MUHLE-KARBE, JOHANNES: search on Z-Library

The world's largest scientific articles store. 70,000,000+ articles for free.

Don't use scam websites

1

Inventory Management for High-Frequency Trading with Imperfect Competition

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

Journal:

SIAM Journal on Financial Mathematics

Year:

2020

Language:

english

File:

PDF, 599 KB

english, 2020

2

On the existence of shadow prices

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

Journal:

Finance and Stochastics

Year:

2013

Language:

english

File:

PDF, 657 KB

english, 2013

3

Transaction costs, trading volume, and the liquidity premium

Stefan Gerhold, Paolo Guasoni, Johannes Muhle-Karbe…

Journal:

Finance and Stochastics

Year:

2014

Language:

english

File:

PDF, 1.10 MB

english, 2014

4

Option Pricing in Multivariate Stochastic Volatility Models of OU Type

Muhle-Karbe, Johannes, Pfaffel, Oliver, Stelzer, Robert

Journal:

SIAM Journal on Financial Mathematics

Year:

2012

Language:

english

File:

PDF, 442 KB

english, 2012

5

LONG HORIZONS, HIGH RISK AVERSION, AND ENDOGENOUS SPREADS

Guasoni, Paolo, Muhle-Karbe, Johannes

Journal:

Mathematical Finance

Year:

2015

Language:

english

File:

PDF, 366 KB

english, 2015

6

Portfolio Selection with Small Transaction Costs and Binding Portfolio Constraints

Liu, Ren, Muhle-Karbe, Johannes

Journal:

SIAM Journal on Financial Mathematics

Year:

2013

Language:

english

File:

PDF, 444 KB

english, 2013

7

Transaction Costs, Shadow Prices, and Duality in Discrete Time

Czichowsky, Christoph, Muhle-Karbe, Johannes, Schachermayer, Walter

Journal:

SIAM Journal on Financial Mathematics

Year:

2014

Language:

english

File:

PDF, 261 KB

english, 2014

8

THE GENERAL STRUCTURE OF OPTIMAL INVESTMENT AND CONSUMPTION WITH SMALL TRANSACTION COSTS

Kallsen, Jan, Muhle-Karbe, Johannes

Journal:

Mathematical Finance

Year:

2015

Language:

english

File:

PDF, 462 KB

english, 2015

9

OPTION PRICING AND HEDGING WITH SMALL TRANSACTION COSTS

Kallsen, Jan, Muhle-Karbe, Johannes

Journal:

Mathematical Finance

Year:

2015

Language:

english

File:

PDF, 262 KB

english, 2015

10

A Primer on Portfolio Choice with Small Transaction Costs

Muhle-Karbe, Johannes, Reppen, Max, Soner, H. Mete

Journal:

Annual Review of Financial Economics

Year:

2017

Language:

english

File:

PDF, 843 KB

english, 2017

11

Optimal rebalancing frequencies for multidimensional portfolios

Ekren, Ibrahim, Liu, Ren, Muhle-Karbe, Johannes

Journal:

Mathematics and Financial Economics

Year:

2017

Language:

english

File:

PDF, 653 KB

english, 2017

12

Who should sell stocks?

Guasoni, Paolo, Liu, Ren, Muhle-Karbe, Johannes

Journal:

Mathematical Finance

Year:

2018

Language:

english

File:

PDF, 582 KB

english, 2018

13

Scaling limits of processes with fast nonlinear mean reversion

Cayé, Thomas, Herdegen, Martin, Muhle-Karbe, Johannes

Journal:

Stochastic Processes and their Applications

Year:

2019

File:

PDF, 633 KB

2019

14

A characterization of the martingale property of exponentially affine processes

Eberhard Mayerhofer, Johannes Muhle-Karbe, Alexander G. Smirnov

Journal:

Stochastic Processes and their Applications

Year:

2011

Language:

english

File:

PDF, 273 KB

english, 2011

15

PRICING OPTIONS ON VARIANCE IN AFFINE STOCHASTIC VOLATILITY MODELS

Jan Kallsen, Johannes Muhle-Karbe, Moritz Voß

Journal:

Mathematical Finance

Year:

2011

Language:

english

File:

PDF, 185 KB

english, 2011

16

Utility maximization, risk aversion, and stochastic dominance

Mathias Beiglböck, Johannes Muhle-Karbe, Johannes Temme

Journal:

Mathematics and Financial Economics

Year:

2012

Language:

english

File:

