I am an Associate Professor of Financial Mathematics. Before joining Warwick, I was a postdoc at ETH Zürich, Switzerland, with Johannes Muhle-Karbe. I hold a PhD in Mathematics from ETH Zürich, which was written under the supervison of Martin Schweizer.

Curriculum vitae: [PDF]

Research interests

Mathematical Finance: arbitrage theory, change of numéraire, utility maximisation, financial bubbles, transaction costs, equilibria (with and without frictions), risk measures, ρ-arbitrage

Probability Theory: semimartingale calculus, strict local martingales, processes with jumps, forward-backward stochastic differential equations

Teaching

Stochastic Calculus for Finance [ST908]

Advanced Trading Strategies [ST958]

SF@W reading group [SF@W]

My research group

From left to right: Joe Jerome, Osian Shelley, myself, Nazem Khan

Preprints

Martin Herdegen, Johannes Muhle-Karbe and Florian Stebegg
Liquidity Provision with Adverse Selection and Inventory Costs
Preprint, 2021. [arXiv | SSRN]

Martin Herdegen, David Hobson and Joseph Jerome
The Infinite Horizon Investment-Consumption Problem for Epstein-Zin Stochastic Differential Utility
Preprint, 2021. [arXiv | SSRN]

Martin Herdegen and Dörte Kreher
Bubbles in discrete time models
Preprint, 2021. [arXiv]

Publications

Martin Herdegen and Nazem Khan
Mean-ρ portfolio selection and ρ-arbitrage for coherent risk measures
Mathematical Finance, to appear. [arXiv | SSRN]

Martin Herdegen, David Hobson and Joseph Jerome
An elementary approach to the Merton problem
Mathematical Finance, to appear. [arXiv | SSRN]

Martin Herdegen, Dylan Possamaï and Johannes Muhle-Karbe
Equilibrium Asset Pricing with Transaction Costs
Finance and Stochastics, 25, 231–275, 2021. [arXiv, SSRN]

Thomas Cayé, Martin Herdegen and Johannes Muhle-Karbe
Trading with small nonlinear price impact
Annals of Applied Probability, 30, 706-746, 2020. [DOI | SSRN]

Thomas Cayé, Martin Herdegen and Johannes Muhle-Karbe
Scaling Limits of Processes with Fast Nonlinear Mean Reversion
Stochastic Processes and their Applications, 130, 1994-2031, 2020. [DOI | arXiv]

Martin Herdegen and Johannes Muhle-Karbe
Sensitivity of Optimal Consumption Streams
Stochastic Processes and their Applications, 129, 1964-1992, 2019. [DOI | SSRN]

Martin Herdegen and Sebastian Herrmann
Strict Local Martingales and Optimal Investment in a Black-Scholes Model with a Bubble
Mathematical Finance, 29, 285–328, 2019 [DOI | SSRN | arXiv]

Bruno Bouchard, Masaaki Fukasawa, Martin Herdegen and Johannes Muhle-Karbe
Equilibrium Returns with Transaction Costs
Finance and Stochastics, 22, 569-601, 2018 [DOI | SSRN]

Martin Herdegen and Johannes Muhle-Karbe
Stability of Radner Equilibria with respect to Small Frictions
Finance and Stochastics, 22, 443–502, 2018 [DOI | SSRN]

Martin Herdegen and Martin Schweizer
Semi-Efficient Valuations and Put-call Parity
Mathematical Finance 28, 1061–1106, 2018. [DOI | SSRN]

Martin Herdegen and Sebastian Herrmann
Minimal Conditions for Implications of Gronwall-Bellman Type
Journal of Mathematical Analysis and Applications 446, 1654–1665, 2017. [DOI | arXiv]

Martin Herdegen
No-arbitrage in a Numéraire-independent Modeling Framework
Mathematical Finance 27, 568–603, 2017. [DOI]

Martin Herdegen and Martin Schweizer
Strong Bubbles and Strict Local Martingales
International Journal of Theoretical and Applied Finance 19, 2016. [DOI | SSRN]

Martin Herdegen and Sebastian Herrmann
Single Jump Processes and Strict Local Martingales
Stochastic Processes and their Applications 126, 337-359, 2016. [DOI | arXiv]

Martin Herdegen
Numéraire-independent Modelling of Financial Markets
PhD Thesis ETH Zurich, Diss. ETH No. 22018, 2014. [DOI]

Working papers

Martin Herdegen and Nazem Khan
A Dual Characterisation of Regulatory Arbitrage for Expected Shortfall
Working Paper, 2019. [SSRN]

Martin Herdegen and Sebastian Herrmann
A Class of Strict Local Martingales
Swiss Finance Institute Research Paper No. 14-18, 2014. [SSRN]

Martin Herdegen
A Numéraire Independent Modelling Framework for Financial Markets
NCCR FINRISK working paper No. 741, 2012. [NCCR]

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Last modification: 15th July, 2021.

Contact details

MB 3.05
Department of Statistics
University of Warwick
Coventry CV4 7AL

Tel: +44 (0)24 765 28868
Email: m dot herdegen at warwick dot ac dot uk

For MORSE business:

morse at warwick dot ac dot uk