Details about Юрий Михайлович Кабанов (Yuri Kabanov)

Access statistics for papers by Юрий Михайлович Кабанов.

Last updated 2018-03-09. Update your information in the RePEc Author Service.

Short-id: pka521

Working Papers

2016

1. No arbitrage of the first kind and local martingale numéraires
   LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (7)
   See also Journal Article in Finance and Stochastics (2016)

2011

2. Consistent price systems and arbitrage opportunities of the second kind in models with transaction costs
   Post-Print, HAL View citations (3)
   See also Journal Article in Finance and Stochastics (2012)

2010

3. Mean square error for the Leland-Lott hedging strategy: convex pay-offs
   Post-Print, HAL View citations (6)
   See also Journal Article in Finance and Stochastics (2010)

2009

4. Hedging of American options under transaction costs
   Post-Print, HAL View citations (2)
   See also Journal Article in Finance and Stochastics (2009)
5. Markets with Transaction Costs. Mathematical Theory
   Post-Print, HAL View citations (49)

2008

6. Mean square error for the Leland-Lott hedging strategy
   Post-Print, HAL
   See also Chapter (2009)

2006

7. From Stochastic Calculus to Mathematical Finance. The Shiryaev Festschrift
   Post-Print, HAL View citations (2)

2000

8. Louis Bachelier On the centenary of Théorie de la Spéculation
   Post-Print, HAL View citations (8)
   See also Journal Article in Mathematical Finance (2000)

1997

9. Optional decomposition and lagrange multipliers
   SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (6)
   See also Journal Article in Finance and Stochastics (1997)

1996

10. Towards a General Theory of Bond Markets
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (4)
    See also Journal Article in Finance and Stochastics (1997)

1995

11. Bond markets where prices are driven by a general marked point process
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (2)
12. On Leland's Strategy of Option Pricing with Transaction Costs
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (2)
    See also Journal Article in Finance and Stochastics (1997)

Journal Articles

2016

1. Consumption-investment problem with transaction costs for Lévy-driven price processes
   Finance and Stochastics, 2016, 20, (3), 705-740
2. No arbitrage of the first kind and local martingale numéraires
   Finance and Stochastics, 2016, 20, (4), 1097-1108 View citations (7)
   See also Working Paper (2016)

2013

3. Essential supremum and essential maximum with respect to random preference relations
   Journal of Mathematical Economics, 2013, 49, (6), 488-495 View citations (3)
4. Essential supremum with respect to a random partial order
   Journal of Mathematical Economics, 2013, 49, (6), 478-487 View citations (4)

2012

5. Consistent price systems and arbitrage opportunities of the second kind in models with transaction costs
   Finance and Stochastics, 2012, 16, (1), 135-154 View citations (8)
   See also Working Paper (2011)
6. Small transaction costs, absence of arbitrage and consistent price systems
   Finance and Stochastics, 2012, 16, (3), 357-368 View citations (2)

2010

7. Mean square error for the Leland–Lott hedging strategy: convex pay-offs
   Finance and Stochastics, 2010, 14, (4), 625-667 View citations (13)
   See also Working Paper (2010)

2009

8. Hedging of American options under transaction costs
   Finance and Stochastics, 2009, 13, (1), 105-119 View citations (8)
   See also Working Paper (2009)

2008

9. In discrete time a local martingale is a martingale under an equivalent probability measure
   Finance and Stochastics, 2008, 12, (3), 293-297 View citations (4)

2007

10. A positive interest rate model with sticky barrier
    Quantitative Finance, 2007, 7, (3), 269-284 View citations (1)
11. No-arbitrage criteria for financial markets with transaction costs and incomplete information
    Finance and Stochastics, 2007, 11, (2), 237-251 View citations (4)

2004

12. A geometric approach to portfolio optimization in models with transaction costs
    Finance and Stochastics, 2004, 8, (2), 207-227 View citations (4)
13. Editorial
    Finance and Stochastics, 2004, 8, (1), 1-2
14. On the law of one price
    Finance and Stochastics, 2004, 8, (4), 525-530 View citations (3)

2002

15. Hedging under Transaction Costs in Currency Markets: a Continuous‐Time Model
    Mathematical Finance, 2002, 12, (1), 63-70 View citations (18)
16. Hedging under Transaction Costs in Currency Markets: a Discrete‐Time Model
    Mathematical Finance, 2002, 12, (1), 45-61 View citations (12)
17. In the insurance business risky investments are dangerous
    Finance and Stochastics, 2002, 6, (2), 227-235 View citations (24)
18. No-arbitrage criteria for financial markets with efficient friction
    Finance and Stochastics, 2002, 6, (3), 371-382 View citations (32)
19. On the optimal portfolio for the exponential utility maximization: remarks to the six‐author paper
    Mathematical Finance, 2002, 12, (2), 125-134 View citations (31)

2001

20. Option pricing by large risk aversion utility¶under transaction costs
    Decisions in Economics and Finance, 2001, 24, (2), 127-136 View citations (5)
21. The Harrison-Pliska arbitrage pricing theorem under transaction costs
    Journal of Mathematical Economics, 2001, 35, (2), 185-196 View citations (18)

2000

22. Louis Bachelier on the Centenary of Théorie de la Spéculation
    Mathematical Finance, 2000, 10, (3), 339-353 View citations (14)
    See also Working Paper (2000)

1999

23. Hedging and liquidation under transaction costs in currency markets
    Finance and Stochastics, 1999, 3, (2), 237-248 View citations (107)

1998

24. Asymptotic arbitrage in large financial markets
    Finance and Stochastics, 1998, 2, (2), 143-172 View citations (43)

1997

25. Bond Market Structure in the Presence of Marked Point Processes
    Mathematical Finance, 1997, 7, (2), 211-239 View citations (101)
26. On Leland's strategy of option pricing with transactions costs
    Finance and Stochastics, 1997, 1, (3), 239-250 View citations (21)
    See also Working Paper (1995)
27. Optional decomposition and Lagrange multipliers
    Finance and Stochastics, 1997, 2, (1), 69-81 View citations (8)
    See also Working Paper (1997)
28. Towards a general theory of bond markets (*)
    Finance and Stochastics, 1997, 1, (2), 141-174 View citations (11)
    See also Working Paper (1996)

Chapters

2009

1. Mean Square Error for the Leland–Lott Hedging Strategy
   Chapter 1 in Recent Advances In Financial Engineering, 2009, pp 1-25
   See also Working Paper (2008)