Johannes Muhle-Karbe

Imperial College London - Department of Mathematics

Head of Mathematical Finance

South Kensington Campus

Imperial College

LONDON, SW7 1NE

United Kingdom

http://www.ma.imperial.ac.uk/~jmuhleka/

SCHOLARLY PAPERS

50

DOWNLOADS
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Top 4,074

in Total Papers Downloads

18,100

SSRN CITATIONS
Rank 11,133

SSRN RANKINGS

Top 11,133

in Total Papers Citations

81

CROSSREF CITATIONS

68

Ideas:
“  Market Microstructure; Stochastic Optimization  ”

Scholarly Papers (50)

1.

Pre-Hedging

Number of pages: 45 Posted: 05 Jul 2023 Last Revised: 11 Jul 2024
Johannes Muhle-Karbe and Roel C. A. Oomen
Imperial College London - Department of Mathematics and Deutsche Bank AG (London)
Downloads 1,962 (16,022)

Abstract:

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2.

The Cost of Misspecifying Price Impact

Number of pages: 14 Posted: 02 Jun 2023
École Polytechnique - Chair of Econophysics and Complex System, Capital Fund Management, Capital Fund Management, Imperial College London - Department of Mathematics and Columbia University
Downloads 1,640 (21,301)

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Nonlinear price impact, model misspecification, optimal trading

3.

Tackling Nonlinear Price Impact with Linear Strategies

Number of pages: 15 Posted: 25 Oct 2023
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 1,448 (25,659)

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Nonlinear price impact, portfolio choice

4.

Trading with Concave Price Impact and Impact Decay - Theory and Evidence

Number of pages: 30 Posted: 29 Nov 2023
Natascha Hey, Iacopo Mastromatteo, Johannes Muhle-Karbe and Kevin Webster
École Polytechnique - Chair of Econophysics and Complex System, Capital Fund Management, Imperial College London - Department of Mathematics and Columbia University
Downloads 1,416 (26,540)

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Nonlinear price impact, optimal trading,

5.

Stochastic Liquidity as a Proxy for Nonlinear Price Impact

Number of pages: 33 Posted: 11 Dec 2022 Last Revised: 13 Nov 2023
Johannes Muhle-Karbe, Zexin Wang and Kevin Webster
Imperial College London - Department of Mathematics, Imperial College London - Department of Mathematics and Columbia University
Downloads 1,204 (33,655)

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nonlinear price impact; propagator model; scaling limit; optimal trading

6.

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 Columbia University
Downloads 696 (71,597)
Citation 1

Abstract:

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high frequency trading, information asymmetry, inventory management

7.

Hedging of Fixing Exposure

Number of pages: 39 Posted: 24 Apr 2024 Last Revised: 26 Apr 2024
Johannes Muhle-Karbe, Roel C. A. Oomen and Benjamin Weber
Imperial College London - Department of Mathematics, Deutsche Bank AG (London) and Carnegie Mellon University
Downloads 644 (78,990)

Abstract:

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8.

Dynamic Portfolio Choice with Intertemporal Hedging and Transaction Costs

Number of pages: 42 Posted: 29 Jul 2023 Last Revised: 29 Sep 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 634 (80,499)

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Dynamic Portfolio Optimization, Intertemporal Hedging, Transaction Costs.

9.

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 608 (84,807)
Citation 4

Abstract:

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

10.

Optimizing Broker Performance Evaluation through Intraday Modeling of Execution Cost

Number of pages: 26 Posted: 27 Jun 2024
Zoltan Eisler and Johannes Muhle-Karbe
Imperial College London - Department of Mathematics and Imperial College London - Department of Mathematics
Downloads 525 (102,050)

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market impact, optimal execution, trading cost estimation, broker selection

11.

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 Columbia University
Downloads 496 (109,383)

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

12.

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
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 476 (114,805)
Citation 8

Abstract:

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

13.

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 368 (154,462)

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transaction costs, dividends, long-run, portfolio choice

14.

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 321 (179,068)
Citation 1

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

15.

Optimal Contracts for Delegated Order Execution

Number of pages: 26 Posted: 29 Nov 2023
Martin Larsson, Johannes Muhle-Karbe and Benjamin Weber
Carnegie Mellon University, Imperial College London - Department of Mathematics and Carnegie Mellon University
Downloads 312 (184,424)

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delegated order execution, optimal contracts

16.

