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 1 5 17 1,835
Consistent price systems and arbitrage opportunities of the second kind in models with transaction costs 0 0 0 0 0 0 3 28
From Stochastic Calculus to Mathematical Finance. The Shiryaev Festschrift 0 0 0 0 1 1 6 27
Louis Bachelier On the centenary of Théorie de la Spéculation 0 0 1 184 1 6 33 601
Markets with Transaction Costs. Mathematical Theory 0 0 0 0 1 2 5 42
Mean square error for the Leland-Lott hedging strategy 0 0 0 0 2 2 3 22
Mean square error for the Leland-Lott hedging strategy: convex pay-offs 0 0 0 0 3 4 5 22
No arbitrage of the first kind and local martingale numéraires 0 0 0 1 1 2 6 27
On Leland's Strategy of Option Pricing with Transaction Costs 0 0 0 64 1 2 5 392
Optional decomposition and lagrange multipliers 0 0 0 14 3 7 14 143
Towards a General Theory of Bond Markets 0 0 1 754 2 3 7 2,110
Total Working Papers 0 0 2 1,428 16 34 104 5,249

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 1 18 1 2 8 82
A positive interest rate model with sticky barrier 0 0 0 55 4 4 10 262
Asymptotic arbitrage in large financial markets 0 0 2 226 5 5 12 1,059
Bond Market Structure in the Presence of Marked Point Processes 0 0 2 76 1 2 10 178
Consistent price systems and arbitrage opportunities of the second kind in models with transaction costs 0 0 0 6 1 3 5 59
Consumption-investment problem with transaction costs for Lévy-driven price processes 0 1 1 6 2 3 7 53
Editorial 0 0 0 4 1 2 9 38
Essential supremum and essential maximum with respect to random preference relations 0 0 0 8 3 6 11 56
Essential supremum with respect to a random partial order 0 0 0 7 4 5 10 49
Hedging and liquidation under transaction costs in currency markets 0 1 5 292 1 4 16 805
Hedging of American options under transaction costs 0 0 0 35 0 2 8 121
Hedging under Transaction Costs in Currency Markets: a Continuous‐Time Model 1 1 2 21 3 6 9 76
Hedging under Transaction Costs in Currency Markets: a Discrete‐Time Model 0 0 0 41 1 1 13 118
In discrete time a local martingale is a martingale under an equivalent probability measure 0 0 0 129 1 2 10 399
In the insurance business risky investments are dangerous 0 0 0 144 1 3 9 615
Louis Bachelier on the Centenary of Théorie de la Spéculation 0 0 2 86 20 28 74 514
Mean square error for the Leland–Lott hedging strategy: convex pay-offs 0 0 0 7 2 2 6 83
No arbitrage of the first kind and local martingale numéraires 0 0 0 8 3 3 14 60
No-arbitrage criteria for financial markets with efficient friction 0 0 0 107 0 4 14 486
No-arbitrage criteria for financial markets with transaction costs and incomplete information 0 0 0 27 2 2 6 96
On Leland's strategy of option pricing with transactions costs 0 0 1 327 3 3 9 972
On a multi-asset version of the Kusuoka limit theorem of option superreplication under transaction costs 0 0 0 7 6 6 15 41
On the law of one price 0 0 0 35 1 1 6 105
On the optimal portfolio for the exponential utility maximization: remarks to the six‐author paper 0 0 0 65 0 0 16 172
Option pricing by large risk aversion utility¶under transaction costs 0 0 0 0 2 3 8 26
Optional decomposition and Lagrange multipliers 0 0 0 197 1 1 2 1,123
Ruin probabilities for a Lévy-driven generalised Ornstein–Uhlenbeck process 0 0 0 6 0 2 17 40
Ruin probabilities for a Sparre Andersen model with investments 0 0 1 5 2 4 17 28
Small transaction costs, absence of arbitrage and consistent price systems 0 0 0 10 1 3 13 56
The Harrison-Pliska arbitrage pricing theorem under transaction costs 0 1 1 327 0 3 9 1,040
Towards a general theory of bond markets (*) 0 0 0 525 3 3 10 1,682
Total Journal Articles 1 4 18 2,807 75 118 383 10,494

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 7 24
Total Chapters 0 0 0 3 3 3 7 24

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Statistics updated 2026-05-06