Johannes Muhle-Karbe

According to our database, Johannes Muhle-Karbe authored at least 18 papers between 2011 and 2023.

Collaborative distances:

• Dijkstra number of five.
• Erdős number of four.

2023

An Equilibrium Model for the Cross Section of Liquidity Premia.

Johannes Muhle-Karbe, Xiaofei Shi, Chen Yang

Math. Oper. Res., August, 2023

Liquidity Provision with Adverse Selection and Inventory Costs.

Martin Herdegen, Johannes Muhle-Karbe, Florian Stebegg

Math. Oper. Res., August, 2023

2020

Inventory Management for High-Frequency Trading with Imperfect Competition.

Sebastian Herrmann, Johannes Muhle-Karbe, Dapeng Shang, Chen Yang

SIAM J. Financial Math., 2020

2018

A risk-neutral equilibrium leading to uncertain volatility pricing.

Johannes Muhle-Karbe, Marcel Nutz

Finance Stochastics, 2018

Stability of Radner equilibria with respect to small frictions.

Martin Herdegen, Johannes Muhle-Karbe

Finance Stochastics, 2018

Equilibrium returns with transaction costs.

Bruno Bouchard, Masaaki Fukasawa, Martin Herdegen, Johannes Muhle-Karbe

Finance Stochastics, 2018

2017

Rebalancing with Linear and Quadratic Costs.

Ren Liu, Johannes Muhle-Karbe, Marko H. Weber

SIAM J. Control. Optim., 2017

Hedging with small uncertainty aversion.

Sebastian Herrmann, Johannes Muhle-Karbe, Frank Thomas Seifried

Finance Stochastics, 2017

Model uncertainty, recalibration, and the emergence of delta-vega hedging.

Sebastian Herrmann, Johannes Muhle-Karbe

Finance Stochastics, 2017

2015

Asymptotics for fixed transaction costs.

Albert Altarovici, Johannes Muhle-Karbe, Halil Mete Soner

Finance Stochastics, 2015

2014

Transaction Costs, Shadow Prices, and Duality in Discrete Time.

Christoph Czichowsky, Johannes Muhle-Karbe, Walter Schachermayer

SIAM J. Financial Math., 2014

Transaction costs, trading volume, and the liquidity premium.

Stefan Gerhold, Paolo Guasoni, Johannes Muhle-Karbe, Walter Schachermayer

Finance Stochastics, 2014

2013

Portfolio Selection with Small Transaction Costs and Binding Portfolio Constraints.

Ren Liu, Johannes Muhle-Karbe

SIAM J. Financial Math., 2013

Asymptotic and exact pricing of options on variance.

Martin Keller-Ressel, Johannes Muhle-Karbe

Finance Stochastics, 2013

The dual optimizer for the growth-optimal portfolio under transaction costs.

Stefan Gerhold, Johannes Muhle-Karbe, Walter Schachermayer

Finance Stochastics, 2013

On the existence of shadow prices.

Giuseppe Benedetti, Luciano Campi, Jan Kallsen, Johannes Muhle-Karbe

Finance Stochastics, 2013

2012

Option Pricing in Multivariate Stochastic Volatility Models of OU Type.

Johannes Muhle-Karbe, Oliver Pfaffel, Robert Stelzer

SIAM J. Financial Math., 2012

2011

Existence of shadow prices in finite probability spaces.

Jan Kallsen, Johannes Muhle-Karbe

Math. Methods Oper. Res., 2011