Equilibrium returns with transaction costs B Bouchard, M Fukasawa, M Herdegen, J Muhle-Karbe
Finance and Stochastics 22, 569-601, 2018
48 2018 Strong bubbles and strict local martingales M Herdegen, M Schweizer
International Journal of Theoretical and Applied Finance 19 (04), 1650022, 2016
31 2016 No‐arbitrage in a numéraire‐independent modeling framework M Herdegen
Mathematical Finance 27 (2), 568-603, 2017
28 2017 Equilibrium asset pricing with transaction costs M Herdegen, J Muhle-Karbe, D Possamaï
Finance and Stochastics 25, 231-275, 2021
21 2021 Stability of Radner equilibria with respect to small frictions M Herdegen, J Muhle-Karbe
Finance and Stochastics 22, 443-502, 2018
17 2018 Single jump processes and strict local martingales M Herdegen, S Herrmann
Stochastic Processes and Their Applications 126 (2), 337-359, 2016
15 2016 Mean‐portfolio selection and‐arbitrage for coherent risk measures M Herdegen, N Khan
Mathematical Finance 32 (1), 226-272, 2022
14 2022 An elementary approach to the Merton problem M Herdegen, D Hobson, J Jerome
Mathematical Finance 31 (4), 1218-1239, 2021
13 2021 Trading with small nonlinear price impact T Cayé, M Herdegen, J Muhle-Karbe
The Annals of Applied Probability 30 (2), 706-746, 2020
13 2020 Semi‐efficient valuations and put‐call parity M Herdegen, M Schweizer
Mathematical Finance 28 (4), 1061-1106, 2018
12 2018 A class of strict local martingales M Herdegen, S Herrmann
Swiss Finance Institute Research Paper, 2014
12 2014 Sensitivity of optimal consumption streams M Herdegen, J Muhle-Karbe
Stochastic Processes and their Applications 129 (6), 1964-1992, 2019
11 2019 Strict local martingales and optimal investment in a Black–Scholes model with a bubble M Herdegen, S Herrmann
Mathematical Finance 29 (1), 285-328, 2019
10 2019 Economics-based financial bubbles (and why they imply strict local martingales) M Herdegen, M Schweizer
Swiss Finance Institute, 2015
6 2015 The infinite-horizon investment–consumption problem for Epstein–Zin stochastic differential utility. I: Foundations M Herdegen, D Hobson, J Jerome
Finance and Stochastics 27 (1), 127-158, 2023
5 2023 Sensitivity to large losses and M Herdegen, N Khan
arXiv preprint arXiv:2202.07610, 2022
5 2022 Proper solutions for Epstein-Zin stochastic differential utility M Herdegen, D Hobson, J Jerome
arXiv preprint arXiv:2112.06708, 2021
5 2021 The infinite horizon investment-consumption problem for Epstein-Zin stochastic differential utility J Jerome, M Herdegen, D Hobson
Available at SSRN 3886439, 2021
4 2021 Minimal conditions for implications of Gronwall–Bellman type M Herdegen, S Herrmann
Journal of Mathematical Analysis and Applications 446 (2), 1654-1665, 2017
4 2017 The infinite-horizon investment–consumption problem for Epstein–Zin stochastic differential utility. II: Existence, uniqueness and verification for M Herdegen, D Hobson, J Jerome
Finance and Stochastics 27 (1), 159-188, 2023
3 2023 
Johannes Muhle-KarbeChair in Mathematical Finance, Imperial College LondonПотвърден имейл адрес: imperial.ac.uk
