3 papers
eess.SP2018
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…
q-fin.MF2017
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.…
q-fin.MF2016
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…