Johannes MuhleKarbe
Current Position and Curriculum Vitae:
Current and Past PostDocs and PhD Students:

David Itkin, Chapman Fellow.
Imperial College London, August 2022July 2024.
Now tenuretrack assistant professor at London School of Economics.

Henry Chiu, EPSRC Fellow (project EP/W007215/1).
Imperial College London, October 2022September 2023.
Now tenuretrack assistant professor at the University of Birmingham.

Emma Hubert, CFM Fellow.
Imperial College London, October 2020August 2021.
Now tenuretrack assistant professor at Princeton University.

Andreas Sojmark, Chapman Fellow.
Imperial College London, October 2019September 2021.
Now tenuretrack assistant professor at London School of Economics.

Sebastian Herrmann, Byrne Research Assistant Professor.
University of Michigan, September 2016August 2019. Lecturer in Mathematical Finance at University of Manchester 20192022.
Now quantitative researcher at Susquehanna International Group (SIG).

Martin Herdegen, Postdoctoral Fellow (SNF project 150101).
ETH Zürich, September 2014August 2016.
Now Reader (Associate Professor) at the University of Warwick.

Sturmius Tuschmann, PhD student (with Eyal Neuman), CDT Random Systems.
Imperial College London, from October 2023.

Mateo Rodriguez Polo, PhD student (with Dylan Possamaï).
ETH Zurich, from October 2023.

Connor Tracy, PhD student (EPSRC Case Conversion Fellowship in collaboration with BNP Paribas).
Imperial College London, from October 2021.

Joseph Mulligan, PhD student (with Antoine Jacquier, CDT Random Systems in collaboration with Qube Research & Technologies).
Imperial College London, from October 2021.

Owen Futter, PhD student (with Blanka Horvath, CDT Mathematics of Random Systems, in collaboration with Catley Lakeman Securities).
Imperial College London, from October 2021.

Jean Herskovits, PhD student (in collaboration with Nomura), Book Value Optimisation, Risk and Redistribution.
Imperial College London, defended in September 2024.

Benjamin Weber, (with Martin Larsson), PrincipalAgent Problems for Market Making.
Carnegie Mellon University, defended in November 2023.

Zexin Wang, Optimal Trading with Frictions.
Imperial College London (SchrödingerRoth fellow), defended in April 2023.
Now quantitative analyst at Squarepoint Capital.

Xiaofei (Fei) Shi, Equilibrium Asset Pricing with Transaction Costs.
Carnegie Mellon University, defended in May 2020.
Now tenuretrack assistant professor at the University of Toronto.

Thomas Caye, Trading with Small Nonlinear Price Impact: Optimal Execution and Rebalancing of Active Investments.
ETH Zürich, defended in May 2017. Postdoc (SNF project 175133) with Paolo Guasoni at Dublin City University.
Now quantitative analyst at Susquehanna International Group (SIG).

Ren Liu, Portfolio Selection with Frictions.
ETH Zürich, defended in December 2015.
Now risk control specialist at Migros Bank.

Blanka Horvath (with Josef Teichmann), Robust Methods for the SABR Model and Related Processes: Analysis, Asymptotics and Numerics.
ETH Zürich, defended in October 2015. Postdoc (SNF project 165248) with Antoine Jacquier at Imperial College London.
Now associate professor at University of Oxford.
Teaching at Imperial:

Spring 2025: MATH70127 Quantitative Trading and Price Impact.

Spring 2024: MATH70127 Quantitative Trading and Price Impact.

Spring 2023: MATH97235 Portfolio Management; MATH70127 Algorithmic and HighFrequency Trading (with Kevin Webster).

Spring 2022: MATH97235 Portfolio Management.

Spring 2021: MATH97235 Portfolio Management.

Spring 2020: MATH97235 Portfolio Management; MATH97230 Market Microstructure..
Mathematical Finance at Imperial:

ETH  Hong Kong  Imperial Workshop on "Mathematical Finance", June 1720, 2024.
Coorganized with Ofelia Bonesini, Lukas Gonon, David Itkin, Eyal Neuman, and Yufei Zhang.
Supported by the Cecilia Tanner Funding Scheme.

Workshop on "Market Microstructure", April 9, 2024.

