Publications and Preprints:

• Kühn, C.; Lorenz, C.
  Insider trading in discrete time Kyle games.
  Submitted for publication, revised version: July, 2024
  pdf-file
   
• Kühn, C.
  The fundamental theorem of asset pricing with and without transaction costs.
  Submitted for publication, revised version: August, 2024
  pdf-file
  Slides of a presentation, pdf-file
   
• Kühn, C.; Molitor, A. (2022)
  Semimartingale price systems in models with transaction costs beyond efficient friction.
  Finance and Stochastics, 26(4), 927-982.
  Article (open access)
   
• Kühn, C.; Molitor, A. (2019)
  Prospective strict no-arbitrage and the fundamental theorem of asset pricing under transaction costs.
  Finance and Stochastics, 23(4), 1049-1077.
  Article , pdf-file
   
• Kühn, C. (2019)
  How local in time is the no-arbitrage property under capital gains taxes?
  Mathematics and Financial Economics, 13(3), 329-358.
  Article , pdf-file
   
• Kentia, K.; Kühn, C. (2018)
  Nash equilibria for game contingent claims with utility-based hedging.
  SIAM Journal on Control and Optimization, 56(6), 3948-3972.
  Article , pdf-file
   
• Kühn, C. (2017)
  For what trading strategies is the tax payment stream of infinite variation?
  Stochastic Analysis and Applications, 35(2), 334-363.
  Article , pdf-file
   
• Kühn, C.; Surya, B.A.; Ulbricht, B. (2014)
  Optimal Selling Time of a Stock under Capital Gains Taxes.
  Submitted for publication.
  pdf-file
   
• Kühn, C.; Riedel, M. (2017)
  Price Setting of Market Makers: A Filtering Problem with Endogenous Filtration.
  Mathematical Finance, 27(1), 251-275.
  Article , pdf-file
   
• Kühn, C.; Ulbricht, B. (2015)
  Modeling capital gains taxes for trading strategies of infinite variation.
  Stochastic Analysis and Applications, 33(5), 792-822.
  Article , pdf-file
   
• Kühn, C.; Muhle-Karbe, J. (2015)
  Optimal Liquidity Provision.
  Stochastic Processes and their Applications, 125, 2493-2515.
  Article , pdf-file
   
• Kühn, C.; Stroh, M. (2013)
  Continuous time trading of a small investor in a limit order market.
  Stochastic Processes and their Applications, 123, 2011-2053.
  Article , pdf-file
   
• Kühn, C. (2012)
  Nonlinear stochastic integration with a non-smooth family of integrators.
  Stochastics, 84(1), 37-53.
  Article , pdf-file
   
• Kraft, H.; Kühn, C. (2011)
  Large Traders and Illiquid Options: Hedging vs. Manipulation.
  Journal of Economic Dynamics and Control, 35(11), 1898-1915.
  Article , SSRN
   
• Kühn, C.; Teusch, M. (2011)
  Optional processes with non-exploding realized power variation along stopping times are làglàd.
  Electronic Communications in Probability, 16, 1-8.
  Article
   
• Kühn, C.; Stroh, M. (2010)
  Optimal portfolios of a small investor in a limit order market: a shadow price approach.
  Mathematics and Financial Economics, 3(2), 45-72.
  Article , pdf-file
   
• Kühn, C.; Stroh, M. (2009)
  A note on stochastic integration with respect to optional semimartingales.
  Electronic Communications in Probability, 14, 192-201.
  Article
   
• Kühn, C.; van Schaik, K. (2008)
  Perpetual convertible bonds with credit risk.
  Stochastics, 80(6), 585 - 610.
  Article , pdf-file
   
• Griebsch, S.; Kühn, C.; Wystup, U. (2008)
  Instalment Options: A Closed-Form Solution and the Limiting Case.
  In: ``Mathematical Control Theory and Finance''.
  Edited by Sarychev, A., Shiryaev, A., Guerra, M., and Grossinho, M.R., Springer, 211-229.
  Article , pdf-file
   
• Kühn, C.; Kyprianou, A. (2007)
  Callable puts as composite exotic options.
  Mathematical Finance, 17(4), 487-502.
  Article
   
• Kühn, C.; Kyprianou, A., van Schaik, K. (2007)
  Pricing Israeli options: a pathwise approach.
  Stochastics, 79(1), 117-137.
  Article
   
• Kühn, C. (2006)
  Optimal investment in financial markets with different liquidity effects.
  Submitted for publication.
   
• Kallsen, J.; Kühn, C. (2006)
  On utility-based derivative pricing with and without intermediate trades.
  Statistics and Decisions, 24(4), 415-434.
  pdf-file
   
• Gapeev, P.V.; Kühn, C. (2005)
  Perpetual convertible bonds in jump-diffusion models.
  Statistics and Decisions, 23(1), 15-31.
  pdf-file
   
• Kallsen, J.; Kühn, C. (2005)
  Convertible bonds: financial derivatives of game type.
  In: Exotic Option Pricing and Advanced Lévy Models.
  Edited by Kyprianou, A., Schoutens, W., and Wilmott, P., Wiley, Chichester, 277-291.
   
• Kühn, C. (2004)
  Shot noise processes.
  Encyclopedia of Actuarial Science, Sundt, B. and Teugels, J. (Eds.), Wiley, Chichester, 1556-1558.
   
• Klüppelberg, C.; Kühn, C. (2004)
  Fractional Brownian motion as a weak limit of Poisson shot noise processes - with applications to finance.
  Stochastic Processes and their Applications, 113(2), 333-351
  Article
   
• Kallsen, J.; Kühn, C. (2004)
  Pricing Derivatives of American and Game Type in Incomplete Markets.
  Finance and Stochastics, 8(2), 261-284.
  Article
   
• Kühn, C. (2004)
  Game contingent claims in complete and incomplete markets.
  Journal of Mathematical Economics, 40, 889-902.
  Article
   
• Kühn, C. (2002)
  Pricing contingent claims in incomplete markets when the holder can choose among different payoffs.
  Insurance: Mathematics and Economics, 31(2), 215-233.
  Article
   
• Kühn, C.; Steinebach, J. (2002)
  On the estimation of change parameters based on weak invariance principles.
  Limit Theorems in Probability and Statistics II, I. Berkes, E. Csáki, M. Csörgö, eds., János Bolyai Math. Soc. Budapest, 237-260.
   
• Kühn, C. (2001)
  An estimator of the number of change points based on a weak invariance principle.
  Statistics and Probability Letters, 51(2), 189-196.
  Article
   

Popular Scientific Publication (in German):

• Kühn, C. (2008)
  Bulle und Bär -- Wie die Finanzmathematik Risiken bewertet
  pdf-file
  Forschung Frankfurt, 2/2008, 32-37.



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