Johannes Muhle-Karbe

Imperial College London - Department of Mathematics

South Kensington Campus

Imperial College

LONDON, SW7 2AZ

United Kingdom

  • Imperial College London - Department of Mathematics

SCHOLARLY PAPERS

43

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Scholarly Papers (43)

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1.

Pre-Hedging

Number of pages: 43 Posted: 05 Jul 2023 Last Revised: 24 Aug 2023
Johannes Muhle-Karbe and Roel C. A. Oomen
Imperial College London - Department of Mathematics and Deutsche Bank AG (London)
Downloads 1,337 (25,264)

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2.

The Cost of Misspecifying Price Impact

Number of pages: 14 Posted: 02 Jun 2023
Natascha Hey, Jean-Philippe Bouchaud, Iacopo Mastromatteo, Johannes Muhle-Karbe and Kevin Webster
École Polytechnique - Chair of Econophysics and Complex System, Capital Fund Management, Capital Fund Management, Imperial College London - Department of Mathematics and Imperial College London - Department of Mathematics
Downloads 1,158 (31,212)

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Nonlinear price impact, model misspecification, optimal trading

3.

Stochastic Liquidity as a Proxy for Nonlinear Price Impact

Number of pages: 30 Posted: 11 Dec 2022
Johannes Muhle-Karbe, Zexin Wang and Kevin Webster
Imperial College London - Department of Mathematics, Imperial College London - Department of Mathematics and Imperial College London - Department of Mathematics
Downloads 864 (47,082)

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Nonlinear price impact, propagator models, continuous-time limit

4.

Information and Inventories in High-Frequency Trading

Swiss Finance Institute Research Paper No. 15-35
Number of pages: 15 Posted: 02 Sep 2015 Last Revised: 04 Sep 2017
Johannes Muhle-Karbe and Kevin Webster
Imperial College London - Department of Mathematics and Imperial College London - Department of Mathematics
Downloads 614 (73,799)

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high frequency trading, information asymmetry, inventory management

5.

Portfolio Choice with Transaction Costs: A User's Guide

Boston U. School of Management Research Paper No. 2012-22
Number of pages: 26 Posted: 01 Aug 2012 Last Revised: 21 Aug 2012
Paolo Guasoni, Paolo Guasoni and Johannes Muhle-Karbe
Boston University - Department of Mathematics and StatisticsDublin City University - School of Mathematical Sciences and Imperial College London - Department of Mathematics
Downloads 582 (79,069)
Citation 4

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transaction costs, long-run, portfolio choice, Merton problem

6.

Tackling Nonlinear Price Impact with Linear Strategies

Number of pages: 15
Xavier Brokmann, David Itkin, Johannes Muhle-Karbe and Peter Schmidt
Qube Research & Technologies, Imperial College London - Department of Mathematics, Imperial College London - Department of Mathematics and Qube Research & Technologies
Downloads 535

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Nonlinear price impact, portfolio choice

7.

Transaction Costs, Trading Volume, and the Liquidity Premium

Boston U. School of Management Research Paper No. 2011-16
Number of pages: 30 Posted: 04 Aug 2011 Last Revised: 05 Feb 2013
Stefan Gerhold, Paolo Guasoni, Paolo Guasoni, Johannes Muhle-Karbe and Walter Schachermayer
Vienna University of Technology, Boston University - Department of Mathematics and StatisticsDublin City University - School of Mathematical Sciences, Imperial College London - Department of Mathematics and Universität Wien, Fakultät für Mathematik
Downloads 463 (104,705)
Citation 8

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transaction costs, long-run, portfolio choice, liquidity premium, trading volume

8.

Dynamic Portfolio Choice with Intertemporal Hedging and Transaction Costs

Number of pages: 43 Posted: 29 Jul 2023
Johannes Muhle-Karbe, James A. Sefton and Xiaofei Shi
Imperial College London - Department of Mathematics, Imperial College London and Carnegie Mellon University - Department of Mathematical Sciences
Downloads 356 (141,210)

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Dynamic Portfolio Optimization, Intertemporal Hedging, Transaction Costs.