The CFMImperial Workshop on "Market Microstructure", December 1112, 2023.
Coorganized with Hanna Assayag, JeanPhilippe Bouchaud, Alexander Barzykin, and Eyal Neumann.
Hosted by HSBC Global Markets.

Workshop on "New Trends in Machine Learning for Finance", March 30, 2023.
Coorganized with Lukas Gonon.
Supported by the Cecilia Tanner Funding Scheme.

Workshop on "Stochastic Portfolio Theory", March 15, 2023.
Coorganized with David Itkin.

Workshop on "Machine Learning for Optimal Control", July 13, 2022.
Coorganized with Panos Parpas.
Supported by the Quantitative Sciences Research Institute.

Conference on "New Trends in Stochastic Control", July 1112, 2022.
Coorganized with Christoph Czichowsky and Roxana Dumitrescu.
Supported by the London Mathematical Society.

The CFMImperial Workshop on "Market Microstructure", December 1213, 2019.
Coorganized with JeanPhilippe Bouchaud, CharlesAlbert Lehalle, and Eyal Neumann.
Hosted by HSBC Global Markets.

CFMImperial Quantitative Finance Seminar

Finance and Stochastics Seminar
Preprints:

FluidLimits of Fragmented LimitOrder Markets, with Eyal Neuman and Yonatan Shadmi.
Preprint, 2024. [SSRN]

Stochastic Liquidity as a Proxy for Concave MultiAsset Propagator Models, with Connor Tracy.
Preprint, 2024. [SSRN]

Optimizing Broker Performance Evaluation Through Intraday Modeling of Execution Cost, with Zoltan Eisler.
Preprint, 2024. [SSRN]

Hedging of Fixing Exposure, with Roel Oomen and Benjamin Weber.
Preprint, 2024. [SSRN]

Trading with Concave Price Impact and Impact Decay  Theory and Evidence, with Natascha Hey, Iacopo Mastromatteo and Kevin Webster.
Preprint, 2023. [SSRN]

Optimal Contracts for Delegated Order Execution, with Martin Larsson and Benjamin Weber.
Preprint, 2023. [SSRN]

Dynamic Portfolio Choice with Intertemporal Hedging and Transaction Costs, with James Sefton and Xiaofei Shi.
Preprint, 2023. [SSRN]

PreHedging, with Roel Oomen.
Preprint, 2023. [SSRN]
Publications:

Tackling Nonlinear Price Impact with Linear Strategies, with Xavier Brokmann, David Itkin and Peter Schmidt.
Mathematical Finance, to appear. [SSRN]

A comparison of FX fixing methodologies, with Roel Oomen.
Risk, to appear. [SSRN]

The Cost of Misspecifying Price Impact, with JeanPhilippe Bouchaud, Natascha Hey, Iacopo Mastromatteo and Kevin Webster.
Risk, January 2024. [Article  SSRN]

Stochastic Liquidity as a Proxy for Nonlinear Price Impact, with Zexin Wang and Kevin Webster.
Operations Research, Vol. 72 (2024), No. 2, pp. 444458. [Article  SSRN]

ClosedLoop Nash Competition for Liquidity, with Alessandro Micheli and Eyal Neuman.
Mathematical Finance, Vol. 33 (2023), No. 4, pp. 10821118. [Article  arXiv  SSRN]

A Leland Model for Delta Hedging in Central Risk Books, with Zexin Wang and Kevin Webster.
Mathematical Finance, Vol. 33 (2023), No. 3, pp. 504547. [Article  SSRN]

Liquidity Provision with Adverse Selection and Inventory Costs, with Martin Herdegen and Florian Stebegg.
Mathematics of Operations Research, Vol. 48 (2023), No. 3, pp. 12861315. [Article  SSRN]

An Equilibrium Model for the CrossSection of Liquidity Premia, with Xiaofei Shi and Chen Yang.
Mathematics of Operations Research, Vol. 48 (2023), No. 3, pp. 14231453. [Article  arXiv  SSRN]

Simple Bounds for Transaction Costs, with Bruno Bouchard.
Stochastic Processes and their Applications, Vol. 146 (April 2022), pp. 98113.
[Article  arXiv]

Liquidity in Competitive Dealer Markets, with Peter Bank and Ibrahim Ekren.
Mathematical Finance, Vol. 31 (2021), No. 3, pp. 827856.
[Article  arXiv  SSRN]

