| An elementary approach to the Merton problem M Herdegen, D Hobson, J Jerome Mathematical Finance 31 (4), 1218-1239, 2021 | 13 | 2021 |
| Conditional generators for limit order book environments: Explainability, challenges, and robustness A Coletta, J Jerome, R Savani, S Vyetrenko Proceedings of the Fourth ACM International Conference on AI in Finance, 27-35, 2023 | 8 | 2023 |
| Market Making with Scaled Beta Policies J Jerome, G Palmer, R Savani Proceedings of the Third ACM International Conference on AI in Finance, 214-222, 2022 | 7 | 2022 |
| The infinite-horizon investment–consumption problem for Epstein–Zin stochastic differential utility. I: Foundations M Herdegen, D Hobson, J Jerome Finance and Stochastics 27 (1), 127-158, 2023 | 5 | 2023 |
| Proper solutions for Epstein-Zin Stochastic Differential Utility M Herdegen, D Hobson, J Jerome arXiv preprint arXiv:2112.06708, 2021 | 5 | 2021 |
| The Infinite Horizon Investment-Consumption Problem for Epstein-Zin Stochastic Differential Utility J Jerome, M Herdegen, D Hobson Available at SSRN 3886439, 2021 | 4 | 2021 |
| The infinite-horizon investment–consumption problem for Epstein–Zin stochastic differential utility. II: Existence, uniqueness and verification for M Herdegen, D Hobson, J Jerome Finance and Stochastics 27 (1), 159-188, 2023 | 3 | 2023 |
| Model-based gym environments for limit order book trading J Jerome, L Sanchez-Betancourt, R Savani, M Herdegen arXiv preprint arXiv:2209.07823, 2022 | 3 | 2022 |
| Optimal investment and consumption under infinite horizon Epstein–Zin stochastic differential utility J Jerome PhD Thesis, University of Warwick, 2021 | 1 | 2021 |
| Mbt-gym: Reinforcement learning for model-based limit order book trading J Jerome, L Sánchez-Betancourt, R Savani, M Herdegen Proceedings of the Fourth ACM International Conference on AI in Finance, 619-627, 2023 | | 2023 |
| When is Recursive Utility Well-Founded? M Herdegen, D Hobson, J Jerome Available at SSRN 4217738, 2022 | | 2022 |
Martin HerdegenAssociate Professor of Financial Mathematics, University of WarwickVerified email at warwick.ac.uk
