Muhle-Karbe, Johannes; Nutz, Marcel A risk-neutral equilibrium leading to uncertain volatility pricing. (English) Zbl 1422.91716 Finance Stoch. 22, No. 2, 281-295 (2018). Reviewer: Claudio Fontana (Paris) MSC: 91G20 60G44 60H30 35Q91 PDFBibTeX XMLCite \textit{J. Muhle-Karbe} and \textit{M. Nutz}, Finance Stoch. 22, No. 2, 281--295 (2018; Zbl 1422.91716) Full Text: DOI arXiv
Herrmann, Sebastian; Muhle-Karbe, Johannes Model uncertainty, recalibration, and the emergence of delta-vega hedging. (English) Zbl 1390.91300 Finance Stoch. 21, No. 4, 873-930 (2017). Reviewer: Tamás Mátrai (Budapest) MSC: 91G20 91A15 91B16 93E20 PDFBibTeX XMLCite \textit{S. Herrmann} and \textit{J. Muhle-Karbe}, Finance Stoch. 21, No. 4, 873--930 (2017; Zbl 1390.91300) Full Text: DOI arXiv
Herrmann, Sebastian; Muhle-Karbe, Johannes; Seifried, Frank Thomas Hedging with small uncertainty aversion. (English) Zbl 1360.91141 Finance Stoch. 21, No. 1, 1-64 (2017). Reviewer: Gianluca Cassese (Milano) MSC: 91G20 91B16 93E20 PDFBibTeX XMLCite \textit{S. Herrmann} et al., Finance Stoch. 21, No. 1, 1--64 (2017; Zbl 1360.91141) Full Text: DOI arXiv
Kallsen, Jan; Muhle-Karbe, Johannes; Vierthauer, Richard Asymptotic power utility-based pricing and hedging. (English) Zbl 1308.91142 Math. Financ. Econ. 8, No. 1, 1-28 (2014). Reviewer: Aleksandr D. Borisenko (Kyïv) MSC: 91G10 91B08 91B16 60H10 60H30 60G51 PDFBibTeX XMLCite \textit{J. Kallsen} et al., Math. Financ. Econ. 8, No. 1, 1--28 (2014; Zbl 1308.91142) Full Text: DOI arXiv Link
Kallsen, Jan; Muhle-Karbe, Johannes Utility maximization in affine stochastic volatility models. (English) Zbl 1198.91192 Int. J. Theor. Appl. Finance 13, No. 3, 459-477 (2010). Reviewer: Vangelis Grigoroudis (Chania) MSC: 91G10 60G44 91B16 91G20 PDFBibTeX XMLCite \textit{J. Kallsen} and \textit{J. Muhle-Karbe}, Int. J. Theor. Appl. Finance 13, No. 3, 459--477 (2010; Zbl 1198.91192) Full Text: DOI arXiv
Kallsen, Jan; Muhle-Karbe, Johannes Exponentially affine martingales, affine measure changes and exponential moments of affine processes. (English) Zbl 1185.60045 Stochastic Processes Appl. 120, No. 2, 163-181 (2010). MSC: 60G44 60J25 60J75 PDFBibTeX XMLCite \textit{J. Kallsen} and \textit{J. Muhle-Karbe}, Stochastic Processes Appl. 120, No. 2, 163--181 (2010; Zbl 1185.60045) Full Text: DOI