Asset Pricing with General Transaction Costs: Theory and Numerics, with Lukas Gonon and Xiaofei Shi.
Mathematical Finance, Vol. 31 (2021), No. 2, pp. 595648.
[Article  arXiv  SSRN]

Equilibrium Asset Pricing with Transaction Costs, with Dylan Possamaï and Martin Herdegen.
Finance and Stochastics, Vol. 25 (2021), No. 2, pp. 231275.
[Article  arXiv  SSRN]

Asset Pricing with Heterogenous Beliefs and Illiquidity, with Marcel Nutz and Xiaowei Tan.
Mathematical Finance, Vol. 30 (2020), No. 4, pp. 13921421.
[Article  arXiv  SSRN]

Lifetime Investment and Consumption With Recursive Preferences and Small Transaction Costs, with Yaroslav Melnyk and Frank Seifried.
Mathematical Finance, Vol. 30 (2020), No. 3, pp. 11351167.
[Article  SSRN]

Inventory Management for HighFrequency Trading with Imperfect Competition, with Sebastian Herrmann, Dapeng Shang, and Chen Yang.
SIAM Journal on Financial Mathematics, Vol. 11 (2020), No. 1, pp. 126.
[Article  arXiv  SSRN]

Liquidation in Target Zone Models, with Christoph Belak and Kevin Ou.
Market Microstructure and Liquidity, Vol. 4 (2020), No. 03, pp. 1950010.
[Article  arXiv  SSRN]

Trading with Small Nonlinear Price Impact, with with Thomas Cayé and Martin Herdegen.
The Annals of Applied Probability, Vol. 30 (2020), No. 2, pp. 706746.
[Article  SSRN]

Scaling Limits of Processes with Fast Nonlinear Mean Reversion, with with Thomas Cayé and Martin Herdegen.
Stochastic Processes and their Applications, Vol. 130 (2020), No. 4, pp. 19942031
[Article  arXiv]

Portfolio Choice with Small Temporary and Transient Price Impact, with Ibrahim Ekren.
Mathematical Finance, Vol. 29 (2019), No. 4, pp. 10661115.
[Article  arXiv  SSRN]

Sensitivity of Optimal Consumption Streams, with Martin Herdegen.
Stochastic Processes and their Applications, Vol. 129 (2019), No. 6, pp. 19641992.
[Article  SSRN]

Who Should Sell Stocks?, with Paolo Guasoni and Ren Liu.
Mathematical Finance, Vol. 29 (2019), No. 2, pp. 448482.
[Article  SSRN  Video]

Switching Cost Models as Hypothesis Tests, with Samuel N. Cohen, Timo Henckel, Gordon D. Menzies, and Daniel J. Zizzo.
Economics Letters, Vol. 175 (2019), No. 2, pp. 3235.
[Article  arXiv]

Equilibrium Returns with Transaction Costs, with Bruno Bouchard, Masaaki Fukasawa, and Martin Herdegen.
Finance and Stochastics, Vol. 22 (2018), No. 3, pp. 569601.
[Article  SSRN]

Information and Inventories in HighFrequency Trading, with Kevin Webster.
Market Microstructure and Liquidity, Vol. 3 (2018), No. 2, pp. 1750010.
[Article  SSRN]

A RiskNeutral Equilibrium Leading to Uncertain Volatility Pricing, with Marcel Nutz.
Finance and Stochastics, Vol. 22 (2018), No. 2, pp. 281295.
[Article  arXiv  SSRN]

Stability of Radner Equilibria with Respect to Small Frictions, with Martin Herdegen.
Finance and Stochastics, Vol. 22 (2018), No. 2, pp. 443502.
[Article  SSRN]

Optimal Rebalancing Frequencies for Multidimensional Portfolios, with Ibrahim Ekren and Ren Liu.
Mathematics and Financial Economics, Vol. 12 (2018), No. 2, pp. 165191.
[Article  arXiv  SSRN]

Rebalancing with Linear and Quadratic Costs, with Ren Liu and Marko Weber.
SIAM Journal on Control and Optimization, Vol. 55 (2017), No. 6, pp. 35333563.
[Article  arXiv  SSRN]

