I am an Associate Professor of 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]

(on study leave for Terms 2 and 3)

My research group

From left to right: Nikolaos ConstantinouLink opens in a new window, Nazem KhanLink opens in a new window, myself, Osian ShelleyLink opens in a new window

Postdocs

• Nazem KhanLink opens in a new window (EPSRC), since April 2021

Current and past PhD students

• 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), since October 2019
• 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 JeromeLink opens in a new window (with David Hobson, EPSRC), defended in November 2021, first job: postdoctoral research assistant at the university of Liverpool

Preprints

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 Tauberian theorem for signed measures
Preprint, 2022. [arXiv]

Martin Herdegen, David Hobson and Joseph Jerome
Proper solutions for Epstein-Zin Stochastic Differential Utility
Preprint, 2021. [arXivLink opens in a new window | SSRNLink opens in a new window]

Martin Herdegen and Nazem Khan
Sensitivity to large losses and ρ-arbitrage for convex risk measures
Preprint, 2021. [SSRNLink opens in a new window]

Publications

Martin Herdegen, Johannes Muhle-Karbe and Florian Stebegg
Liquidity Provision with Adverse Selection and Inventory Costs
Mathematics of Operations Research, 2022, to appear. [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: 12th November, 2022.

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

Office hours (Term 1):

Mon 2:30 - 3:30pm

Tue 2:30 - 4:00pm

To attend, either drop by my office or write me a note on MS Teams at the time. (I will then call you back).