EconPapers    
Economics at your fingertips  
 

Details about Юрий Михайлович Кабанов (Yuri Kabanov)

E-mail:
Homepage:http://ykabanov.perso.math.cnrs.fr/page_kabanov_perso.htm
Workplace:International Laboratory of Quantitative Finance, National Research University Higher School of Economics, (more information at EDIRC)

Access statistics for papers by Юрий Михайлович Кабанов.

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

Short-id: pka521


Jump to Journal Articles Chapters

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 Downloads View citations (7)
    See also Journal Article in Finance and Stochastics (2016)

2011

  1. 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

  1. 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

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

2008

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

2006

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

2000

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

1997

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

1996

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

1995

  1. 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 Downloads View citations (2)
  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

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

2013

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

2012

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

2010

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

2009

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

2008

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

2007

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

2004

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

2002

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

2001

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

2000

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

1999

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

1998

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

1997

  1. Bond Market Structure in the Presence of Marked Point Processes
    Mathematical Finance, 1997, 7, (2), 211-239 Downloads View citations (101)
  2. On Leland's strategy of option pricing with transactions costs
    Finance and Stochastics, 1997, 1, (3), 239-250 Downloads View citations (21)
    See also Working Paper (1995)
  3. Optional decomposition and Lagrange multipliers
    Finance and Stochastics, 1997, 2, (1), 69-81 Downloads View citations (8)
    See also Working Paper (1997)
  4. Towards a general theory of bond markets (*)
    Finance and Stochastics, 1997, 1, (2), 141-174 Downloads 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 Downloads
    See also Working Paper (2008)
 
Page updated 2019-12-03