A Primer on Portfolio Choice with Small Transaction Costs, with Max Reppen and H. Mete Soner.
Annual Review of Financial Economics, Vol. 9 (2017), pp. 301331.
[Article  arXiv  SSRN]

Model Uncertainty, Recalibration, and the Emergence of DeltaVega Hedging, with Sebastian Herrmann.
Finance and Stochastics, Vol. 21 (2017), No. 4, pp. 873930.
[Article  SSRN]

The General Structure of Optimal Investment and Consumption with Small Transaction Costs, with Jan Kallsen.
Mathematical Finance, Vol. 27 (2017), No. 3, pp. 659703.
[Article  arXiv  SSRN]

Trading with Small Price Impact, with Ludovic Moreau and H. Mete Soner.
Mathematical Finance, Vol. 27 (2017), No. 2, pp. 350400.
[Article  arXiv  SSRN  Video]

Hedging with Small Uncertainty Aversion, with Sebastian Herrmann and Frank Seifried.
Finance and Stochastics, Vol. 21 (2017), No.1, pp. 164.
[Article  SSRN]

Robust Portfolios and Weak Incentives in Long Run Investments, with Paolo Guasoni and Hao Xing.
Mathematical Finance, Vol. 27 (2017), No.1, pp. 337.
[Article  arXiv  SSRN]

Liquidation with SelfExciting Price Impact, with Thomas Cayé.
Mathematics and Financial Economics, Vol. 10 (2016), No.1, pp. 1528.
[Article  SSRN]

Long Horizons, High Risk Aversion, and Endogeneous Spreads, with Paolo Guasoni.
Mathematical Finance, Vol. 25 (2015), No. 4, pp. 724753.
[Article  arXiv  SSRN]
 Option Pricing and Hedging with Small Transaction Costs, with Jan Kallsen.
Mathematical Finance, Vol. 25 (2015), No. 4, pp. 702723.
[Article  arXiv  SSRN]
 Optimal Liquidity Provision, with Christoph Kühn.
Stochastic Processes and their Applications, Vol. 125 (2015), No. 7, pp. 24932515.
[Article  arXiv  SSRN]

Asymptotics for Fixed Transaction Costs, with Albert Altarovici and H. Mete Soner.
Finance and Stochastics, Vol. 19 (2015), No. 2, pp. 363414.
[Article  arXiv  SSRN]

Transaction Costs, Shadow Prices, and Duality in Discrete Time, with Christoph Czichowsky and Walter Schachermayer.
SIAM Journal on Financial Mathematics, Vol. 5 (2014), No. 1, pp. 258277.
[Article  arXiv]

Asymptotic Power UtilityBased Pricing and Hedging, with Jan Kallsen and Richard Vierthauer.
Mathematics and Financial Economics, Vol. 8 (2014), No. 1, pp. 128.
[Article  arXiv]

Transaction Costs, Trading Volume, and the Liquidity Premium, with Stefan Gerhold, Paolo Guasoni, and Walter Schachermayer.
Finance and Stochastics, Vol. 18 (2014), No. 1, pp. 137.
[Article  arXiv  SSRN]

On the Existence of Shadow Prices, with Giuseppe Benedetti, Luciano Campi, and Jan Kallsen.
Finance and Stochastics, Vol. 17 (2013), No. 4, pp. 801818.
[Article  arXiv]

Portfolio Choice with Transaction Costs: a User's Guide, with Paolo Guasoni.
In V. Henderson and R. Sircar, editors, ParisPrinceton Lectures on Mathematical Finance 2013, Springer, 2013.
[Article  arXiv  SSRN]

On the Performance of Delta Hedging Strategies in Exponential Lévy Models, with Stephan Denkl, Martina Goy, Jan Kallsen, and Arnd Pauwels.
Quantitative Finance, Vol. 13 (2013), No. 8, pp. 11731184.
[Article  arXiv]

Portfolio Selection with Small Transaction Costs and Binding Portfolio Constraints, with Ren Liu.
SIAM Journal on Financial Mathematics, Vol. 4 (2013), No. 1, pp. 203227.
[Article  arXiv]

The Dual Optimizer for the GrowthOptimal Portfolio under Transaction Costs, with Stefan Gerhold and Walter Schachermayer.
Finance and Stochastics, Vol. 17 (2013), No. 2, pp. 325354.
[Article  arXiv]

