Martin Herdegen

Prof. Martin Herdegen is a Professor in Financial Mathematics at the University of Stuttgart, leading the Research Group Stochastics and Applications within the Department of Stochastics and Applications. Previously, he held positions as a Reader at the University of Warwick (UK) and a postdoc at ETH Zurich under Prof. Martin Schweizer. His research focuses on mathematical finance, including equilibrium theory, utility maximization, stochastic differential utility, and financial risk measures, alongside probability theory topics like stochastic optimal control and weak convergence of measures.

Education: PhD in Mathematics from ETH Zurich (2014), supervised by Prof. Martin Schweizer. His academic journey includes postdoctoral research at ETH Zurich and Warwick.

Research interests span mathematical finance and probability, with emphasis on frictions in financial markets, risk modeling, and stochastic processes. Recent work explores mean-variance equilibria, market making dynamics, and ρ-arbitrage frameworks.

Publications (2020–2024) highlight contributions to equilibrium asset pricing under transaction costs, optimal portfolio strategies with frictions, and algorithmic trading models using reinforcement learning. His work bridges theoretical stochastic analysis with practical financial applications.

Advising: Supervised multiple PhD students including Osian Shelley (JP Morgan), Nazem Khan (Dublin City University), and Joseph Jerome (Liverpool University), with current advisees focusing on stochastic finance and machine learning integration.

Research Group: Includes postdocs and PhD students working on topics like risk measures, market microstructure, and computational finance. Collaborations span institutions across Europe and North America.