9.

Who Should Sell Stocks?

Number of pages: 34 Posted: 07 Sep 2014 Last Revised: 02 Nov 2017
Paolo Guasoni, Paolo Guasoni, Ren Liu and Johannes Muhle-Karbe
Boston University - Department of Mathematics and StatisticsDublin City University - School of Mathematical Sciences, ETH Zürich and Imperial College London - Department of Mathematics
Downloads 355 (141,635)

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transaction costs, dividends, long-run, portfolio choice

10.

A Leland Model for Delta Hedging in Central Risk Books

Number of pages: 34 Posted: 28 Mar 2022
Johannes Muhle-Karbe, Zexin Wang and Kevin Webster
Imperial College London - Department of Mathematics, Imperial College London - Department of Mathematics and Imperial College London - Department of Mathematics
Downloads 349 (144,253)

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Market microstructure, market making, central risk book, limit orders, adverse selection

11.

Hedging with Small Uncertainty Aversion

Finance and Stochastics, Vol. 21, No. 1, pp. 1-64, 2017, Swiss Finance Institute Research Paper No. 15-19
Number of pages: 48 Posted: 03 Jul 2015 Last Revised: 17 Apr 2017
Sebastian Herrmann, Johannes Muhle-Karbe and Frank Thomas Seifried
The University of Manchester, Imperial College London - Department of Mathematics and University of Trier
Downloads 304 (167,079)
Citation 1

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volatility uncertainty, ambiguity aversion, option pricing and hedging, asymptotics

12.

Model Uncertainty, Recalibration, and the Emergence of Delta-Vega Hedging

Finance and Stochastics, Vol. 21, No. 4, pp. 873-930, 2017, Swiss Finance Institute Research Paper No. 15-52
Number of pages: 44 Posted: 24 Nov 2015 Last Revised: 18 Nov 2017
Sebastian Herrmann and Johannes Muhle-Karbe
The University of Manchester and Imperial College London - Department of Mathematics
Downloads 278 (183,344)
Citation 1

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model uncertainty, recalibration, delta-vega hedging, small uncertainty aversion, asymptotics

13.

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 267

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Nonlinear Price Impact, Portfolio Choice, Asymptotics

14.

Optimal Rebalancing Frequencies for Multidimensional Portfolios

Swiss Finance Institute Research Paper No. 15-44
Number of pages: 25 Posted: 18 Oct 2015 Last Revised: 14 Sep 2017
Ibrahim Ekren, Ren Liu and Johannes Muhle-Karbe
Florida State University, ETH Zürich and Imperial College London - Department of Mathematics
Downloads 221 (229,600)
Citation 2

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transaction costs, optimal trading frequency, optimal investment, multiple assets

15.

Liquidation with Self-Exciting Price Impact

Swiss Finance Institute Research Paper No. 14-74
Number of pages: 12 Posted: 20 Dec 2014
Thomas Cayé and Johannes Muhle-Karbe
Dublin City University - School of Mathematical Sciences and Imperial College London - Department of Mathematics
Downloads 219 (231,603)
Citation 1

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optimal liquidation, price impact, self-excitement, risk aversion

16.

Option Pricing and Hedging with Small Transaction Costs

Swiss Finance Institute Research Paper No. 12-30
Number of pages: 23 Posted: 18 Sep 2012 Last Revised: 20 Dec 2012
Jan Kallsen and Johannes Muhle-Karbe
Munich University of Technology and Imperial College London - Department of Mathematics
Downloads 216 (234,565)
Citation 1

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transaction costs, indifference pricing and hedging, exponential utility, asymptotics

17.

