Imperial College London

ProfessorJohannesMuhle-Karbe

Faculty of Natural SciencesDepartment of Mathematics

Chair in Mathematical Finance
 
 
 
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Contact

 

+44 (0)20 7594 0802j.muhle-karbe CV

 
 
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Location

 

806Weeks BuildingSouth Kensington Campus

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Summary

 

Publications

Publication Type
Year
to

24 results found

Herdegen M, Muhle-Karbe J, Possamaï D, 2019, Equilibrium Asset Pricing with Transaction Costs

Working paper

Herrmann S, Muhle-Karbe J, Shang D, Yang Cet al., 2019, Inventory Management for High-Frequency Trading With Imperfect Competition

Journal article

Muhle-Karbe J, Nutz M, Tan X, 2019, Asset Pricing with Heterogeneous Beliefs and Illiquidity

Journal article

Gonon L, Muhle-Karbe J, Shi X, 2019, Asset Pricing with General Transaction Costs: Theory and Numerics

Journal article

Guasoni P, Liu R, Muhle-Karbe J, 2019, Who should sell stocks?, Mathematical Finance, Vol: 29, Pages: 448-482, ISSN: 0960-1627

Journal article

Cohen SN, Henckel T, Menzies GD, Muhle-Karbe J, Zizzo DJet al., Switching Cost Models as Hypothesis Tests, Economics Letters, ISSN: 0165-1765

Journal article

Ekren I, Muhle-Karbe J, Portfolio Choice with Small Temporary and Transient Price Impact, Mathematical Finance, ISSN: 0960-1627

Journal article

Bank P, Ekren I, Muhle-Karbe J, 2018, Liquidity in competitive dealer markets

We study a continuous-time version of the intermediation model of Grossman and Miller (1988). To wit, we solve for the competitive equilibrium prices at which liquidity takers' demands are absorbed by dealers with quadratic inventory costs, who can in turn gradually transfer these positions to an end-user market. This endogenously leads to a model with transient price impact. Smooth, diffusive, and discrete trades all incur finite but nontrivial liquidity costs, and can arise naturally from the liquidity takers' optimization.

Working paper

Bouchard B, Fukasawa M, Herdegen M, Muhle-Karbe Jet al., Equilibrium Returns with Transaction Costs, Finance and Stochastics, Pages: 569-601, ISSN: 1432-1122

Journal article

Muhle-Karbe J, Nutz M, 2018, A risk-neutral equilibrium leading to uncertain volatility pricing, Finance and Stochastics, Vol: 22, Pages: 281-295, ISSN: 0949-2984

Journal article

Herdegen M, Muhle-Karbe J, 2018, Stability of Radner equilibria with respect to small frictions, Finance and Stochastics, Vol: 22, Pages: 443-502, ISSN: 0949-2984

Journal article

Cayé T, Herdegen M, Muhle-Karbe J, 2017, Trading with Small Nonlinear Price Impact

Working paper

Muhle-Karbe J, Reppen M, Soner HM, 2017, A Primer on Portfolio Choice with Small Transaction Costs, Annual Review of Financial Economics, Vol: 9, Pages: 301-331

Journal article

Herrmann S, Muhle-Karbe J, 2017, Model uncertainty, recalibration, and the emergence of delta–vega hedging, Finance and Stochastics, Vol: 21, Pages: 873-930, ISSN: 0949-2984

Journal article

Herdegen M, Muhle-Karbe J, 2017, Sensitivity of Optimal Consumption Streams

Working paper

Muhle-Karbe J, Webster K, 2017, Information and Inventories in High-Frequency Trading

Working paper

Liu R, Muhle-Karbe J, Weber M, 2017, Rebalancing with Linear and Quadratic Costs

Working paper

Ekren I, Liu R, Muhle-Karbe J, 2017, Optimal Rebalancing Frequencies for Multidimensional Portfolios

Working paper

Moreau L, Muhle-Karbe J, Soner HM, 2017, Trading with Small Price Impact, Mathematical Finance, Vol: 27, Pages: 350-400, ISSN: 0960-1627

Journal article

Guasoni P, Muhle-Karbe J, 2015, LONG HORIZONS, HIGH RISK AVERSION, AND ENDOGENOUS SPREADS, Mathematical Finance, Vol: 25, Pages: 724-753, ISSN: 0960-1627

Journal article

Guasoni P, Muhle-Karbe J, Xing H, 2013, Robust Portfolios and Weak Incentives in Long Run Investments, Boston U. School of Management Research Paper

Journal article

Gerhold S, Guasoni P, Muhle-Karbe J, Schachermayer Wet al., 2013, Transaction Costs, Trading Volume, and the Liquidity Premium, Boston U. School of Management Research Paper

Journal article

Guasoni P, Muhle-Karbe J, 2012, Portfolio Choice with Transaction Costs: A User's Guide, Boston U. School of Management Research Paper

Journal article

Guasoni P, Muhle-Karbe J, 2011, Long Horizons, High Risk-Aversion, and Endogenous Spreads, Boston U. School of Management Research Paper

Journal article

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