Johannes MuhleKarbe
Current Position and Curriculum Vitae:
Current and Past PostDocs and PhD Students:

Sebastian Herrmann, Byrne Research Assistant Professor.
University of Michigan, since September 2016.

Martin Herdegen, postdoctoral fellow (SNF project 150101).
ETH Zürich, September 2014August 2016. Now tenuretrack Assistant Professor at the University of Warwick.

Thomas Caye, Trading with Small Nonlinear Price Impact: Optimal Execution and Rebalancing of Active Investments.
ETH Zürich, defended in May 2017. Now postodc (SNF project 175133) with Paolo Guasoni at Dublin City University.

Ren Liu, Portfolio Selection with Frictions.
ETH Zürich, defended in December 2015. Now Credit Risk Modeler at Credit Suisse.

Blanka Horvath (joint supervision with Josef Teichmann), Robust Methods for the SABR Model and Related Processes: Analysis, Asymptotics and Numerics.
ETH Zürich, defended in October 2015. Now postdoc (SNF project 165248) with Antoine Jacquier at Imperial College London.
Teaching at Carnegie Mellon:

Fall 2017: 21370 Discrete Time Finance.
Mathematical Finance at Carnegie Mellon:
Preprints:

Equilibrium Returns with Transaction Costs, with Bruno Bouchard, Masaaki Fukasawa, and Martin Herdegen.
Preprint, 2017. [SSRN]

Lifetime Investment and Consumption With Recursive Preferences and Small Transaction Costs, with Yaroslav Melnyk and Frank Seifried.
Preprint, 2017. [SSRN]

Portfolio Choice with Small Temporary and Transient Price Impact, with Ibrahim Ekren.
Preprint, 2017. [arXiv  SSRN]

Stability of Radner Equilibria with Respect to Small Frictions, with Martin Herdegen.
Preprint, 2017.
[SSRN]

A RiskNeutral Equilibrium Leading to Uncertain Volatility Pricing, with Marcel Nutz.
Preprint, 2016.
[arXiv  SSRN]

Sensitivity of Optimal Consumption Streams, with Martin Herdegen.
Preprint, 2015.
[SSRN]

HighResilience Limits of BlockShaped Order Books, with Jan Kallsen.
Preprint, 2014.
[arXiv  SSRN]

Who Should Sell Stocks?, with Paolo Guasoni and Ren Liu.
Preprint, 2014.
[SSRN  Video]

Portfolio Choice with Stochastic Investment Opportunities: a User's Guide, with Ren Liu.
Preprint, 2013. [arXiv]
Publications:

Rebalancing with Linear and Quadratic Costs, with Ren Liu and Marko Weber.
SIAM Journal on Control and Optimization, to appear.
[arXiv  SSRN]

Information and Inventories in HighFrequency Trading, with Kevin Webster.
Market Microstructure and Liquidity, to appear. [SSRN]

Optimal Rebalancing Frequencies for Multidimensional Portfolios, with Ibrahim Ekren and Ren Liu.
Mathematics and Financial Economics, to appear.
[Article  arXiv  SSRN]

A Primer on Portfolio Choice with Small Transaction Costs, with Max Reppen and H. Mete Soner.
Annual Review of Financial Economics, to appear.
[Article  arXiv  SSRN]

Model Uncertainty, Recalibration, and the Emergence of DeltaVega Hedging, with Sebastian Herrmann.
Finance and Stochastics, to appear.
[Article  SSRN]

The General Structure of Optimal Investment and Consumption with Small Transaction Costs, with Jan Kallsen.
Mathematical Finance, Vol. 27 (2017), No. 3, 659703.
[Article  arXiv  SSRN]

Trading with Small Price Impact, with Ludovic Moreau and H. Mete Soner.
Mathematical Finance, Vol. 27 (2017), No. 2, pp. 350400.
[Article  arXiv  SSRN  Video]

Hedging with Small Uncertainty Aversion, with Sebastian Herrmann and Frank Seifried.
Finance and Stochastics, Vol. 21 (2017), No.1, pp. 164.
[Article  SSRN]

Robust Portfolios and Weak Incentives in Long Run Investments, with Paolo Guasoni and Hao Xing.
Mathematical Finance, Vol. 27 (2017), No.1, pp. 337.
[Article  arXiv  SSRN]

Liquidation with SelfExciting Price Impact, with Thomas Cayé.
Mathematics and Financial Economics, Vol. 10 (2016), No.1, pp. 1528.
[Article  SSRN]

Long Horizons, High Risk Aversion, and Endogeneous Spreads, with Paolo Guasoni.
Mathematical Finance, Vol. 25 (2015), No. 4, 724753.
[Article  arXiv  SSRN]
 Option Pricing and Hedging with Small Transaction Costs, with Jan Kallsen.
Mathematical Finance, Vol. 25 (2015), No. 4, pp. 702723.
[Article  arXiv  SSRN]
 Optimal Liquidity Provision, with Christoph Kühn.
Stochastic Processes and their Applications, Vol. 125 (2015), No. 7, pp. 24932515.
[Article  arXiv  SSRN]

Asymptotics for Fixed Transaction Costs, with Albert Altarovici and H. Mete Soner.
Finance and Stochastics, Vol. 19 (2015), No. 2, pp. 363414.
[Article  arXiv  SSRN]

Transaction Costs, Shadow Prices, and Duality in Discrete Time, with Christoph Czichowsky and Walter Schachermayer.
SIAM Journal on Financial Mathematics, Vol. 5 (2014), No. 1, pp. 258277.
[Article  arXiv]