Equilibrium Returns with Transaction Costs

Number of pages: 27 Posted: 29 Jul 2017 Last Revised: 13 Mar 2018
Bruno Bouchard, Masaaki Fukasawa, Martin Herdegen and Johannes Muhle-Karbe
Université Paris Dauphine - CEREMADE, Osaka University, University of Warwick - Department of Statistics and Imperial College London - Department of Mathematics
Downloads 213 (237,642)

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equilibrium, transaction costs, liquidity premium

18.

Long Horizons, High Risk-Aversion, and Endogenous Spreads

Boston U. School of Management Research Paper No. 2011-18
Number of pages: 27 Posted: 05 Oct 2011 Last Revised: 01 Feb 2013
Paolo Guasoni, Paolo Guasoni and Johannes Muhle-Karbe
Boston University - Department of Mathematics and StatisticsDublin City University - School of Mathematical Sciences and Imperial College London - Department of Mathematics
Downloads 186 (268,818)
Citation 2

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transaction costs, long-run, portfolio choice, exponential utility, trading volume

19.

The General Structure of Optimal Investment and Consumption with Small Transaction Costs

Swiss Finance Institute Research Paper No. 13-15
Number of pages: 41 Posted: 09 Apr 2013 Last Revised: 16 May 2015
Jan Kallsen and Johannes Muhle-Karbe
Munich University of Technology and Imperial College London - Department of Mathematics
Downloads 181 (275,169)
Citation 10

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transaction costs, optimal investment and consumption, trading volume, asymptotics

20.

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 166 (296,517)
Citation 1

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optimal consumption, random endowment, asymptotic analysis

21.

Trading with Small Price Impact

Swiss Finance Institute Research Paper No. 14-17
Number of pages: 48 Posted: 01 Mar 2014 Last Revised: 11 Apr 2017
Ludovic Moreau, Johannes Muhle-Karbe and Halil Mete Soner
ETH Zürich - Department of Mathematics, Imperial College London - Department of Mathematics and ETH Zürich
Downloads 165 (298,065)
Citation 5

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price impact, portfolio choice, asymptotics, homogenization

22.

Rebalancing with Linear and Quadratic Costs

Swiss Finance Institute Research Paper No. 14-16
Number of pages: 30 Posted: 28 Feb 2014 Last Revised: 04 Sep 2017
Ren Liu, Johannes Muhle-Karbe and Marko Weber
ETH Zürich, Imperial College London - Department of Mathematics and National University of Singapore (NUS) - Department of Mathematics
Downloads 157 (310,770)

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price impact, transaction costs, portfolio choice, long-run

23.

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 149 (324,673)
Citation 4

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

24.

A Primer on Portfolio Choice with Small Transaction Costs

Downloads 149 (328,162)

A Primer on Portfolio Choice with Small Transaction Costs

Swiss Finance Institute Research Paper No. 16-74
Number of pages: 32 Posted: 07 Dec 2016
Johannes Muhle-Karbe, Max Reppen and Halil Mete Soner
Imperial College London - Department of Mathematics, ETH Zürich and ETH Zürich
Downloads 149 (328,681)

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A Primer on Portfolio Choice with Small Transaction Costs

Annual Review of Financial Economics, Vol. 9, pp. 301-331, 2017
Posted: 03 Jan 2018
Johannes Muhle-Karbe, Max Reppen and H. Mete Soner
Imperial College London - Department of Mathematics, ETH Zürich and ETH Zürich - Department of Mathematics

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25.

Utility Maximization, Risk Aversion, and Stochastic Dominance

Swiss Finance Institute Research Paper No. 11-18
Number of pages: 17 Posted: 04 May 2011 Last Revised: 22 Sep 2011
Johannes Muhle-Karbe, Mathias Beiglböck and Johannes Temme
Imperial College London - Department of Mathematics, University of Vienna and University of Vienna
Downloads 141 (339,229)

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26.

