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
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Working Papers
2016
- 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
- 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
- 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
- Hedging of American options under transaction costs
Post-Print, HAL View citations (2)
See also Journal Article in Finance and Stochastics (2009)
- Markets with Transaction Costs. Mathematical Theory
Post-Print, HAL View citations (49)
2008
- Mean square error for the Leland-Lott hedging strategy
Post-Print, HAL
See also Chapter (2009)
2006
- From Stochastic Calculus to Mathematical Finance. The Shiryaev Festschrift
Post-Print, HAL View citations (2)
2000
- 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
- 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
- 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
- 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)
- 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
- Consumption-investment problem with transaction costs for Lévy-driven price processes
Finance and Stochastics, 2016, 20, (3), 705-740
- 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
- Essential supremum and essential maximum with respect to random preference relations
Journal of Mathematical Economics, 2013, 49, (6), 488-495 View citations (3)
- Essential supremum with respect to a random partial order
Journal of Mathematical Economics, 2013, 49, (6), 478-487 View citations (4)
2012
- 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)
- Small transaction costs, absence of arbitrage and consistent price systems
Finance and Stochastics, 2012, 16, (3), 357-368 View citations (2)
2010
- 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
- Hedging of American options under transaction costs
Finance and Stochastics, 2009, 13, (1), 105-119 View citations (8)
See also Working Paper (2009)
2008
- 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
- A positive interest rate model with sticky barrier
Quantitative Finance, 2007, 7, (3), 269-284 View citations (1)
- No-arbitrage criteria for financial markets with transaction costs and incomplete information
Finance and Stochastics, 2007, 11, (2), 237-251 View citations (4)
2004
- A geometric approach to portfolio optimization in models with transaction costs
Finance and Stochastics, 2004, 8, (2), 207-227 View citations (4)
- Editorial
Finance and Stochastics, 2004, 8, (1), 1-2
- On the law of one price
Finance and Stochastics, 2004, 8, (4), 525-530 View citations (3)
2002
- Hedging under Transaction Costs in Currency Markets: a Continuous‐Time Model
Mathematical Finance, 2002, 12, (1), 63-70 View citations (18)
- Hedging under Transaction Costs in Currency Markets: a Discrete‐Time Model
Mathematical Finance, 2002, 12, (1), 45-61 View citations (12)
- In the insurance business risky investments are dangerous
Finance and Stochastics, 2002, 6, (2), 227-235 View citations (24)
- No-arbitrage criteria for financial markets with efficient friction
Finance and Stochastics, 2002, 6, (3), 371-382 View citations (32)
- 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
- Option pricing by large risk aversion utility¶under transaction costs
Decisions in Economics and Finance, 2001, 24, (2), 127-136 View citations (5)
- The Harrison-Pliska arbitrage pricing theorem under transaction costs
Journal of Mathematical Economics, 2001, 35, (2), 185-196 View citations (18)
2000
- 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
- Hedging and liquidation under transaction costs in currency markets
Finance and Stochastics, 1999, 3, (2), 237-248 View citations (107)
1998
- Asymptotic arbitrage in large financial markets
Finance and Stochastics, 1998, 2, (2), 143-172 View citations (43)
1997
- Bond Market Structure in the Presence of Marked Point Processes
Mathematical Finance, 1997, 7, (2), 211-239 View citations (101)
- 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)
- Optional decomposition and Lagrange multipliers
Finance and Stochastics, 1997, 2, (1), 69-81 View citations (8)
See also Working Paper (1997)
- 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
- 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)
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