Martin Herdegen

University of Warwick - Department of Statistics

Coventry CV4 7AL

United Kingdom

SCHOLARLY PAPERS

17

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2,195

SSRN CITATIONS
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in Total Papers Citations

9

CROSSREF CITATIONS

13

Scholarly Papers (17)

Strict Local Martingales and Optimal Investment in a Black-Scholes Model with a Bubble

Mathematical Finance, Forthcoming, Swiss Finance Institute Research Paper No. 13-58
Number of pages: 39 Posted: 17 Nov 2013 Last Revised: 18 Nov 2017
Martin Herdegen and Sebastian Herrmann
University of Warwick - Department of Statistics and University of Manchester
Downloads 332 (126,224)
Citation 2

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Bubbles; Strict local martingales; JLS model; Optimal investent; Utility maximisation; Power utility

Strict Local Martingales and Optimal Investment in a Black–Scholes Model with a Bubble

Mathematical Finance, Vol. 29, Issue 1, pp. 285-328, 2019
Number of pages: 44 Posted: 11 Jan 2019
Martin Herdegen and Sebastian Herrmann
University of Warwick - Department of Statistics and University of Manchester
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bubbles, JLS model, optimal investment, power utility, strict local martingales, utility maximization

2.

Strong Bubbles and Strict Local Martingales

International Journal of Theoretical and Applied Finance, Forthcoming, Swiss Finance Institute Research Paper No. 15-05
Number of pages: 38 Posted: 21 Feb 2015 Last Revised: 09 Feb 2016
Martin Herdegen and Martin Schweizer
University of Warwick - Department of Statistics and ETH Zurich
Downloads 247 (171,718)
Citation 5

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financial bubble, incomplete financial market, fundamental value, superreplication, strict local martingale, numéraire, viability, efficiency, no dominance efficiency, no dominance

3.

A Class of Strict Local Martingales

Swiss Finance Institute Research Paper No. 14-18
Number of pages: 35 Posted: 07 Mar 2014 Last Revised: 22 Oct 2014
Martin Herdegen and Sebastian Herrmann
University of Warwick - Department of Statistics and University of Manchester
Downloads 245 (173,079)
Citation 4

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Single jump; Strict local martingales; Stochastic integrals; Local martingale deflators; No arbitrage; No unbounded profit with bounded risk

4.

Trading with Small Nonlinear Price Impact

Number of pages: 41
Thomas Cayé, Martin Herdegen and Johannes Muhle-Karbe
Dublin City University - School of Mathematical Sciences, University of Warwick - Department of Statistics and Imperial College London - Department of Mathematics
Downloads 234

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Nonlinear Price Impact, Portfolio Choice, Asymptotics

5.

Equilibrium Returns with Transaction Costs

Number of pages: 27 Posted: 29 Jul 2017 Last Revised: 13 Mar 2018
Université Paris Dauphine - CEREMADE, Osaka University, University of Warwick - Department of Statistics and Imperial College London - Department of Mathematics
Downloads 192 (217,216)

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equilibrium, transaction costs, liquidity premium

Semi-Efficient Valuations and Put-Call Parity

Swiss Finance Institute Research Paper No. 16-02
Number of pages: 49 Posted: 22 Jan 2016 Last Revised: 30 Jun 2017
Martin Herdegen and Martin Schweizer
University of Warwick - Department of Statistics and ETH Zurich
Downloads 153 (263,922)

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option valuation, put-call parity, absence of arbitrage, NUPBR, NFLVR, risk-neutral valuation, consistent valuation, maximal strategies, viability, efficiency, semi- efficient markets, completeness, incomplete markets

Semi‐Efficient Valuations and Put‐Call Parity

Mathematical Finance, Vol. 28, Issue 4, pp. 1061-1106, 2018
Number of pages: 46 Posted: 17 Sep 2018
Martin Herdegen and Martin Schweizer
University of Warwick - Department of Statistics and ETH Zurich
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absence of arbitrage, completeness, consistent valuation, efficiency, incomplete markets, maximal strategies, NFLVR, NUPBR, option valuation, put‐call parity, risk‐neutral valuation, semi‐efficient markets, viability

7.

Sensitivity of Optimal Consumption Streams

Swiss Finance Institute Research Paper No. 15-27
Number of pages: 29 Posted: 14 Aug 2015 Last Revised: 14 Sep 2017
Martin Herdegen and Johannes Muhle-Karbe
University of Warwick - Department of Statistics and Imperial College London - Department of Mathematics
Downloads 152 (264,692)
Citation 1

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optimal consumption, random endowment, asymptotic analysis

8.

