I am a Reader in Financial Mathematics. Before joining Warwick, I was a postdoc at ETH Zürich, Switzerland, with Johannes Muhle-KarbeLink opens in a new window. I hold a PhD in Mathematics from ETH Zürich, which was written under the supervison of Martin SchweizerLink opens in a new window.

Curriculum vitae: [PDF]

Research interests

Mathematical Finance: equilibrium theory (with and without frictions), utility maximisation (with frictions), stochastic differential utility, risk measures, ρ-arbitrage, financial bubbles, market making, change of numéraire

Probability Theory: stochastic optimal control, forward-backward stochastic differential equations, strict local martingales, stochastic processes with jumps, weak and vague convergence of measures

Teaching

Stochastic Calculus for Finance [ST908Link opens in a new window]

My research group

From left to right: Andreea PopescuLink opens in a new window, Nikolaos ConstantinouLink opens in a new window, myself, Leonardo BaggianiLink opens in a new window, Florian GutekunstLink opens in a new window

Postdocs

• Nazem KhanLink opens in a new window (EPSRC), April 2022 to December 2022; next job: postdoctoral research fellow at Dublin City University.

Current and past PhD students

• Florian GutekunstLink opens in a new window, PhD student (CDT Warwick Statistics), since October 2024
• Andreea PopescuLink opens in a new window, PhD student (CDT Warwick Statistics), since October 2023
• Leonardo BaggianiLink opens in a new window, PhD student (CDT Warwick Statistics), since October 2022
• Nikolaos ConstantinouLink opens in a new window, PhD student (EPSRC), since October 2021
• Osian ShelleyLink opens in a new window, PhD student (with Gechun Liang, MASDOC), defended in July 2023, first job: AI scientist at JP Morgan
• Nazem KhanLink opens in a new window, PhD student (with Vicky Henderson, EPSRC), defended in June 2022, first job: postdoctoral research fellow at the university of Warwick
• Joe Jerome (with David Hobson, EPSRC), defended in November 2021, first job: postdoctoral research assistant at the university of Liverpool

Preprints

Christoph Czichowsky, Martin Herdegen, and David Martins
Existence and uniqueness of quadratic and linear mean-variance equilibria in general semimartingale markets
Preprint, 2024. [arXiv | SSRN]Link opens in a new window

Robert Boyce, Martin Herdegen, and Leandro Sánchez-Betancourt
Market Making with Exogenous Competition
Preprint, 2024. [arXivLink opens in a new window | SSRN]

Martin Herdegen, Nazem Khan and Cosimo Munari
Risk, utility and sensitivity to large losses
Preprint, 2024. [arXivLink opens in a new window | SSRNLink opens in a new window]

Martin Herdegen, David Hobson and Alex Tse
Portfolio Optimization under Transaction Costs with Recursive Preferences
Preprint, 2024. [arXiv | SSRNLink opens in a new window]

Martin Herdegen, David Hobson and Joseph Jerome
When is Recursive Utility Well-Founded?
Preprint, 2022. [SSRNLink opens in a new window]

Martin Herdegen, Gechun Liang and Osian Shelley
Vague and weak convergence for signed measures
Preprint, 2022. [arXiv]

Martin Herdegen, Gechun Liang and Osian Shelley
A continuity theorem for generalised signed measures with an application to Karamata's Tauberian theorem
Preprint, 2022. [arXiv]

Publications

Martin Herdegen, David Hobson and Joseph Jerome
Proper solutions for Epstein-Zin Stochastic Differential Utility
Finance and Stochastics, to appear, 2024. [arXivLink opens in a new window | SSRNLink opens in a new window]

Martin Herdegen and Nazem Khan
ρ-arbitrage and ρ-consistent pricing for star-shaped risk measures
Mathematics of Operations Research, to appear, 2024. [SSRNLink opens in a new window]

Martin Herdegen and Cosimo Munari
An elementary proof of the dual representation of Expected Shortfall
Mathematics and Financial Economics, 2023, 17, 655–662, 2023 [DOILink opens in a new window | arXivLink opens in a new window]

Joseph Jerome, Leandro Sánchez-Betancourt, Rahul Savani, and Martin Herdegen.
Mbt-gym: Reinforcement learning for model-based limit order book trading
Proceedings of the Fourth ACM International Conference on AI in Finance, 619–627, 2023 [DOI | arXiv]

