Johannes Muhle-Karbe

According to our database1, Johannes Muhle-Karbe authored at least 15 papers between 2011 and 2018.

Collaborative distances:
  • Dijkstra number2 of five.
  • Erdős number3 of four.

Timeline

Legend:

Book 
In proceedings 
Article 
PhD thesis 
Other 

Links

On csauthors.net:

Bibliography

2018
A risk-neutral equilibrium leading to uncertain volatility pricing.
Finance and Stochastics, 2018

Stability of Radner equilibria with respect to small frictions.
Finance and Stochastics, 2018

Equilibrium returns with transaction costs.
Finance and Stochastics, 2018

2017
Rebalancing with Linear and Quadratic Costs.
SIAM J. Control and Optimization, 2017

Hedging with small uncertainty aversion.
Finance and Stochastics, 2017

Model uncertainty, recalibration, and the emergence of delta-vega hedging.
Finance and Stochastics, 2017

2015
Asymptotics for fixed transaction costs.
Finance and Stochastics, 2015

2014
Transaction Costs, Shadow Prices, and Duality in Discrete Time.
SIAM J. Financial Math., 2014

Transaction costs, trading volume, and the liquidity premium.
Finance and Stochastics, 2014

2013
Portfolio Selection with Small Transaction Costs and Binding Portfolio Constraints.
SIAM J. Financial Math., 2013

Asymptotic and exact pricing of options on variance.
Finance and Stochastics, 2013

The dual optimizer for the growth-optimal portfolio under transaction costs.
Finance and Stochastics, 2013

On the existence of shadow prices.
Finance and Stochastics, 2013

2012
Option Pricing in Multivariate Stochastic Volatility Models of OU Type.
SIAM J. Financial Math., 2012

2011
Existence of shadow prices in finite probability spaces.
Math. Meth. of OR, 2011


  Loading...