Access Statistics for Юрий Михайлович Кабанов (Yuri Kabanov)

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Bond markets where prices are driven by a general marked point process 0 0 1 411 0 0 1 1,817
Consistent price systems and arbitrage opportunities of the second kind in models with transaction costs 0 0 0 0 0 0 1 25
From Stochastic Calculus to Mathematical Finance. The Shiryaev Festschrift 0 0 0 0 0 0 4 20
Louis Bachelier On the centenary of Théorie de la Spéculation 0 0 1 183 0 0 6 567
Markets with Transaction Costs. Mathematical Theory 0 0 0 0 1 1 3 37
Mean square error for the Leland-Lott hedging strategy 0 0 0 0 0 0 0 18
Mean square error for the Leland-Lott hedging strategy: convex pay-offs 0 0 0 0 0 1 3 17
No arbitrage of the first kind and local martingale numéraires 0 0 0 1 0 1 1 21
On Leland's Strategy of Option Pricing with Transaction Costs 0 0 0 64 0 0 3 387
Optional decomposition and lagrange multipliers 0 0 0 14 0 1 1 129
Towards a General Theory of Bond Markets 0 0 1 753 0 1 4 2,103
Total Working Papers 0 0 3 1,426 1 5 27 5,141

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A geometric approach to portfolio optimization in models with transaction costs 0 0 0 17 2 2 4 74
A positive interest rate model with sticky barrier 0 0 2 55 1 1 3 252
Asymptotic arbitrage in large financial markets 0 1 1 224 0 1 3 1,047
Bond Market Structure in the Presence of Marked Point Processes 0 2 5 74 0 3 9 168
Consistent price systems and arbitrage opportunities of the second kind in models with transaction costs 0 0 0 6 0 0 1 54
Consumption-investment problem with transaction costs for Lévy-driven price processes 0 0 1 5 1 2 3 45
Editorial 0 0 0 4 0 0 0 29
Essential supremum and essential maximum with respect to random preference relations 0 0 0 8 0 0 1 45
Essential supremum with respect to a random partial order 0 0 1 7 0 0 2 39
Hedging and liquidation under transaction costs in currency markets 0 1 1 286 0 1 4 788
Hedging of American options under transaction costs 0 0 0 35 0 0 0 113
Hedging under Transaction Costs in Currency Markets: a Continuous‐Time Model 0 0 1 19 0 0 2 67
Hedging under Transaction Costs in Currency Markets: a Discrete‐Time Model 0 0 0 41 1 1 1 105
In discrete time a local martingale is a martingale under an equivalent probability measure 0 0 0 129 0 0 3 389
In the insurance business risky investments are dangerous 0 0 0 144 0 1 2 606
Louis Bachelier on the Centenary of Théorie de la Spéculation 0 0 2 84 2 3 10 439
Mean square error for the Leland–Lott hedging strategy: convex pay-offs 0 0 0 7 0 0 3 77
No arbitrage of the first kind and local martingale numéraires 0 0 0 8 0 0 1 45
No-arbitrage criteria for financial markets with efficient friction 0 0 0 107 0 0 1 472
No-arbitrage criteria for financial markets with transaction costs and incomplete information 0 0 0 27 0 0 0 90
On Leland's strategy of option pricing with transactions costs 0 0 0 326 0 0 2 963
On a multi-asset version of the Kusuoka limit theorem of option superreplication under transaction costs 0 0 1 7 1 1 3 26
On the law of one price 0 1 1 35 0 1 3 99
On the optimal portfolio for the exponential utility maximization: remarks to the six‐author paper 0 0 1 65 0 0 5 155
Option pricing by large risk aversion utility¶under transaction costs 0 0 0 0 1 1 1 18
Optional decomposition and Lagrange multipliers 0 0 0 197 0 0 2 1,121
Ruin probabilities for a Lévy-driven generalised Ornstein–Uhlenbeck process 0 0 1 6 0 0 1 21
Ruin probabilities for a Sparre Andersen model with investments 0 0 0 4 1 1 2 11
Small transaction costs, absence of arbitrage and consistent price systems 0 0 0 10 0 0 2 43
The Harrison-Pliska arbitrage pricing theorem under transaction costs 0 0 1 326 1 2 6 1,030
Towards a general theory of bond markets (*) 0 0 1 525 1 2 3 1,672
Total Journal Articles 0 5 20 2,788 12 23 83 10,103

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Mean Square Error for the Leland–Lott Hedging Strategy 0 0 0 3 1 1 1 17
Total Chapters 0 0 0 3 1 1 1 17

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Statistics updated 2025-03-03