Johannes Muhle-Karbe

20 papers Journal 20
YearRankTypeTitle / Venue / Authors
2025 J jnl
Trading with Concave Price Impact and Impact Decay - Theory and Evidence.
Oper. Res.
Natascha Hey, Iacopo Mastromatteo, Johannes Muhle-Karbe, Kevin Webster
2024 J jnl
Stochastic Liquidity as a Proxy for Nonlinear Price Impact.
Oper. Res.
Johannes Muhle-Karbe, Zexin Wang, Kevin Webster
2023 J jnl
An Equilibrium Model for the Cross Section of Liquidity Premia.
Math. Oper. Res.
Johannes Muhle-Karbe, Xiaofei Shi, Chen Yang
2023 J jnl
Liquidity Provision with Adverse Selection and Inventory Costs.
Math. Oper. Res.
Martin Herdegen, Johannes Muhle-Karbe, Florian Stebegg
2020 J jnl
Inventory Management for High-Frequency Trading with Imperfect Competition.
SIAM J. Financial Math.
Sebastian Herrmann, Johannes Muhle-Karbe, Dapeng Shang, Chen Yang
2018 J jnl
A risk-neutral equilibrium leading to uncertain volatility pricing.
Finance Stochastics
Johannes Muhle-Karbe, Marcel Nutz
2018 J jnl
Equilibrium returns with transaction costs.
Finance Stochastics
Bruno Bouchard, Masaaki Fukasawa, Martin Herdegen, Johannes Muhle-Karbe
2018 J jnl
Stability of Radner equilibria with respect to small frictions.
Finance Stochastics
Martin Herdegen, Johannes Muhle-Karbe
2017 J jnl
Hedging with small uncertainty aversion.
Finance Stochastics
Sebastian Herrmann, Johannes Muhle-Karbe, Frank Thomas Seifried
2017 J jnl
Model uncertainty, recalibration, and the emergence of delta-vega hedging.
Finance Stochastics
Sebastian Herrmann, Johannes Muhle-Karbe
2017 J jnl
Rebalancing with Linear and Quadratic Costs.
SIAM J. Control. Optim.
Ren Liu, Johannes Muhle-Karbe, Marko H. Weber
2015 J jnl
Asymptotics for fixed transaction costs.
Finance Stochastics
Albert Altarovici, Johannes Muhle-Karbe, Halil Mete Soner
2014 J jnl
Transaction Costs, Shadow Prices, and Duality in Discrete Time.
SIAM J. Financial Math.
Christoph Czichowsky, Johannes Muhle-Karbe, Walter Schachermayer
2014 J jnl
Transaction costs, trading volume, and the liquidity premium.
Finance Stochastics
Stefan Gerhold, Paolo Guasoni, Johannes Muhle-Karbe, Walter Schachermayer
2013 J jnl
Asymptotic and exact pricing of options on variance.
Finance Stochastics
Martin Keller-Ressel, Johannes Muhle-Karbe
2013 J jnl
On the existence of shadow prices.
Finance Stochastics
Giuseppe Benedetti, Luciano Campi, Jan Kallsen, Johannes Muhle-Karbe
2013 J jnl
Portfolio Selection with Small Transaction Costs and Binding Portfolio Constraints.
SIAM J. Financial Math.
Ren Liu, Johannes Muhle-Karbe
2013 J jnl
The dual optimizer for the growth-optimal portfolio under transaction costs.
Finance Stochastics
Stefan Gerhold, Johannes Muhle-Karbe, Walter Schachermayer
2012 J jnl
Option Pricing in Multivariate Stochastic Volatility Models of OU Type.
SIAM J. Financial Math.
Johannes Muhle-Karbe, Oliver Pfaffel, Robert Stelzer
2011 J jnl
Existence of shadow prices in finite probability spaces.
Math. Methods Oper. Res.
Jan Kallsen, Johannes Muhle-Karbe