Martin Herdegen is a Reader in Financial Mathematics at the Department of Statistics, University of Warwick. He previously served as a postdoc at ETH Zürich under Johannes Muhle-Karbe and holds a PhD in Mathematics from ETH Zürich (2014) under Martin Schweizer. His research focuses on equilibrium theory, utility maximization, stochastic processes, and risk measures, with applications to financial bubbles and market microstructure. Herdegen’s academic career includes supervising multiple PhD students (e.g., Florian Gutekunst, Andreea Popescu) and postdocs (e.g., Nazem Khan). His research group explores topics like ρ-arbitrage, recursive utility, and liquidity provision under adverse conditions. He has contributed to foundational work on strict local martingales and their implications for financial markets. Publications span leading journals such as Finance and Stochastics , Mathematical Finance , and Annals of Applied Probability , addressing equilibrium models with transaction costs, optimal investment strategies, and risk measurement techniques. His work frequently integrates stochastic analysis and control theory to solve practical finance problems. Herdegen’s research also intersects with reinforcement learning applications in trading, as seen in the Mbt-gym framework for limit order book simulations. His contributions emphasize rigorous mathematical foundations while addressing real-world market frictions and liquidity dynamics.







