16 citations · 16 across the 6 of their papers we have counts for
3 papers · 1 filter
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.…
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…
Equilibrium Returns with Transaction Costs
Bruno Bouchard, Masaaki Fukasawa, Martin Herdegen +1
We study how trading costs are reflected in equilibrium returns. To this end, we develop a tractable continuous-time risk-sharing model, where heterogeneous mean-variance investors…