PDF, 319 KB

english, 2012

17

Asymptotic and exact pricing of options on variance

Martin Keller-Ressel, Johannes Muhle-Karbe

Journal:

Finance and Stochastics

Year:

2013

Language:

english

File:

PDF, 857 KB

english, 2013

18

[Lecture Notes in Mathematics] Paris-Princeton Lectures on Mathematical Finance 2013 Volume 2081 ||

Benth, Fred Espen, Crisan, Dan, Guasoni, Paolo, Manolarakis, Konstantinos, Muhle-Karbe, Johannes, Nee, Colm, Protter, Philip

Year:

2013

Language:

english

File:

PDF, 4.02 MB

english, 2013

19

On the performance of delta hedging strategies in exponential Lévy models

DENKL, STEPHAN, GOY, MARTINA, KALLSEN, JAN, MUHLE-KARBE, JOHANNES, PAUWELS, ARND

Journal:

Quantitative Finance

Year:

2013

Language:

english

File:

PDF, 428 KB

english, 2013

20

Asymptotics and duality for the Davis and Norman problem

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

Journal:

Stochastics An International Journal of Probability and Stochastic Processes

Year:

2012

Language:

english

File:

PDF, 202 KB

english, 2012

21

UTILITY MAXIMIZATION IN AFFINE STOCHASTIC VOLATILITY MODELS

KALLSEN, JAN, MUHLE-KARBE, JOHANNES

Journal:

International Journal of Theoretical and Applied Finance

Year:

2010

Language:

english

File:

PDF, 263 KB

english, 2010

22

[Lecture Notes in Mathematics] Paris-Princeton Lectures on Mathematical Finance 2013 Volume 2081 || A Mathematical Theory of Financial Bubbles

Benth, Fred Espen, Crisan, Dan, Guasoni, Paolo, Manolarakis, Konstantinos, Muhle-Karbe, Johannes, Nee, Colm, Protter, Philip

Year:

2013

Language:

english

File:

PDF, 2.02 MB

english, 2013

23

TRADING WITH SMALL PRICE IMPACT

Moreau, Ludovic, Muhle-Karbe, Johannes, Soner, H. Mete

Journal:

Mathematical Finance

Year:

2015

Language:

english

File:

PDF, 538 KB

english, 2015

24

Rebalancing with Linear and Quadratic Costs

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

Journal:

SIAM Journal on Control and Optimization

Year:

2017

Language:

english

File:

PDF, 1.14 MB

english, 2017

25

Information and Inventories in High-Frequency Trading

Muhle-Karbe, Johannes, Webster, Kevin

Journal:

Market Microstructure and Liquidity

Year:

2018

Language:

english

File:

PDF, 189 KB

english, 2018

26

A risk-neutral equilibrium leading to uncertain volatility pricing

Muhle-Karbe, Johannes, Nutz, Marcel

Journal:

Finance and Stochastics

Year:

2018

Language:

english

File:

PDF, 730 KB

english, 2018

27

Liquidation in Target Zone Models

Belak, Christoph, Muhle-Karbe, Johannes, Ou, Kevin

Journal:

Market Microstructure and Liquidity

Year:

2018

File:

PDF, 326 KB

2018

28

Existence of shadow prices in finite probability spaces

Jan Kallsen, Johannes Muhle-Karbe

Journal:

Mathematical Methods of Operations Research

Year:

2011

Language:

english

File:

PDF, 175 KB

english, 2011

29

Exponentially affine martingales, affine measure changes and exponential moments of affine processes

Jan Kallsen, Johannes Muhle-Karbe

Journal:

Stochastic Processes and their Applications

Year:

2010

Language:

english

File:

PDF, 837 KB

english, 2010

30

Asymptotic power utility-based pricing and hedging

Jan Kallsen, Johannes Muhle-Karbe…

Journal:

Mathematics and Financial Economics

Year:

2014

Language:

english

File:

PDF, 551 KB

english, 2014

31

Optimal liquidity provision

Kühn, Christoph, Muhle-Karbe, Johannes

Journal:

Stochastic Processes and their Applications

Year:

2015

Language:

english

File:

PDF, 304 KB

english, 2015

32

Method of moment estimation in time-changed Lévy models

Kallsen, Jan, Muhle-Karbe, Johannes

Journal:

Statistics & Decisions

Year:

2011

Language:

english

File:

PDF, 563 KB

english, 2011

33

Asymptotics for fixed transaction costs

Altarovici, Albert, Muhle-Karbe, Johannes, Soner, Halil Mete

Journal:

Finance and Stochastics

Year:

2015

Language:

english

File:

PDF, 1.48 MB

english, 2015

34

SMALL-TIME ASYMPTOTICS OF OPTION PRICES AND FIRST ABSOLUTE MOMENTS

JOHANNES MUHLE-KARBE and MARCEL NUTZ

Journal:

Journal of Applied Probability

Year:

2011

Language:

english

File:

PDF, 1.28 MB

english, 2011

35

ROBUST PORTFOLIOS AND WEAK INCENTIVES IN LONG-RUN INVESTMENTS

Guasoni, Paolo, Muhle-Karbe, Johannes, Xing, Hao

Journal:

Mathematical Finance

Year:

2014

Language:

english

File:

PDF, 395 KB

english, 2014

36

Hedging with small uncertainty aversion

Herrmann, Sebastian, Muhle-Karbe, Johannes, Seifried, Frank Thomas

Journal:

Finance and Stochastics

Year:

2017

Language:

english

File:

PDF, 1.45 MB

english, 2017

37

Model uncertainty, recalibration, and the emergence of delta–vega hedging

Herrmann, Sebastian, Muhle-Karbe, Johannes

Journal:

Finance and Stochastics

Year:

2017

Language:

english

File:

PDF, 1.28 MB

english, 2017

38

Small-Time Asymptotics of Option Prices and First Absolute Moments

Muhle-Karbe, Johannes, Nutz, Marcel

Journal:

Journal of Applied Probability

Year:

2011

Language:

english

File:

PDF, 201 KB

english, 2011

39

Stability of Radner equilibria with respect to small frictions

Herdegen, Martin, Muhle-Karbe, Johannes

Journal:

Finance and Stochastics

Year:

2018

Language:

english

File:

PDF, 1.31 MB

english, 2018

40

Equilibrium returns with transaction costs

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

Journal:

Finance and Stochastics

Year:

2018

Language:

english

File:

PDF, 975 KB

english, 2018

41

Sensitivity of optimal consumption streams

Herdegen, Martin, Muhle-Karbe, Johannes

Journal:

Stochastic Processes and their Applications

Year:

2018

Language:

english

File:

PDF, 486 KB

english, 2018

42

Model Uncertainty, Recalibration, and the Emergence of Delta-Vega Hedging

Herrmann, Sebastian, Muhle-Karbe, Johannes

Journal:

SSRN Electronic Journal

Year:

2015

Language:

english

File:

PDF, 855 KB

english, 2015

43

Trading with Small Price Impact

Moreau, Ludovic, Muhle-Karbe, Johannes, Soner, Halil Mete

Journal:

SSRN Electronic Journal

Year:

2014

Language:

english

File:

PDF, 474 KB

english, 2014

44

Transaction Costs, Trading Volume, and the Liquidity Premium

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

Journal:

SSRN Electronic Journal

Year:

2012

Language:

english

File:

PDF, 734 KB

english, 2012

45

Hedging with Small Uncertainty Aversion

Herrmann, Sebastian, Muhle-Karbe, Johannes, Seifried, Frank Thomas

Journal:

SSRN Electronic Journal

Year:

2015

Language:

english

File:

PDF, 820 KB

english, 2015

46

A Risk-Neutral Equilibrium Leading to Uncertain Volatility Pricing

Muhle-Karbe, Johannes, Nutz, Marcel

Journal:

SSRN Electronic Journal

Year:

2016

Language:

english

File:

PDF, 419 KB

english, 2016

47

Utility Maximization, Risk Aversion, and Stochastic Dominance

Muhle-Karbe, Johannes, Beiglböck, Mathias, Temme, Johannes

Journal:

SSRN Electronic Journal

Year:

2011

Language:

english

File:

PDF, 534 KB

english, 2011

48

Switching cost models as hypothesis tests

Cohen, Samuel N., Henckel, Timo, Menzies, Gordon D., Muhle-Karbe, Johannes, Zizzo, Daniel J.

Journal:

Economics Letters

Year:

2018

Language:

english

File:

PDF, 549 KB

english, 2018

49

Who Should Sell Stocks?

Guasoni, Paolo, Liu, Ren, Muhle-Karbe, Johannes

Journal:

SSRN Electronic Journal

Year:

2014

Language:

english

File:

PDF, 3.68 MB

english, 2014

50

Portfolio choice with small temporary and transient price impact

Ekren, Ibrahim, Muhle-Karbe, Johannes

Journal:

Mathematical Finance

Year:

2019

Language:

english

File:

PDF, 884 KB

english, 2019