Martin Herdegen, Johannes Muhle-Karbe and Florian Stebegg
Liquidity Provision with Adverse Selection and Inventory Costs
Mathematics of Operations Research, 48, 1286-1315, 2023 [DOILink opens in a new window | arXivLink opens in a new window | SSRNLink opens in a new window]

Martin Herdegen, David Hobson and Joseph Jerome
The infinite-horizon investment–consumption problem for Epstein–Zin stochastic differential utility. II: Existence, uniqueness and verification for ϑ ∈ ( 0 , 1 )
Finance and Stochastics, 27, 159–188, 2023. [DOILink opens in a new window]

Martin Herdegen, David Hobson and Joseph Jerome
The infinite-horizon investment–consumption problem for Epstein–Zin stochastic differential utility. I: Foundations
Finance and Stochastics, 27, 127–158, 2023. [DOILink opens in a new window]

Martin Herdegen and Dörte Kreher
Bubbles in discrete time models
Finance and Stochastics, 26, 899–925, 2022. [DOILink opens in a new window | arXivLink opens in a new window]

Martin Herdegen and Nazem Khan
Mean-ρ portfolio selection and ρ-arbitrage for coherent risk measures
Mathematical Finance, 32, 226–272, 2022. [DOILink opens in a new window | arXivLink opens in a new window | SSRNLink opens in a new window]

Martin Herdegen, David Hobson and Joseph Jerome
An elementary approach to the Merton problem
Mathematical Finance, 31, 1218–1239, 2021. [DOILink opens in a new window | arXivLink opens in a new window | SSRNLink opens in a new window]

Martin Herdegen, Dylan Possamaï and Johannes Muhle-Karbe
Equilibrium Asset Pricing with Transaction Costs
Finance and Stochastics, 25, 231–275, 2021. [DOILink opens in a new window | arXivLink opens in a new window | SSRNLink opens in a new window]

Thomas Cayé, Martin Herdegen and Johannes Muhle-Karbe
Trading with small nonlinear price impact
Annals of Applied Probability, 30, 706–746, 2020. [DOI Link opens in a new window| SSRNLink opens in a new window]

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. [DOILink opens in a new window | arXivLink opens in a new window]

Martin Herdegen and Johannes Muhle-Karbe
Sensitivity of Optimal Consumption Streams
Stochastic Processes and their Applications, 129, 1964–1992, 2019. [DOILink opens in a new window | SSRNLink opens in a new window]

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 [DOILink opens in a new window | SSRNLink opens in a new window | arXivLink opens in a new window]

Bruno Bouchard, Masaaki Fukasawa, Martin Herdegen and Johannes Muhle-Karbe
Equilibrium Returns with Transaction Costs
Finance and Stochastics, 22, 569–601, 2018 [DOILink opens in a new window | SSRNLink opens in a new window]

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

Martin Herdegen and Martin Schweizer
Semi-Efficient Valuations and Put-call Parity
Mathematical Finance 28, 1061–1106, 2018. [DOILink opens in a new window | SSRNLink opens in a new window]

Martin Herdegen and Sebastian Herrmann
Minimal Conditions for Implications of Gronwall-Bellman Type
Journal of Mathematical Analysis and Applications 446, 1654–1665, 2017. [DOILink opens in a new window | arXivLink opens in a new window]

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

Martin Herdegen and Martin Schweizer
Strong Bubbles and Strict Local Martingales
International Journal of Theoretical and Applied Finance 19, 2016. [DOILink opens in a new window | SSRNLink opens in a new window]

Martin Herdegen and Sebastian Herrmann
Single Jump Processes and Strict Local Martingales
Stochastic Processes and their Applications 126, 337–359, 2016. [DOILink opens in a new window | arXivLink opens in a new window]

Martin Herdegen
Numéraire-independent Modelling of Financial Markets
PhD Thesis ETH Zurich, Diss. ETH No. 22018, 2014. [DOILink opens in a new window]

Old working papers

Martin Herdegen and Nazem Khan
A Dual Characterisation of Regulatory Arbitrage for Expected Shortfall
Working Paper, 2019. [SSRNLink opens in a new window]

Martin Herdegen and Sebastian Herrmann
A Class of Strict Local Martingales
Swiss Finance Institute Research Paper No. 14-18, 2014. [SSRNLink opens in a new window]

Martin Herdegen
A Numéraire Independent Modelling Framework for Financial Markets
NCCR FINRISK working paper No. 741, 2012. [NCCR]Link opens in a new window

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Last modification: 5th August, 2024.

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

Office hours (Term 1)

Tue 10-11am

Thu 10-11am