Seuraa
Johannes Muhle-Karbe
Johannes Muhle-Karbe
Chair in Mathematical Finance, Imperial College London
Vahvistettu sähköpostiosoite verkkotunnuksessa imperial.ac.uk - Kotisivu
Nimike
Viittaukset
Viittaukset
Vuosi
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
1462013
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
1192010
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
992014
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
892010
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
842010
Option Pricing and Hedging with Small Transaction Costs
J Kallsen, J Muhle-Karbe
Mathematical Finance 25 (4), 702-723, 2015
712015
Utility Maximization in Affine Stochastic Volatility Models
J Kallsen, J Muhle-Karbe
International Journal of Theoretical and Applied Finance 13 (3), 459-477, 2010
672010
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
622011
Small-Time Asymptotics of Option Prices and First Absolute Moments
J Muhle-Karbe, M Nutz
Journal of Applied Probability 48 (4), 1003-1020, 2011
542011
Asymptotics for Fixed Transaction Costs
A Altarovici, J Muhle-Karbe, HM Soner
Finance and Stochastics 19 (2), 363-414, 2015
522015
Equilibrium returns with transaction costs
B Bouchard, M Fukasawa, M Herdegen, J Muhle-Karbe
Finance and Stochastics 22 (3), 569-601, 2018
502018
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
472012
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
452013
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
43*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
372011
Asymptotic and Exact Pricing of Options on Variance
M Keller-Ressel, J Muhle-Karbe
Finance and Stochastics 17 (1), 107-133, 2013
362013
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
332017
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
332014
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Artikkelit 1–20