Asymptotic and Exact Pricing of Options on Variance, with Martin KellerRessel.
Finance and Stochastics, Vol. 17 (2013), No. 1, pp. 107133.
[Article  arXiv]

Asymptotics and Duality for the Davis and Norman Problem, with Stefan Gerhold and Walter Schachermayer.
Stochastics (Special Issue: The Mark H.A. Davis Festschrift: Stochastics, Control and Finance), Vol. 84 (2012), No. 56, pp. 625641.
[Article  arXiv]

Utility Maximization, Risk Aversion, and Stochastic Dominance, with Mathias Beiglböck and Johannes Temme.
Mathematics and Financial Economics, Vol. 6 (2012), No. 1, pp. 113.
[Article  arXiv]

Option Pricing in Multivariate Stochastic Volatility Models of OU Type, with Oliver Pfaffel and Robert Stelzer.
SIAM Journal on Financial Mathematics, Vol. 3 (2012), pp. 6694.
[Article  arXiv  pdf]

SmallTime Asymptotics of Option Prices and First Absolute Moments, with Marcel Nutz.
Journal of Applied Probability, Vol. 48 (2011), No. 4, pp. 10031020.
[Article  arXiv]

Pricing Options on Variance in Affine Stochastic Volatility Models, with Jan Kallsen and Moritz Voss.
Mathematical Finance, Vol. 21 (2011), No. 3, pp. 627641.
[Article  pdf]

Method of Moment Estimation for TimeChanged Lévy Models, with Jan Kallsen.
Statistics and Decisions, Vol. 28 (2011), No. 2, pp. 169194.
[Article  pdf]

Existence of Shadow Prices in Finite Probability Spaces, with Jan Kallsen.
Mathematical Methods of Operations Research, Vol. 73 (2011), No. 2, pp. 251262.
[Article  arXiv]

A Characterization of the Martingale Property of Exponentially Affine Processes, with Eberhard Mayerhofer and Alexander Smirnov.
Stochastic Processes and their Applications, Vol. 121 (2011), No. 3, pp. 568582.
[Article  arXiv]

Utility Maximization in Models with Conditionally Independent Increments, with Jan Kallsen.
The Annals of Applied Probability, Vol. 20 (2010), No. 6, pp. 21622177.
[Article  pdf]
 DiscreteTime VarianceOptimal Hedging in Affine Stochastic Volatility Models, with Jan Kallsen, Natalia Shenkman, and Richard Vierthauer.
In R. Kiesel, M. Scherer and R. Zagst, editors, Alternative Investments and Strategies, World Scientific, Singapore, 2010, pp. 375394.
[pdf]
 On using Shadow Prices in Portfolio Optimization with Transaction Costs, with Jan Kallsen.
The Annals of Applied Probability, Vol. 20 (2010), No. 4, pp. 13411358.
[Article  pdf]
 Utility Maximization in Affine Stochastic Volatility Models, with Jan Kallsen.
International Journal of Theoretical and Applied Finance, Vol. 13 (2010), No.3, pp. 459477.
[Article  pdf]
 Exponentially Affine Martingales, Affine Measure Changes and Exponential Moments of Affine Processes, with Jan Kallsen.
Stochastic Processes and their Applications, Vol. 120 (2010), No. 2, pp. 163181.
[Article  pdf]
Old Working Papers:

HighResilience Limits of BlockShaped Order Books, with Jan Kallsen.
Preprint, 2014.
[arXiv  SSRN]

Portfolio Choice with Stochastic Investment Opportunities: a User's Guide, with Ren Liu.
Preprint, 2013. [arXiv]
Theses:

On UtilityBased Investment, Pricing and Hedging in Incomplete Markets. Ph.D. Thesis, TU München, 2009. Directed by Jan Kallsen. [pdf]
Förderpreis of the Fachgruppe Stochastik of the German Mathematical Society, 2010.
(Inaugural) Nicola Bruti Liberati Prize of the Bachelier Finance Society, 2012.

Portfoliooptimierung in Modellen mit stochastischer Volatilität. Diploma Thesis, TU München, 2006. Directed by Jan Kallsen.
Hauptpreis, student conference of the German Mathematical Society in 2007.
Last modification: September 30, 2024
(Johannes MuhleKarbe)