Imperial College London
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ProfessorJohannesMuhle-Karbe

Faculty of Natural Sciences, Department of Mathematics

Head of Mathematical Finance, Chair in Mathematical Finance
 
 
 
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Contact

 

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

 
 
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Assistant

 

Mrs Rula Murtada +44 (0)20 7594 8487

 
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Location

 

806Weeks BuildingSouth Kensington Campus

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Summary

 

Publications

Citation

BibTex format

@article{Cayé:2020:10.1214/19-AAP1513,
author = {Cayé, T and Herdegen, M and Muhle-Karbe, J},
doi = {10.1214/19-AAP1513},
journal = {Annals of Applied Probability},
pages = {706--746},
title = {Trading with small nonlinear price impact},
url = {http://dx.doi.org/10.1214/19-AAP1513},
volume = {30},
year = {2020}
}
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RIS format (EndNote, RefMan)

TY  - JOUR
AB  - We study portfolio choice with small nonlinear price impact on general market dynamics. Using probabilistic techniques and convex duality, we show that the asymptotic optimum can be described explicitly up to the solution of a nonlinear ODE, which identifies the optimal trading speed and the performance loss due to the trading friction. Previous asymptotic results for proportional and quadratic trading costs are obtained as limiting cases. As an illustration, we discuss how nonlinear trading costs affect the pricing and hedging of derivative securities and active portfolio management.
AU  - Cayé,T
AU  - Herdegen,M
AU  - Muhle-Karbe,J
DO  - 10.1214/19-AAP1513
EP  - 746
PY  - 2020///
SN  - 1050-5164
SP  - 706
TI  - Trading with small nonlinear price impact
T2  - Annals of Applied Probability
UR  - http://dx.doi.org/10.1214/19-AAP1513
UR  - http://hdl.handle.net/10044/1/85032
VL  - 30
ER  -
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