Martin Herdegen

Available identifiers

zbMath Open herdegen.martinMaRDI QIDQ333898

List of research outcomes

Publication	Date of Publication	Type
No-arbitrage in a numéraire-independent modeling framework	2024-05-06	Paper
Liquidity Provision with Adverse Selection and Inventory Costs	2024-02-27	Paper
An elementary proof of the dual representation of expected shortfall	2024-01-10	Paper
An elementary approach to the Merton problem	2023-09-28	Paper
Mean‐ portfolio selection and ‐arbitrage for coherent risk measures	2023-09-28	Paper
The infinite-horizon investment-consumption problem for Epstein-Zin stochastic differential utility. I: Foundations	2022-12-28	Paper
The infinite-horizon investment-consumption problem for Epstein-Zin stochastic differential utility. II: Existence, uniqueness and verification for \(\vartheta \in (0,1)\)	2022-12-28	Paper
Bubbles in discrete-time models	2022-09-26	Paper
Vague and weak convergence of signed measures	2022-05-26	Paper
A continuity theorem for generalised signed measures with an application to Karamata's Tauberian theorem	2022-05-25	Paper
Equilibrium asset pricing with transaction costs	2021-04-29	Paper
Trading with small nonlinear price impact	2020-08-17	Paper
Scaling limits of processes with fast nonlinear mean reversion	2020-04-07	Paper
Sensitivity of optimal consumption streams	2019-06-28	Paper
Strict local martingales and optimal investment in a Black–Scholes model with a bubble	2019-05-08	Paper
Semi‐efficient valuations and put‐call parity	2018-11-02	Paper
Equilibrium returns with transaction costs	2018-07-16	Paper
Stability of Radner equilibria with respect to small frictions	2018-04-06	Paper
Minimal conditions for implications of Gronwall-Bellman type	2016-10-31	Paper
Strong bubbles and strict local martingales	2016-06-22	Paper
Single jump processes and strict local martingales	2015-12-23	Paper

Research outcomes over time

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