Asset Pricing with General Transaction Costs: Theory and Numerics

Number of pages: 45 Posted: 03 Jun 2019 Last Revised: 16 Apr 2020
Lukas Gonon, Johannes Muhle-Karbe and Xiaofei Shi
Ludwig-Maximilians-Universität München, Imperial College London - Department of Mathematics and Carnegie Mellon University - Department of Mathematical Sciences
Downloads 137 (346,972)
Citation 4

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Radner equilibrium, transaction costs, forward-backward SDEs, deep learning

27.

An Equilibrium Model for the Cross-Section of Liquidity Premia

Number of pages: 35 Posted: 12 Jan 2021
Johannes Muhle-Karbe, Xiaofei Shi and Chen Yang
Imperial College London - Department of Mathematics, Carnegie Mellon University - Department of Mathematical Sciences and The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering and Engineering Management
Downloads 134 (352,980)
Citation 2

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asset pricing, Radner equilibrium, transaction costs, liquidity premia

28.

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 132 (356,951)
Citation 6

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

29.

Asymptotics for Fixed Transaction Costs

Swiss Finance Institute Research Paper No. 13-35
Number of pages: 37 Posted: 19 Jun 2013
Albert Altarovici, Johannes Muhle-Karbe and Halil Mete Soner
ETH Zürich, Imperial College London - Department of Mathematics and ETH Zürich
Downloads 132 (356,951)
Citation 4

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fixed transaction costs, optimal investment and consumption, homogenization, viscosity solutions, asymptotic expansions

30.

Asymptotic and Exact Pricing of Options on Variance

Number of pages: 22 Posted: 20 Nov 2010 Last Revised: 15 Dec 2010
Martin Keller-Ressel and Johannes Muhle-Karbe
Dresden University of Technology - Department of Mathematics and Imperial College London - Department of Mathematics
Downloads 129 (363,194)
Citation 6

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Realized Variance, Quadratic Variation, Option Pricing, Small-Time Asymptotics, Fourier-Laplace Methods

31.

Inventory Management for High-Frequency Trading With Imperfect Competition

Number of pages: 25 Posted: 29 Aug 2018 Last Revised: 13 Dec 2021
Sebastian Herrmann, Johannes Muhle-Karbe, Dapeng Shang and Chen Yang
The University of Manchester, Imperial College London - Department of Mathematics, Boston University - Questrom School of Business and The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering and Engineering Management
Downloads 128 (365,323)
Citation 1

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High-Frequency Trading, Information Asymmetry, Inventory Management, Imperfect Competition

32.

Robust Portfolios and Weak Incentives in Long Run Investments

Boston U. School of Management Research Paper No. 2013-5
Number of pages: 35 Posted: 11 Jun 2013 Last Revised: 08 Oct 2013
Paolo Guasoni, Paolo Guasoni, Johannes Muhle-Karbe and Hao Xing
Boston University - Department of Mathematics and StatisticsDublin City University - School of Mathematical Sciences, Imperial College London - Department of Mathematics and Boston University - Questrom School of Business
Downloads 114 (397,810)

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long run, portfolio choice, incentives, executive compensation

33.

Optimal Trading with General Signals and Liquidation in Target Zone Models

Number of pages: 8 Posted: 15 Aug 2018
Christoph Belak, Johannes Muhle-Karbe and Kevin Ou
Technische Universität Berlin (TU Berlin) - Fakultat II - Mathematik und Naturwissenschaften, Imperial College London - Department of Mathematics and Carnegie Mellon University - Department of Mathematical Sciences
Downloads 107 (416,403)
Citation 4

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optimal trading, inventory costs, market impact, liquidation, target zone models

34.

Portfolio Choice with Small Temporary and Transient Price Impact

Number of pages: 44 Posted: 02 May 2017 Last Revised: 09 Mar 2018
Ibrahim Ekren and Johannes Muhle-Karbe
Florida State University and Imperial College London - Department of Mathematics
Downloads 87 (477,367)
Citation 2

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Portfolio Choice, Temporary Price Impact, Transient Price Impact, Asymptotics

35.

