University of Michigan - Department of Mathematics

Johannes Muhle-Karbe

Johannes Muhle-Karbe Department of Mathematics University of Michigan 530 Church Street Ann Arbor, MI 48109, USA Phone: +1 734 936 0003 Office: 4832 East Hall Email: johanmk@umich.edu Homepage: http://www-personal.umich.edu/~johanmk/

Current Position and Curriculum Vitae:

• I am an Associate Professor of Mathematics at the Department of Mathematics of the University of Michigan.
• Curriculum Vitae [pdf]
• Citation List from Google Scholar

Current and Past PostDocs and PhD Students:

• Sebastian Herrmann, Byrne Research Assistant Professor, since September 2016.
• Martin Herdegen, postdoctoral fellow (SNF), September 2014-August 2016. Now tenure-track Assistant Professor at the University of Warwick.
• Thomas Caye, Ph.D. student, ETH Zürich.
• Ren Liu, Portfolio Selection with Frictions, defended in December 2015. Now Quantitative Analyst at Raiffeisen Bank.
• Blanka Horvath (joint supervision with Josef Teichmann), Robust Methods for the SABR Model and Related Processes: Analysis, Asymptotics and Numerics, defended in October 2015. Now SNF Postdoc at Imperial College London.

Teaching at Michigan:

• Fall 2016: MATH 623: Computational Finance.
• Winter 2016: MATH 574: Financial Mathematics II.

Financial Mathematics at Michigan:

• Financial Mathematics Seminar
• Byrne Young Researcher Workshop on Mathematical Finance, March 27-31, 2017
• Byrne Workshop on Stochastic Analysis for Finance and Insurance, June 6-10, 2016

Preprints:

• Model Uncertainty, Recalibration, and the Emergence of Delta-Vega Hedging, with Sebastian Herrmann, 2015. [SSRN]
• Optimal Rebalancing Frequencies for Multidimensional Portfolios, with Ibrahim Ekren and Ren Liu, 2015. [arXiv | SSRN]
• Information and Inventories in High-Frequency Trading, with Kevin Webster, 2015. [SSRN]
• Sensitivity of Optimal Consumption Streams, with Martin Herdegen, 2015. [SSRN]
• High-Resilience Limits of Block-Shaped Order Books, with Jan Kallsen, 2014. [arXiv | SSRN]
• Who Should Sell Stocks?, with Paolo Guasoni and Ren Liu, 2014. [SSRN | Video]
• Rebalancing with Linear and Quadratic Costs, with Ren Liu and Marko Weber, 2014. [arXiv | SSRN]
• Portfolio Choice with Stochastic Investment Opportunities: a User's Guide, with Ren Liu, 2013. [arXiv]

Publications:

• Hedging with Small Uncertainty Aversion, with Sebastian Herrmann and with Frank Seifried, Finance and Stochastics, to appear. [SSRN]
• The General Structure of Optimal Investment and Consumption with Small Transaction Costs, with Jan Kallsen, Mathematical Finance, to appear. [arXiv | SSRN]
• Trading with Small Price Impact, with Ludovic Moreau and H. Mete Soner, Mathematical Finance, to appear. [Article | arXiv | SSRN | Video]
• Robust Portfolios and Weak Incentives in Long Run Investments, with Paolo Guasoni and Hao Xing, Mathematical Finance, to appear. [Article | arXiv | SSRN]
• Liquidation with Self-Exciting Price Impact, with Thomas Cayé, Mathematics and Financial Economics, Vol. 10 (2016), No.1, pp. 15-28. [Article | SSRN]
• Long Horizons, High Risk Aversion, and Endogeneous Spreads, with Paolo Guasoni, Mathematical Finance, Vol. 25 (2015), No. 4, 724-753. [Article | arXiv | SSRN]
• Option Pricing and Hedging with Small Transaction Costs, with Jan Kallsen, Mathematical Finance, Vol. 25 (2015), No. 4, pp. 702-723. [Article | arXiv | SSRN]
• Optimal Liquidity Provision, with Christoph Kühn, Stochastic Processes and their Applications, Vol. 125 (2015), No. 7, pp. 2493-2515. [Article | arXiv | SSRN]
• Asymptotics for Fixed Transaction Costs, with Albert Altarovici and H. Mete Soner, Finance and Stochastics, Vol. 19 (2015), No. 2, pp. 363-414. [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. 258-277. [Article | arXiv]
• Asymptotic Power Utility-Based Pricing and Hedging, with Jan Kallsen and Richard Vierthauer, Mathematics and Financial Economics, Vol. 8 (2014), No. 1, pp. 1-28. [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. 1-37. [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. 801-818. [Article | arXiv]
• Portfolio Choice with Transaction Costs: a User's Guide, with Paolo Guasoni, In V. Henderson and R. Sircar, editors, Paris-Princeton 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. 1173-1184. [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. 203-227. [Article | arXiv]
• The Dual Optimizer for the Growth-Optimal Portfolio under Transaction Costs, with Stefan Gerhold and Walter Schachermayer, Finance and Stochastics, Vol. 17 (2013), No. 2, pp. 325-354. [Article | arXiv]
• Asymptotic and Exact Pricing of Options on Variance, with Martin Keller-Ressel, Finance and Stochastics, Vol. 17 (2013), No. 1, pp. 107-133. [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. 5-6, pp. 625-641. [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. 1-13. [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. 66-94. [Article | arXiv | pdf]
• Small-Time Asymptotics of Option Prices and First Absolute Moments, with Marcel Nutz, Journal of Applied Probability, Vol. 48 (2011), No. 4, pp. 1003-1020. [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. 627-641. [Article | pdf]
• Method of Moment Estimation for Time-Changed Lévy Models, with Jan Kallsen, Statistics and Decisions, Vol. 28 (2011), No. 2, pp. 169-194. [Article | pdf]
• Existence of Shadow Prices in Finite Probability Spaces, with Jan Kallsen, Mathematical Methods of Operations Research, Vol. 73 (2011), No. 2, pp. 251-262. [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. 568-582. [Article | arXiv]
• Utility Maximization in Models with Conditionally Independent Increments, with Jan Kallsen, The Annals of Applied Probability, Vol. 20 (2010), No. 6, pp. 2162-2177. [Article | pdf]
• Discrete-Time Variance-Optimal 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. 375-394. [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. 1341-1358. [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. 459-477. [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. 163-181. [Article | pdf]

Theses:

• On Utility-Based Investment, Pricing and Hedging in Incomplete Markets, Ph.D. Thesis, TU München, 2009. Directed by Jan Kallsen. [pdf] Awarded the Förderpreis of the Fachgruppe Stochastik of the German Mathematical Society in 2010, and the inaugural Nicola Bruti Liberati Prize of the Bachelier Finance Society in 2012.
• Portfoliooptimierung in Modellen mit stochastischer Volatilität, Diploma Thesis, TU München, 2006. Directed by Jan Kallsen. Awarded a Hauptpreis at the student conference of the German Mathematical Society in 2007.

Last modification: October 21, 2016
(Johannes Muhle-Karbe)