Johannes Muhle-Karbe

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Paolo GuasoniDublin City University and Università di BolognaVerified email at dcu.ie
Walter SchachermayerFakultät für Mathematik, Universität WienVerified email at univie.ac.at
Martin HerdegenAssociate Professor of Financial Mathematics, University of WarwickVerified email at warwick.ac.uk
Stefan GerholdProfessor, TU WienVerified email at fam.tuwien.ac.at
Halil Mete SonerDepartment of Operations Research and Financial Engineering, Princeton UniversityVerified email at princeton.edu
Kevin WebsterImperial College LondonVerified email at princeton.edu
Marcel NutzDepartment of Statistics, Columbia UniversityVerified email at columbia.edu
ibrahim ekrenUniversity of MichiganVerified email at umich.edu
Xiaofei ShiAssistant Professor, University of TorontoVerified email at utoronto.ca
Sebastian HerrmannSchool of Mathematics, University of ManchesterVerified email at manchester.ac.uk
bruno bouchardUniversité Paris Dauphine - PSLVerified email at ceremade.dauphine.fr
Christoph CzichowskyAssociate Professor of Mathematics, London School of Economics and Political ScienceVerified email at lse.ac.uk
Iacopo MastromatteoCapital Fund ManagementVerified email at cfm.fr
Robert StelzerInstitute of Mathematical Finance, Ulm UniversityVerified email at uni-ulm.de
Oliver PfaffelTechnical University Munich; Munich ReVerified email at munichre.com
Moritz VoßHedrick Assistant Adjunct Professor, UC Los AngelesVerified email at math.ucla.edu
Lukas GononImperial College LondonVerified email at imperial.ac.uk
Albert AltaroviciWaymoVerified email at waymo.com
Masaaki FukasawaOsaka UniversityVerified email at sigmath.es.osaka-u.ac.jp
Eyal NeumanImperial College LondonVerified email at imperial.ac.uk

Johannes Muhle-Karbe

Chair in Mathematical Finance, Imperial College London

Verified email at imperial.ac.uk - Homepage

Mathematical Finance Stochastic Processes Stochastic Optimization


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A mathematical theory of financial bubbles FE Benth, D Crisan, P Guasoni, K Manolarakis, J Muhle-Karbe, C Nee, ... Paris-Princeton Lectures on Mathematical Finance 2013: Editors: Vicky …, 2013	146	2013
On Using Shadow Prices in Portfolio Optimization with Transaction Costs J Kallsen, J Muhle-Karbe The Annals of Applied Probability 20 (4), 1341-1358, 2010	118	2010
Transaction Costs, Trading Volume, and the Liquidity Premium S Gerhold, P Guasoni, J Muhle-Karbe, W Schachermayer Finance and Stochastics 18 (1), 1-37, 2014	99	2014
Exponentially Affine Martingales, Affine Measure Changes and Exponential Moments of Affine Processes J Kallsen, J Muhle-Karbe Stochastic Processes and their Applications 120 (2), 163-181, 2010	89	2010
The general structure of optimal investment and consumption with small transaction costs J Kallsen, J Muhle-Karbe Mathematical Finance 27 (3), 659-703, 0	86*
Option Pricing in Multivariate Stochastic Volatility Models of OU type J Muhle-Karbe, O Pfaffel, R Stelzer SIAM Journal on Financial Mathematics 3 (1), 66-94, 2010	84	2010
Option Pricing and Hedging with Small Transaction Costs J Kallsen, J Muhle-Karbe Mathematical Finance 25 (4), 702-723, 2015	71	2015
Utility Maximization in Affine Stochastic Volatility Models J Kallsen, J Muhle-Karbe International Journal of Theoretical and Applied Finance 13 (3), 459-477, 2010	67	2010
Trading with Small Price Impact L Moreau, J Muhle-Karbe, HM Soner Mathematical Finance 27 (2), 350-400, 0	64*
Pricing Options on Variance in Affine Stochastic Volatility Models J Kallsen, J Muhle‐Karbe, M Voß Mathematical Finance 21 (4), 627-641, 2011	62	2011
Small-Time Asymptotics of Option Prices and First Absolute Moments J Muhle-Karbe, M Nutz Journal of Applied Probability 48 (4), 1003-1020, 2011	54	2011
Asymptotics for Fixed Transaction Costs A Altarovici, J Muhle-Karbe, HM Soner Finance and Stochastics 19 (2), 363-414, 2015	52	2015
Equilibrium returns with transaction costs B Bouchard, M Fukasawa, M Herdegen, J Muhle-Karbe Finance and Stochastics 22 (3), 569-601, 2018	50	2018
Asymptotics and Duality for the Davis and Norman Problem S Gerhold, J Muhle-Karbe, W Schachermayer Stochastics (Special Issue for Mark Davis' Festschrift) 84 (5-6), 625-641, 2012	47	2012
The Dual Optimizer for the Growth-Optimal Portfolio under Transaction Costs S Gerhold, J Muhle-Karbe, W Schachermayer Finance and Stochastics 17 (2), 325-354, 2013	45	2013
Portfolio Choice with Transaction Costs: a User's Guide P Guasoni, J Muhle-Karbe Paris-Princeton Lecture Notes in Mathematical Finance, V. Henderson and R …, 2013	42*	2013
A Characterization of the Martingale Property of Exponentially Affine Processes E Mayerhofer, J Muhle-Karbe, AG Smirnov Stochastic Processes and their Applications 121 (3), 568-582, 2011	37	2011
Asymptotic and Exact Pricing of Options on Variance M Keller-Ressel, J Muhle-Karbe Finance and Stochastics 17 (1), 107-133, 2013	36	2013
A primer on portfolio choice with small transaction costs J Muhle-Karbe, M Reppen, HM Soner Annual Review of Financial Economics 9, 301-331, 2017	33	2017
Transaction costs, shadow prices, and duality in discrete time C Czichowsky, J Muhle-Karbe, W Schachermayer SIAM Journal on Financial Mathematics 5 (1), 258-277, 2014	33	2014

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