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ORCIDJohannes Muhle-Karbe
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2020 – today
- 2024
[j19]Johannes Muhle-Karbe
, Zexin Wang, Kevin Webster:
Stochastic Liquidity as a Proxy for Nonlinear Price Impact. Oper. Res. 72(2): 444-458 (2024)- 2023
- [j18]Martin Herdegen, Johannes Muhle-Karbe, Florian Stebegg:
Liquidity Provision with Adverse Selection and Inventory Costs. Math. Oper. Res. 48(3): 1286-1315 (2023) - [j17]Johannes Muhle-Karbe, Xiaofei Shi, Chen Yang:
An Equilibrium Model for the Cross Section of Liquidity Premia. Math. Oper. Res. 48(3): 1423-1453 (2023) - 2020
- [j16]Sebastian Herrmann, Johannes Muhle-Karbe, Dapeng Shang, Chen Yang:
Inventory Management for High-Frequency Trading with Imperfect Competition. SIAM J. Financial Math. 11(1): 1-26 (2020)
2010 – 2019
- 2018
- [j15]Johannes Muhle-Karbe, Marcel Nutz:
A risk-neutral equilibrium leading to uncertain volatility pricing. Finance Stochastics 22(2): 281-295 (2018) - [j14]Martin Herdegen, Johannes Muhle-Karbe:
Stability of Radner equilibria with respect to small frictions. Finance Stochastics 22(2): 443-502 (2018) - [j13]Bruno Bouchard, Masaaki Fukasawa, Martin Herdegen, Johannes Muhle-Karbe:
Equilibrium returns with transaction costs. Finance Stochastics 22(3): 569-601 (2018) - 2017
- [j12]Sebastian Herrmann, Johannes Muhle-Karbe, Frank Thomas Seifried:
Hedging with small uncertainty aversion. Finance Stochastics 21(1): 1-64 (2017) - [j11]Sebastian Herrmann, Johannes Muhle-Karbe:
Model uncertainty, recalibration, and the emergence of delta-vega hedging. Finance Stochastics 21(4): 873-930 (2017) - [j10]Ren Liu, Johannes Muhle-Karbe, Marko H. Weber:
Rebalancing with Linear and Quadratic Costs. SIAM J. Control. Optim. 55(6): 3533-3563 (2017) - 2015
- [j9]Albert Altarovici, Johannes Muhle-Karbe, Halil Mete Soner:
Asymptotics for fixed transaction costs. Finance Stochastics 19(2): 363-414 (2015) - 2014
- [j8]Stefan Gerhold, Paolo Guasoni, Johannes Muhle-Karbe, Walter Schachermayer:
Transaction costs, trading volume, and the liquidity premium. Finance Stochastics 18(1): 1-37 (2014) - [j7]Christoph Czichowsky, Johannes Muhle-Karbe, Walter Schachermayer:
Transaction Costs, Shadow Prices, and Duality in Discrete Time. SIAM J. Financial Math. 5(1): 258-277 (2014) - 2013
- [j6]Martin Keller-Ressel, Johannes Muhle-Karbe:
Asymptotic and exact pricing of options on variance. Finance Stochastics 17(1): 107-133 (2013) - [j5]Stefan Gerhold, Johannes Muhle-Karbe, Walter Schachermayer:
The dual optimizer for the growth-optimal portfolio under transaction costs. Finance Stochastics 17(2): 325-354 (2013) - [j4]Giuseppe Benedetti, Luciano Campi, Jan Kallsen, Johannes Muhle-Karbe:
On the existence of shadow prices. Finance Stochastics 17(4): 801-818 (2013) - [j3]Ren Liu, Johannes Muhle-Karbe:
Portfolio Selection with Small Transaction Costs and Binding Portfolio Constraints. SIAM J. Financial Math. 4(1): 203-227 (2013) - 2012
- [j2]Johannes Muhle-Karbe, Oliver Pfaffel, Robert Stelzer:
Option Pricing in Multivariate Stochastic Volatility Models of OU Type. SIAM J. Financial Math. 3(1): 66-94 (2012) - 2011
- [j1]Jan Kallsen, Johannes Muhle-Karbe:
Existence of shadow prices in finite probability spaces. Math. Methods Oper. Res. 73(2): 251-262 (2011)
Coauthor Index
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