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math.PR2021
Bubbles in discrete time models
Martin Herdegen, Dörte Kreher
We introduce a new definition of speculative bubbles in discrete-time models based on the discounted stock price losing mass at some finite drop-down under an equivalent martingale…
math.PR2017
Scaling Limits of Processes with Fast Nonlinear Mean Reversion
Thomas Cayé, Martin Herdegen, Johannes Muhle-Karbe
We derive scaling limits for integral functionals of Itô processes with fast nonlinear mean-reversion speed. We show that in these limits, the fast mean-reverting process is "avera…
math.PR2015★ 16 cited
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…