Asymptotic Power UtilityBased Pricing and Hedging, with Jan Kallsen and Richard Vierthauer.
Mathematics and Financial Economics, Vol. 8 (2014), No. 1, pp. 128.
[Article  arXiv]

Transaction Costs, Trading Volume, and the Liquidity Premium, with Stefan Gerhold, Paolo Guasoni, and Walter Schachermayer.
Finance and Stochastics, Vol. 18 (2014), No. 1, pp. 137.
[Article  arXiv  SSRN]

On the Existence of Shadow Prices, with Giuseppe Benedetti, Luciano Campi, and Jan Kallsen.
Finance and Stochastics, Vol. 17 (2013), No. 4, pp. 801818.
[Article  arXiv]

Portfolio Choice with Transaction Costs: a User's Guide, with Paolo Guasoni.
In V. Henderson and R. Sircar, editors, ParisPrinceton Lectures on Mathematical Finance 2013, Springer, 2013.
[Article  arXiv  SSRN]

On the Performance of Delta Hedging Strategies in Exponential Lévy Models, with Stephan Denkl, Martina Goy, Jan Kallsen, and Arnd Pauwels.
Quantitative Finance, Vol. 13 (2013), No. 8, pp. 11731184.
[Article  arXiv]

Portfolio Selection with Small Transaction Costs and Binding Portfolio Constraints, with Ren Liu.
SIAM Journal on Financial Mathematics, Vol. 4 (2013), No. 1, pp. 203227.
[Article  arXiv]

The Dual Optimizer for the GrowthOptimal Portfolio under Transaction Costs, with Stefan Gerhold and Walter Schachermayer.
Finance and Stochastics, Vol. 17 (2013), No. 2, pp. 325354.
[Article  arXiv]

Asymptotic and Exact Pricing of Options on Variance, with Martin KellerRessel.
Finance and Stochastics, Vol. 17 (2013), No. 1, pp. 107133.
[Article  arXiv]

Asymptotics and Duality for the Davis and Norman Problem, with Stefan Gerhold and Walter Schachermayer.
Stochastics (Special Issue: The Mark H.A. Davis Festschrift: Stochastics, Control and Finance), Vol. 84 (2012), No. 56, pp. 625641.
[Article  arXiv]

Utility Maximization, Risk Aversion, and Stochastic Dominance, with Mathias Beiglböck and Johannes Temme.
Mathematics and Financial Economics, Vol. 6 (2012), No. 1, pp. 113.
[Article  arXiv]

Option Pricing in Multivariate Stochastic Volatility Models of OU Type, with Oliver Pfaffel and Robert Stelzer.
SIAM Journal on Financial Mathematics, Vol. 3 (2012), pp. 6694.
[Article  arXiv  pdf]

SmallTime Asymptotics of Option Prices and First Absolute Moments, with Marcel Nutz.
Journal of Applied Probability, Vol. 48 (2011), No. 4, pp. 10031020.
[Article  arXiv]

Pricing Options on Variance in Affine Stochastic Volatility Models, with Jan Kallsen and Moritz Voss.
Mathematical Finance, Vol. 21 (2011), No. 3, pp. 627641.
[Article  pdf]

Method of Moment Estimation for TimeChanged Lévy Models, with Jan Kallsen.
Statistics and Decisions, Vol. 28 (2011), No. 2, pp. 169194.
[Article  pdf]

Existence of Shadow Prices in Finite Probability Spaces, with Jan Kallsen.
Mathematical Methods of Operations Research, Vol. 73 (2011), No. 2, pp. 251262.
[Article  arXiv]

A Characterization of the Martingale Property of Exponentially Affine Processes, with Eberhard Mayerhofer and Alexander Smirnov.
Stochastic Processes and their Applications, Vol. 121 (2011), No. 3, pp. 568582.
[Article  arXiv]

Utility Maximization in Models with Conditionally Independent Increments, with Jan Kallsen.
The Annals of Applied Probability, Vol. 20 (2010), No. 6, pp. 21622177.
[Article  pdf]
 DiscreteTime VarianceOptimal Hedging in Affine Stochastic Volatility Models, with Jan Kallsen, Natalia Shenkman, and Richard Vierthauer.
In R. Kiesel, M. Scherer and R. Zagst, editors, Alternative Investments and Strategies, World Scientific, Singapore, 2010, pp. 375394.
[pdf]
 On using Shadow Prices in Portfolio Optimization with Transaction Costs, with Jan Kallsen.
The Annals of Applied Probability, Vol. 20 (2010), No. 4, pp. 13411358.
[Article  pdf]
 Utility Maximization in Affine Stochastic Volatility Models, with Jan Kallsen.
International Journal of Theoretical and Applied Finance, Vol. 13 (2010), No.3, pp. 459477.
[Article  pdf]
 Exponentially Affine Martingales, Affine Measure Changes and Exponential Moments of Affine Processes, with Jan Kallsen.
Stochastic Processes and their Applications, Vol. 120 (2010), No. 2, pp. 163181.
[Article  pdf]
Theses:

On UtilityBased Investment, Pricing and Hedging in Incomplete Markets. Ph.D. Thesis, TU München, 2009. Directed by Jan Kallsen. [pdf]
Förderpreis of the Fachgruppe Stochastik of the German Mathematical Society, 2010.
(Inaugural) Nicola Bruti Liberati Prize of the Bachelier Finance Society, 2012.

Portfoliooptimierung in Modellen mit stochastischer Volatilität. Diploma Thesis, TU München, 2006. Directed by Jan Kallsen.
Hauptpreis, student conference of the German Mathematical Society in 2007.
Last modification: September 10, 2017
(Johannes MuhleKarbe)