla option…
Single Jump Processes and Strict Local Martingales
Martin Herdegen, Sebastian Herrmann
Many results in stochastic analysis and mathematical finance involve local martingales. However, specific examples of strict local martingales are rare and analytically often rathe…
Problem Complexity in Parallel Problem Solving
Sebastian Herrmann, Jörn Grahl, Franz Rothlauf
Recent works examine the relationship between the communication structure and the performance of a group in a problem solving task. Some conclude that inefficient communication net…
Robust Pricing and Hedging around the Globe
Sebastian Herrmann, Florian Stebegg
We consider the martingale optimal transport duality for cà dlà g processes with given initial and terminal laws. Strong duality and existence of dual optimizers (robust semi-stati…
Minimal Conditions for Implications of Gronwall-Bellman Type
Martin Herdegen, Sebastian Herrmann
Gronwall-Bellman type inequalities entail the following implication: if a sufficiently integrable function satisfies a certain homogeneous linear integral inequality, then it is no…