A Dual Characterisation of Regulatory Arbitrage for Expected Shortfall

Number of pages: 18 Posted: 07 May 2019
Martin Herdegen and Nazem Khan
University of Warwick - Department of Statistics and University of Warwick - Department of Statistics
Downloads 136 (289,025)

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portfolio selection, Expected Shortfall, efficient frontier, regulatory arbitrage, fundamental theorem of asset pricing

9.

Stability of Radner Equilibria with Respect to Small Frictions

Number of pages: 54 Posted: 21 Feb 2017 Last Revised: 21 Sep 2017
Martin Herdegen and Johannes Muhle-Karbe
University of Warwick - Department of Statistics and Imperial College London - Department of Mathematics
Downloads 130 (299,022)
Citation 4

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Trading costs, Radner equilibrium, asymptotics, stability, transaction tax

10.

An Elementary Approach to the Merton Problem

Paper accepted to Mathematical Finance.
Number of pages: 21 Posted: 01 Jul 2020 Last Revised: 30 Mar 2021
Martin Herdegen, David Hobson and Joseph Jerome
University of Warwick - Department of Statistics, University of Warwick and University of Warwick - Department of Statistics
Downloads 116 (324,784)
Citation 2

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Mathematical Finance, Merton Problem, Stochastic Control, Expected Utility Maximization, Numeraire Change

11.

Equilibrium Asset Pricing with Transaction Costs

Number of pages: 32 Posted: 11 Feb 2019 Last Revised: 30 Sep 2020
Martin Herdegen, Johannes Muhle-Karbe and Dylan Possamaï
University of Warwick - Department of Statistics, Imperial College London - Department of Mathematics and Columbia University
Downloads 100 (359,179)
Citation 6

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Asset Pricing, Radner Equilibrium, Transaction Costs, Forward-Backward SDEs

12.

Liquidity Provision with Adverse Selection and Inventory Costs

Number of pages: 35 Posted: 28 Jul 2021
Martin Herdegen, Johannes Muhle-Karbe and Florian Stebegg
University of Warwick - Department of Statistics, Imperial College London - Department of Mathematics and Columbia University - Departments of Statistics and Mathematics
Downloads 47 (533,187)

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liquidity provision, Nash competition, adverse selection, inventory costs

13.

Sensitivity to Large Losses and ρ-Arbitrage for Convex Risk Measures

Number of pages: 42 Posted: 11 Oct 2021 Last Revised: 15 Feb 2022
Martin Herdegen and Nazem Khan
University of Warwick - Department of Statistics and University of Warwick - Department of Statistics
Downloads 38 (577,560)

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portfolio selection, ρ-arbitrage, convex risk measures, dual characterisation, sensitivity to large losses, Expected Shortfall

14.

Mean-ρ portfolio selection and ρ-arbitrage for coherent risk measures

Mathematical Finance
Number of pages: 39 Posted: 02 Nov 2020 Last Revised: 20 Sep 2021
Martin Herdegen and Nazem Khan
University of Warwick - Department of Statistics and University of Warwick - Department of Statistics
Downloads 35 (594,156)

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portfolio selection, coherent risk measures, dual characterisation, ρ-arbitrage, fundamental theorem of asset pricing

15.

The Infinite Horizon Investment-Consumption Problem for Epstein-Zin Stochastic Differential Utility

Number of pages: 41 Posted: 16 Jul 2021
Joseph Jerome, Martin Herdegen and David Hobson
University of Warwick - Department of Statistics, University of Warwick - Department of Statistics and University of Warwick
Downloads 29 (629,979)

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Epstein--Zin stochastic differential utility, lifetime investment and consumption, backward stochastic differential equations, optional strong supermartingales.

16.

Proper solutions for Epstein–Zin Stochastic Differential Utility

Number of pages: 29 Posted: 15 Dec 2021
Martin Herdegen, David Hobson and Joseph Jerome
University of Warwick - Department of Statistics, University of Warwick and University of Warwick - Department of Statistics
Downloads 6 (818,462)

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BSDEs, Epstein--Zin preferences, investment-consumption problem, proper solutions.

17.

No‐Arbitrage in a Numéraire‐Independent Modeling Framework

Mathematical Finance, Vol. 27, Issue 2, pp. 568-603, 2017
Number of pages: 36 Posted: 28 May 2020
Martin Herdegen
University of Warwick - Department of Statistics
Downloads 3 (862,037)
Citation 1

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numéraire‐independent modeling, no‐arbitrage, maximal strategies, fundamental theorem of asset pricing, nonnegative wealth