Date: 8 September 2021, Wednesay
Time: 8:00pm to 9:00pm
(Singapore Time Zone, GMT +8)

This webinar is jointly organised by Risk Management Institute and Centre for Quantitative Finance.

Title: Asset Pricing with Liquidity Risk

Prof. Muhle-Karbe Johannes (Imperial College London)

Abstract: We study how equilibrium asset prices depend on liquidity, that is, the ease with which the assets can be traded. In particular, we disentangle the impact of liquidity levels and liquidity risk.
Mathematically, this leads to multidimensional, nonlinear and fully coupled systems of forward-backward stochastic differential equations, which admit tractable asymptotic expansions in the small-cost limit.
(Joint work in progress with Agostino Capponi and Xiaofei Shi.)

Johannes Muhle-Karbe is the Head of the Mathematical Finance Section at Imperial College London and the Director of the CFM-Imperial Institute of Quantitative Finance. Before joining Imperial, he held faculty positions at Carnegie Mellon University, the University of Michigan and ETH Zurich. Johannes’ research focuses on “frictions” such as transaction costs, price impact, or asymmetric information, and how these affect optimal trading strategies, risk management, and asset prices.

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