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 0 411 7 11 13 1,830
Consistent price systems and arbitrage opportunities of the second kind in models with transaction costs 0 0 0 0 0 1 3 28
From Stochastic Calculus to Mathematical Finance. The Shiryaev Festschrift 0 0 0 0 1 4 6 26
Louis Bachelier On the centenary of Théorie de la Spéculation 1 1 1 184 13 23 28 595
Markets with Transaction Costs. Mathematical Theory 0 0 0 0 2 3 4 40
Mean square error for the Leland-Lott hedging strategy 0 0 0 0 1 1 2 20
Mean square error for the Leland-Lott hedging strategy: convex pay-offs 0 0 0 0 1 1 1 18
No arbitrage of the first kind and local martingale numéraires 0 0 0 1 2 2 4 25
On Leland's Strategy of Option Pricing with Transaction Costs 0 0 0 64 3 3 3 390
Optional decomposition and lagrange multipliers 0 0 0 14 3 6 7 136
Towards a General Theory of Bond Markets 0 0 1 754 2 3 4 2,107
Total Working Papers 1 1 2 1,428 35 58 75 5,215

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 1 1 1 18 4 6 8 80
A positive interest rate model with sticky barrier 0 0 0 55 2 5 7 258
Asymptotic arbitrage in large financial markets 0 0 2 226 3 3 7 1,054
Bond Market Structure in the Presence of Marked Point Processes 0 1 2 76 1 4 8 176
Consistent price systems and arbitrage opportunities of the second kind in models with transaction costs 0 0 0 6 1 1 2 56
Consumption-investment problem with transaction costs for Lévy-driven price processes 0 0 0 5 2 4 6 50
Editorial 0 0 0 4 4 7 7 36
Essential supremum and essential maximum with respect to random preference relations 0 0 0 8 1 2 5 50
Essential supremum with respect to a random partial order 0 0 0 7 4 4 5 44
Hedging and liquidation under transaction costs in currency markets 0 3 5 291 1 9 13 801
Hedging of American options under transaction costs 0 0 0 35 4 5 6 119
Hedging under Transaction Costs in Currency Markets: a Continuous‐Time Model 0 0 1 20 1 1 3 70
Hedging under Transaction Costs in Currency Markets: a Discrete‐Time Model 0 0 0 41 10 11 13 117
In discrete time a local martingale is a martingale under an equivalent probability measure 0 0 0 129 3 7 8 397
In the insurance business risky investments are dangerous 0 0 0 144 2 4 6 612
Louis Bachelier on the Centenary of Théorie de la Spéculation 1 1 2 86 30 39 49 486
Mean square error for the Leland–Lott hedging strategy: convex pay-offs 0 0 0 7 2 3 4 81
No arbitrage of the first kind and local martingale numéraires 0 0 0 8 7 8 12 57
No-arbitrage criteria for financial markets with efficient friction 0 0 0 107 3 3 10 482
No-arbitrage criteria for financial markets with transaction costs and incomplete information 0 0 0 27 1 1 4 94
On Leland's strategy of option pricing with transactions costs 0 0 1 327 3 5 6 969
On a multi-asset version of the Kusuoka limit theorem of option superreplication under transaction costs 0 0 0 7 3 5 10 35
On the law of one price 0 0 0 35 2 4 5 104
On the optimal portfolio for the exponential utility maximization: remarks to the six‐author paper 0 0 0 65 5 12 17 172
Option pricing by large risk aversion utility¶under transaction costs 0 0 0 0 2 3 6 23
Optional decomposition and Lagrange multipliers 0 0 0 197 0 1 1 1,122
Ruin probabilities for a Lévy-driven generalised Ornstein–Uhlenbeck process 0 0 0 6 9 9 17 38
Ruin probabilities for a Sparre Andersen model with investments 0 0 1 5 7 9 14 24
Small transaction costs, absence of arbitrage and consistent price systems 0 0 0 10 6 8 10 53
The Harrison-Pliska arbitrage pricing theorem under transaction costs 0 0 0 326 2 4 8 1,037
Towards a general theory of bond markets (*) 0 0 0 525 1 2 8 1,679
Total Journal Articles 2 6 15 2,803 126 189 285 10,376

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 3 3 5 21
Total Chapters 0 0 0 3 3 3 5 21

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Statistics updated 2026-02-12