Research output per year
Research output per year
Personal profile
Overview
Sebastian Herrmann is a Lecturer in Mathematical Finance. Previously, he was Byrne Research Assistant Professor at the Department of Mathematics at the University of Michigan. He obtained his PhD degree in Mathematics from ETH Zürich in 2016. Sebastian Herrmann's research interests lie in mathematical finance, stochastic optimization, and stochastic analysis.
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Collaborations and top research areas from the last five years
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Inventory Management for High-Frequency Trading with Imperfect Competition
Herrmann, S., Muhle-Karbe, J., Shang, D. & Yang, C., 15 Jan 2020, In: SIAM Journal on Financial Mathematics. 11, 1, p. 1-26 26 p.Research output: Contribution to journal › Article › peer-review
Open AccessFile66 Downloads (Pure) -
Robust Pricing and Hedging around the Globe
Herrmann, S. & Stebegg, F., 15 Oct 2019, In: Annals of Applied Probability. 29, 6, p. 3348 - 3386Research output: Contribution to journal › Article › peer-review
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Strict local martingales and optimal investment in a Black-Scholes model with a bubble
Herdegen, M. & Herrmann, S., 2019, In: Mathematical Finance.Research output: Contribution to journal › Article › peer-review
Open Access -
Inventory Management for High-Frequency Trading with Imperfect Competition
Herrmann, S., Muhle-Karbe, J., Shang, D. & Yang, C., 15 Aug 2018, (SSRN eLibrary).Research output: Working paper
Open Access -
Minimal conditions for implications of Gronwall–Bellman type
Herdegen, M. & Herrmann, S., Feb 2017, In: Journal of Mathematical Analysis and Applications.Research output: Contribution to journal › Article › peer-review
Open Access