Liquidity in Competitive Dealer Markets

Number of pages: 29 Posted: 08 Aug 2018 Last Revised: 02 Mar 2021
Peter Bank, Ibrahim Ekren and Johannes Muhle-Karbe
Humboldt University of Berlin - Department of Mathematics, Florida State University and Imperial College London - Department of Mathematics
Downloads 80 (502,123)
Citation 2

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dealer market, dynamic equilibrium, endogenous liquidity

36.

High-Resilience Limits of Block-Shaped Order Books

Swiss Finance Institute Research Paper No. 14-72
Number of pages: 12 Posted: 27 Sep 2014
Jan Kallsen and Johannes Muhle-Karbe
Munich University of Technology and Imperial College London - Department of Mathematics
Downloads 80 (502,123)
Citation 4

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Limit order books; price impact; high-resilience limit

37.

Asset Pricing with Heterogeneous Beliefs and Illiquidity

Number of pages: 37 Posted: 04 Jun 2019 Last Revised: 26 Mar 2020
Johannes Muhle-Karbe, Marcel Nutz and Xiaowei Tan
Imperial College London - Department of Mathematics, Columbia University and Columbia University - Department of Mathematics
Downloads 78 (509,576)
Citation 1

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Equilibrium, Liquidity, Heterogeneous Beliefs

38.

Optimal Liquidity Provision

Swiss Finance Institute Research Paper No. 13-71
Number of pages: 24 Posted: 07 Feb 2014 Last Revised: 01 Nov 2016
Christoph Kühn and Johannes Muhle-Karbe
Goethe University Frankfurt and Imperial College London - Department of Mathematics
Downloads 77 (513,424)
Citation 1

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Limit order markets, optimal liquidity provision, asymptotics.

39.

Closed-Loop Nash Competition for Liquidity

Number of pages: 41 Posted: 07 Dec 2021 Last Revised: 10 Jul 2023
Alessandro Micheli, Johannes Muhle-Karbe and Eyal Neuman
Imperial College London - Department of Mathematics, Imperial College London - Department of Mathematics and Imperial College London - Department of Mathematics
Downloads 70 (541,457)

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price impact, stochastic games, closed-loop Nash equilibrium

40.

A Risk-Neutral Equilibrium Leading to Uncertain Volatility Pricing

Number of pages: 18 Posted: 31 Dec 2016 Last Revised: 05 Jan 2018
Johannes Muhle-Karbe and Marcel Nutz
Imperial College London - Department of Mathematics and Columbia University
Downloads 65 (563,174)
Citation 2

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Heterogeneous Beliefs, Equilibrium, Derivative Price Bubble, Uncertain Volatility Model, Nonlinear Expectation

41.

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 62 (576,656)

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liquidity provision, Nash competition, adverse selection, inventory costs

42.

Transaction Costs and Shadow Prices in Discrete Time

Swiss Finance Institute Research Paper No. 13-51
Number of pages: 20 Posted: 19 Oct 2013
Christoph Czichowsky, Johannes Muhle-Karbe and Walter Schachermayer
Vienna University of Technology, Imperial College London - Department of Mathematics and Universität Wien, Fakultät für Mathematik
Downloads 56 (605,754)
Citation 4

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transaction costs, utility maximization, shadow price, convex duality

43.

Switching Cost Models as Hypothesis Tests

CAMA Working Paper No. 40/2018
Number of pages: 14 Posted: 14 Sep 2018
Samuel N. Cohen, Timo Henckel, Gordon Douglas Menzies, Johannes Muhle-Karbe and Daniel John Zizzo
University of Oxford - Mathematical Institute, Australian National University (Centre for Applied Macroeconomic Analysis), University of Technology Sydney (UTS) - School of Finance and Economics, Imperial College London - Department of Mathematics and University of Queensland - School of Economics
Downloads 26 (799,891)
Citation 1

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Inference, switching cost, inferential expectations, hypothesis test.