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 302 (190,960)
Citation 1

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

17.

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 286

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Nonlinear Price Impact, Portfolio Choice, Asymptotics

18.

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 241 (239,824)
Citation 2

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

19.

A comparison of FX fixing methodologies

Number of pages: 18 Posted: 12 Jun 2024
Roel C. A. Oomen and Johannes Muhle-Karbe
Deutsche Bank AG (London) and Imperial College London - Department of Mathematics
Downloads 240 (240,854)

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20.

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 233 (247,787)
Citation 1

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

21.

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 231 (249,804)
Citation 1

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

22.

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 226 (255,097)

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equilibrium, transaction costs, liquidity premium

23.

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 196 (290,884)
Citation 2

Abstract:

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

24.

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 193 (295,020)
Citation 10

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

25.

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 184 (307,957)
Citation 1

Abstract:

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optimal consumption, random endowment, asymptotic analysis

26.

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 178 (317,191)
Citation 7

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

27.

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 177 (318,753)
Citation 5

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price impact, portfolio choice, asymptotics, homogenization

28.

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 172 (326,971)

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

29.

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 167 (335,408)
Citation 4

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

30.

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 163 (342,492)

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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 160 (347,952)
Citation 1

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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

Abstract:

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32.

Stochastic Liquidity as a Proxy for Concave Multi-Asset Propagator Models

Number of pages: 18 Posted: 11 Jul 2024
Johannes Muhle-Karbe and Connor Tracy
Imperial College London - Department of Mathematics and Imperial College London - Department of Mathematics
Downloads 157 (355,535)

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Nonlinear Price Impact, Cross Impact, Multi-Asset Propagator Models, Scaling Limits

33.

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 155 (357,374)
Citation 6

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

34.

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 153 (361,154)
Citation 4

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asset pricing, Radner equilibrium, transaction costs, liquidity premia

35.

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 Maximilian University of Munich (LMU), Imperial College London - Department of Mathematics and Carnegie Mellon University - Department of Mathematical Sciences
Downloads 146 (375,195)
Citation 4

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

36.

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 146 (375,195)
Citation 2

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

37.

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 140 (387,820)
Citation 4

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

38.

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 127 (418,316)

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long run, portfolio choice, incentives, executive compensation

39.

Optimal Trading with General Signals and Liquidation in Target Zone Models

Number of pages: 8 Posted: 15 Aug 2018
Christoph Knochenhauer, Johannes Muhle-Karbe and Kevin Ou
Technische Universität München (TUM), Imperial College London - Department of Mathematics and Carnegie Mellon University - Department of Mathematical Sciences
Downloads 123 (428,570)
Citation 4

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

40.

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 103 (488,431)
Citation 2

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

41.

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 102 (491,702)
Citation 4

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dealer market, dynamic equilibrium, endogenous liquidity

42.

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 97 (508,529)
Citation 1

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Equilibrium, Liquidity, Heterogeneous Beliefs

43.

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 93 (522,532)
Citation 2

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price impact, stochastic games, closed-loop Nash equilibrium

44.

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 92 (526,133)
Citation 5

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Limit order books; price impact; high-resilience limit

45.

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 91 (529,784)
Citation 1

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Limit order markets, optimal liquidity provision, asymptotics.

46.

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 84 (556,762)
Citation 1

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liquidity provision, Nash competition, adverse selection, inventory costs

47.

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 77 (585,941)
Citation 2

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

48.

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 65 (642,050)
Citation 4

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transaction costs, utility maximization, shadow price, convex duality

49.

Switching Cost Models as Hypothesis Tests

CAMA Working Paper No. 40/2018
Number of pages: 14 Posted: 14 Sep 2018
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 36 (825,410)
Citation 1

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Inference, switching cost, inferential expectations, hypothesis test.

50.

Fluid-Limits of Fragmented Limit-Order Markets

Number of pages: 31 Posted: 11 Jul 2024
Johannes Muhle-Karbe, Eyal Neuman and Yonatan Shadmi
Imperial College London - Department of Mathematics, Imperial College London - Department of Mathematics and Imperial College London
Downloads 14 (1,033,071)

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limit order books, fragmented markets, fluid limits, asymptotic stability, order routing