Carnegie Mellon University - Department of Mathematical Sciences

Johannes Muhle-Karbe

Johannes Muhle-Karbe Department of Mathematical Sciences Carnegie Mellon University Pittsburgh, PA 15213, USA Office: 8204 Wean Hall Email: johannesmk@cmu.edu Homepage: http://www.math.cmu.edu/~jmuhleka/

Current Position and Curriculum Vitae:

• I am an Associate Professor in the Department of Mathematical Sciences at Carnegie Mellon University and a member of the steering committee for CMU's Center for Computational Finance.


• I will be on leave from January 2019 to take up a Chair in Mathematical Finance in the Department of Mathematical Sciences at Imperial College London and become the Director of the CFM-Imperial Institute of Quantitative Finance there.


• Curriculum Vitae [pdf]


• Citation List from Google Scholar

Current and Past PostDocs and PhD Students:

• Sebastian Herrmann, Byrne Research Assistant Professor.
  University of Michigan, since September 2016.


• Martin Herdegen, postdoctoral fellow (SNF project 150101).
  ETH Zürich, September 2014-August 2016. Now tenure-track Assistant Professor at the University of Warwick.


• Xiaofei (Fei) Shi, PhD student.
  Carnegie Mellon University, since April 2018.


• Xangxi (Kevin) Ou, PhD student.
  Carnegie Mellon University, since April 2018.


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


• Ren Liu, Portfolio Selection with Frictions.
  ETH Zürich, defended in December 2015. Now Credit Risk Modeler at Credit Suisse.


• Blanka Horvath (joint supervision with Josef Teichmann), Robust Methods for the SABR Model and Related Processes: Analysis, Asymptotics and Numerics.
  ETH Zürich, defended in October 2015. Now Lecturer at King's College London.

Teaching at Carnegie Mellon:

• Fall 2018: 46-915 Advanced Derivative Models.


• Spring 2018: 21-882 Stochastic Control and Applications in Finance.


• Fall 2017: 21-370 Discrete Time Finance.

Mathematical Finance at Carnegie Mellon:

• Probability and Computational Finance Seminar


• Center for Computational Finance

Preprints:

• Equilibrium Asset Pricing with Transaction Costs, with Dylan Possamaï and Martin Herdegen.
  Preprint, 2019. [[arXiv | SSRN]


• Inventory Management for High-Frequency Trading with Imperfect Competition, with Sebastian Herrmann, Dapeng Shang, and Chen Yang.
  Preprint, 2018. [arXiv | SSRN]


• Optimal Trading with General Signals and Liquidation in Target Zone Models, with Christoph Belak and Kevin Ou.
  Preprint, 2018. [arXiv | SSRN]


• Liquidity in Competitive Dealer Markets, with Peter Bank and Ibrahim Ekren.
  Preprint, 2018. [arXiv | SSRN]


• Simple Bounds for Transaction Costs, with Bruno Bouchard.
  Preprint, 2018. [arXiv]


• Trading with Small Nonlinear Price Impact, with with Thomas Cayé and Martin Herdegen.
  Preprint, 2018. [SSRN]


• Scaling Limits of Processes with Fast Nonlinear Mean Reversion, with with Thomas Cayé and Martin Herdegen.
  Preprint, 2017. [arXiv]


• Lifetime Investment and Consumption With Recursive Preferences and Small Transaction Costs, with Yaroslav Melnyk and Frank Seifried.
  Preprint, 2017. [SSRN]


• High-Resilience Limits of Block-Shaped 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]

Publications:

• Portfolio Choice with Small Temporary and Transient Price Impact, with Ibrahim Ekren.
  Mathematical Finance, to appear. [arXiv | SSRN]


• Sensitivity of Optimal Consumption Streams, with Martin Herdegen.
  Stochastic Processes and their Applications, to appear. [Article | SSRN]


• Who Should Sell Stocks?, with Paolo Guasoni and Ren Liu.
  Mathematical Finance, to appear. [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. 32-35. [Article | arXiv]


• Equilibrium Returns with Transaction Costs, with Bruno Bouchard, Masaaki Fukasawa, and Martin Herdegen.
  Finance and Stochastics, Vol. 22 (2018), No. 3, pp. 569-601. [Article | SSRN]


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


• A Risk-Neutral Equilibrium Leading to Uncertain Volatility Pricing, with Marcel Nutz.
  Finance and Stochastics, Vol. 22 (2018), No. 2, pp. 281-295. [Article | arXiv | SSRN]


