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70569 Stuttgart
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Fachgebiet
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
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]
SoSe 2025
Bachelor-Vorlesung "Maß- und Wahrscheinlichkeitstheorie"
Hauptseminar Risk Measures
I am a Professor in Financial Mathematics. Before joining Stuttgart, I was a Reader at the University of Warwick, UK and 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]
From left to right: Jack Kerr, Nathan Sonn, Nikolaos Constantinou, myself, Andreea Popescu, Florian Gutekunst, Leonardo Baggiani
Bild: Privat
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