Martin Herdegen

University of Warwick - Department of Statistics

Coventry CV4 7AL

United Kingdom

SCHOLARLY PAPERS

22

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Top 29,905

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3,983

TOTAL CITATIONS
Rank 30,857

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Top 30,857

in Total Papers Citations

37

Scholarly Papers (22)

1.

Market Making with Exogenous Competition

Forthcoming in SIAM Journal on Financial Mathematics
Number of pages: 14 Posted: 07 Aug 2024 Last Revised: 28 Mar 2025
Imperial College London, University of Warwick - Department of Statistics and Mathematical Institute, University of Oxford
Downloads 402 (159,939)

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market making, competition, liquidity provision, missed trades, algorithmic trading

2.

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 The University of Manchester
Downloads 372 (172,992)
Citation 2

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

3.

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 308 (212,460)
Citation 7

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

4.

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 The University of Manchester
Downloads 301 (217,767)
Citation 4

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

5.

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 300

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Nonlinear Price Impact, Portfolio Choice, Asymptotics

6.

Equilibrium Returns with Transaction Costs

Number of pages: 27 Posted: 29 Jul 2017 Last Revised: 13 Mar 2018
Université Paris Dauphine - CEREMADE, The University of Osaka, University of Warwick - Department of Statistics and Imperial College London - Department of Mathematics
Downloads 248 (265,669)

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equilibrium, transaction costs, liquidity premium

7.

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 Liverpool
Downloads 206 (317,817)
Citation 4

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

8.

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 204 (320,808)
Citation 8

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

9.

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 197 (331,274)
Citation 1

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optimal consumption, random endowment, asymptotic analysis

10.

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 190 (342,590)

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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

11.

How to reduce risk by increasing risk

Number of pages: 30 Posted: 07 Feb 2025
Nazem Khan, Martin Herdegen and Cosimo-Andrea Munari
University of Oxford, University of Warwick - Department of Statistics and University of Verona
Downloads 184 (352,897)

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risk management, portfolio management, leverage, regulatory arbitrage, expected shortfall

12.

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 181 (358,045)
Citation 4

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

13.

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 Oxford
Downloads 180 (359,766)

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

14.

ρ-arbitrage and ρ-consistent pricing for star-shaped risk measures

Mathematics of Operations Research
Number of pages: 35 Posted: 11 Oct 2021 Last Revised: 06 Dec 2024
Martin Herdegen and Nazem Khan
University of Warwick - Department of Statistics and University of Oxford
Downloads 141 (442,683)

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portfolio selection, ρ-arbitrage, convex risk measures, star-shaped risk measures, dual characterisation, good-deals, ρ-consistent pricing

15.

When is Recursive Utility Well-Founded?

Number of pages: 14 Posted: 23 Sep 2022
Martin Herdegen, David Hobson and Joseph Jerome
University of Warwick - Department of Statistics, University of Warwick and University of Liverpool
Downloads 123 (493,631)

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Recursive utility, utility bubble, Euler equation.

16.

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 98 (583,763)
Citation 4

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liquidity provision, Nash competition, adverse selection, inventory costs

17.

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 Liverpool, University of Warwick - Department of Statistics and University of Warwick
Downloads 77 (675,905)
Citation 2

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

18.

Risk, utility and sensitivity to large losses

Number of pages: 34 Posted: 26 Mar 2024 Last Revised: 21 May 2024
Martin Herdegen, Nazem Khan and Cosimo-Andrea Munari
University of Warwick - Department of Statistics, Dublin City University and University of Verona
Downloads 76 (680,950)

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loss sensitivity, tail risk, risk measures, utility functionals, value at risk, expected shortfall, expected utility, certainty equivalent, S-shaped utility function

19.

Portfolio Optimization under Transaction Costs with Recursive Preferences

Number of pages: 67 Posted: 29 Feb 2024
Martin Herdegen, David Hobson and Alex S. L. Tse
University of Warwick - Department of Statistics, University of Warwick and University College London
Downloads 74 (691,170)

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Merton problem, lifetime investment and consumption, transaction costs, Epstein-Zin stochastic differential utility

20.

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 Oxford
Downloads 61 (766,392)
Citation 1

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

21.

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 Liverpool
Downloads 35 (980,723)

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

22.

Existence and uniqueness of quadratic and linear mean-variance equilibria in general semimartingale markets

Number of pages: 32 Posted: 26 Aug 2024
Martin Herdegen, Christoph Czichowsky and David Martins
University of Warwick - Department of Statistics, London School of Economics & Political Science (LSE) - Department of Mathematics and ETH Zurich
Downloads 25 (1,092,643)

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