27 citations · 61 across the 5 of their papers we have counts for
9 papers
Multi-Array 5G V2V Relative Positioning: Performance Bounds
Anastasios Kakkavas, Mario H. Castañeda García, Richard A. Stirling-Gallacher +1
We study the performance bounds of vehicle-to-vehicle (V2V) relative positioning for vehicles with multiple antenna arrays. The Cramér-Rao bound for the estimation of the relative…
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.…
Robust Pricing and Hedging around the Globe
Sebastian Herrmann, Florian Stebegg
We consider the martingale optimal transport duality for càdlàg processes with given initial and terminal laws. Strong duality and existence of dual optimizers (robust semi-static…
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…
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…
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…
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…
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…