Johannes Muhle-Karbe

Publication Activity (10 Years)

Years Active: 2011-2024
Publications (10 Years): 10

Top Topics

Adverse Selection

Transaction Costs

Inventory Management

Top Venues

Finance Stochastics

Math. Oper. Res.

SIAM J. Financial Math.

Publications

Johannes Muhle-Karbe, Zexin Wang, Kevin Webster
Stochastic Liquidity as a Proxy for Nonlinear Price Impact. Oper. Res. 72 (2) (2024)
Johannes Muhle-Karbe, Xiaofei Shi, Chen Yang
An Equilibrium Model for the Cross Section of Liquidity Premia. Math. Oper. Res. 48 (3) (2023)
Martin Herdegen, Johannes Muhle-Karbe, Florian Stebegg
Liquidity Provision with Adverse Selection and Inventory Costs. Math. Oper. Res. 48 (3) (2023)
Sebastian Herrmann, Johannes Muhle-Karbe, Dapeng Shang, Chen Yang
Inventory Management for High-Frequency Trading with Imperfect Competition. SIAM J. Financial Math. 11 (1) (2020)
Bruno Bouchard, Masaaki Fukasawa, Martin Herdegen, Johannes Muhle-Karbe
Equilibrium returns with transaction costs. Finance Stochastics 22 (3) (2018)
Martin Herdegen, Johannes Muhle-Karbe
Stability of Radner equilibria with respect to small frictions. Finance Stochastics 22 (2) (2018)
Johannes Muhle-Karbe, Marcel Nutz
A risk-neutral equilibrium leading to uncertain volatility pricing. Finance Stochastics 22 (2) (2018)
Sebastian Herrmann, Johannes Muhle-Karbe, Frank Thomas Seifried
Hedging with small uncertainty aversion. Finance Stochastics 21 (1) (2017)
Ren Liu, Johannes Muhle-Karbe, Marko H. Weber
Rebalancing with Linear and Quadratic Costs. SIAM J. Control. Optim. 55 (6) (2017)
Sebastian Herrmann, Johannes Muhle-Karbe
Model uncertainty, recalibration, and the emergence of delta-vega hedging. Finance Stochastics 21 (4) (2017)
Albert Altarovici, Johannes Muhle-Karbe, Halil Mete Soner
Asymptotics for fixed transaction costs. Finance Stochastics 19 (2) (2015)
Stefan Gerhold, Paolo Guasoni, Johannes Muhle-Karbe, Walter Schachermayer
Transaction costs, trading volume, and the liquidity premium. Finance Stochastics 18 (1) (2014)
Christoph Czichowsky, Johannes Muhle-Karbe, Walter Schachermayer
Transaction Costs, Shadow Prices, and Duality in Discrete Time. SIAM J. Financial Math. 5 (1) (2014)
Giuseppe Benedetti, Luciano Campi, Jan Kallsen, Johannes Muhle-Karbe
On the existence of shadow prices. Finance Stochastics 17 (4) (2013)
Ren Liu, Johannes Muhle-Karbe
Portfolio Selection with Small Transaction Costs and Binding Portfolio Constraints. SIAM J. Financial Math. 4 (1) (2013)
Stefan Gerhold, Johannes Muhle-Karbe, Walter Schachermayer
The dual optimizer for the growth-optimal portfolio under transaction costs. Finance Stochastics 17 (2) (2013)
Martin Keller-Ressel, Johannes Muhle-Karbe
Asymptotic and exact pricing of options on variance. Finance Stochastics 17 (1) (2013)
Johannes Muhle-Karbe, Oliver Pfaffel, Robert Stelzer
Option Pricing in Multivariate Stochastic Volatility Models of OU Type. SIAM J. Financial Math. 3 (1) (2012)
Jan Kallsen, Johannes Muhle-Karbe
Existence of shadow prices in finite probability spaces. Math. Methods Oper. Res. 73 (2) (2011)