• Stability of Radner Equilibria with Respect to Small Frictions, with Martin Herdegen.
  Finance and Stochastics, Vol. 22 (2018), No. 2, pp. 443-502. [Article | SSRN]


• Optimal Rebalancing Frequencies for Multidimensional Portfolios, with Ibrahim Ekren and Ren Liu.
  Mathematics and Financial Economics, Vol. 12 (2018), No. 2, pp. 165-191. [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. 3533-3563. [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. 301-331. [Article | arXiv | SSRN]


• Model Uncertainty, Recalibration, and the Emergence of Delta-Vega Hedging, with Sebastian Herrmann.
  Finance and Stochastics, Vol. 21 (2017), No. 4, pp. 873-930. [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. 659-703. [Article | arXiv | SSRN]


• Trading with Small Price Impact, with Ludovic Moreau and H. Mete Soner.
  Mathematical Finance, Vol. 27 (2017), No. 2, pp. 350-400. [Article | arXiv | SSRN | Video]


• Hedging with Small Uncertainty Aversion, with Sebastian Herrmann and Frank Seifried.
  Finance and Stochastics, Vol. 21 (2017), No.1, pp. 1-64. [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. 3-37. [Article | arXiv | SSRN]


• Liquidation with Self-Exciting Price Impact, with Thomas Cayé.
  Mathematics and Financial Economics, Vol. 10 (2016), No.1, pp. 15-28. [Article | SSRN]


• Long Horizons, High Risk Aversion, and Endogeneous Spreads, with Paolo Guasoni.
  Mathematical Finance, Vol. 25 (2015), No. 4, pp. 724-753. [Article | arXiv | SSRN]


• Option Pricing and Hedging with Small Transaction Costs, with Jan Kallsen.
  Mathematical Finance, Vol. 25 (2015), No. 4, pp. 702-723. [Article | arXiv | SSRN]


• Optimal Liquidity Provision, with Christoph Kühn.
  Stochastic Processes and their Applications, Vol. 125 (2015), No. 7, pp. 2493-2515. [Article | arXiv | SSRN]


• Asymptotics for Fixed Transaction Costs, with Albert Altarovici and H. Mete Soner.
  Finance and Stochastics, Vol. 19 (2015), No. 2, pp. 363-414. [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. 258-277. [Article | arXiv]


• Asymptotic Power Utility-Based Pricing and Hedging, with Jan Kallsen and Richard Vierthauer.
  Mathematics and Financial Economics, Vol. 8 (2014), No. 1, pp. 1-28. [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. 1-37. [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. 801-818. [Article | arXiv]


• Portfolio Choice with Transaction Costs: a User's Guide, with Paolo Guasoni.
  In V. Henderson and R. Sircar, editors, Paris-Princeton 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. 1173-1184. [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. 203-227. [Article | arXiv]


• The Dual Optimizer for the Growth-Optimal Portfolio under Transaction Costs, with Stefan Gerhold and Walter Schachermayer.
  Finance and Stochastics, Vol. 17 (2013), No. 2, pp. 325-354. [Article | arXiv]


• Asymptotic and Exact Pricing of Options on Variance, with Martin Keller-Ressel.
  Finance and Stochastics, Vol. 17 (2013), No. 1, pp. 107-133. [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. 5-6, pp. 625-641. [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. 1-13. [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. 66-94. [Article | arXiv | pdf]


• Small-Time Asymptotics of Option Prices and First Absolute Moments, with Marcel Nutz.
  Journal of Applied Probability, Vol. 48 (2011), No. 4, pp. 1003-1020. [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. 627-641. [Article | pdf]


• Method of Moment Estimation for Time-Changed Lévy Models, with Jan Kallsen.
  Statistics and Decisions, Vol. 28 (2011), No. 2, pp. 169-194. [Article | pdf]


• Existence of Shadow Prices in Finite Probability Spaces, with Jan Kallsen.
  Mathematical Methods of Operations Research, Vol. 73 (2011), No. 2, pp. 251-262. [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. 568-582. [Article | arXiv]


• Utility Maximization in Models with Conditionally Independent Increments, with Jan Kallsen.
  The Annals of Applied Probability, Vol. 20 (2010), No. 6, pp. 2162-2177. [Article | pdf]


• Discrete-Time Variance-Optimal 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. 375-394. [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. 1341-1358. [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. 459-477. [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. 163-181. [Article | pdf]

Theses:

• On Utility-Based 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: January 30, 2019
(Johannes Muhle-Karbe)