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 5 405 0 0 9 1,807
Consistent price systems and arbitrage opportunities of the second kind in models with transaction costs 0 0 0 0 0 1 12 23
From Stochastic Calculus to Mathematical Finance. The Shiryaev Festschrift 0 0 0 0 0 1 3 8
Hedging of American options under transaction costs 0 0 0 0 0 0 1 7
Louis Bachelier On the centenary of Théorie de la Spéculation 0 1 3 162 3 8 27 496
Markets with Transaction Costs. Mathematical Theory 0 0 0 0 0 0 5 20
Mean square error for the Leland-Lott hedging strategy 0 0 0 0 0 1 6 15
Mean square error for the Leland-Lott hedging strategy: convex pay-offs 0 0 0 0 0 0 3 9
No arbitrage of the first kind and local martingale numéraires 0 0 0 0 0 0 3 12
On Leland's Strategy of Option Pricing with Transaction Costs 0 0 0 64 1 2 10 360
Optional decomposition and lagrange multipliers 0 0 0 13 0 0 5 121
Towards a General Theory of Bond Markets 0 0 1 744 1 3 5 2,071
Total Working Papers 0 1 9 1,388 5 16 89 4,949


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 16 0 0 1 64
A positive interest rate model with sticky barrier 0 0 2 51 0 0 3 238
Asymptotic arbitrage in large financial markets 0 0 0 219 0 0 2 1,024
Bond Market Structure in the Presence of Marked Point Processes 0 0 0 44 0 0 2 113
Consistent price systems and arbitrage opportunities of the second kind in models with transaction costs 0 0 0 6 0 1 4 47
Consumption-investment problem with transaction costs for Lévy-driven price processes 0 1 2 4 0 3 9 36
Editorial 0 0 0 4 0 0 0 26
Essential supremum and essential maximum with respect to random preference relations 0 0 0 8 1 2 3 36
Essential supremum with respect to a random partial order 0 0 0 6 0 0 3 32
Hedging and liquidation under transaction costs in currency markets 1 3 8 268 5 8 18 748
Hedging of American options under transaction costs 0 0 0 35 0 0 2 111
Hedging under Transaction Costs in Currency Markets: a Continuous‐Time Model 0 1 2 18 0 1 2 61
Hedging under Transaction Costs in Currency Markets: a Discrete‐Time Model 0 1 1 38 0 1 2 96
In discrete time a local martingale is a martingale under an equivalent probability measure 0 0 1 127 1 1 9 375
In the insurance business risky investments are dangerous 0 0 0 140 0 0 5 586
Louis Bachelier on the Centenary of Théorie de la Spéculation 0 0 2 76 0 1 11 396
Mean square error for the Leland–Lott hedging strategy: convex pay-offs 0 0 0 7 1 1 9 66
No arbitrage of the first kind and local martingale numéraires 0 0 2 6 0 2 12 37
No-arbitrage criteria for financial markets with efficient friction 0 1 1 104 0 1 2 463
No-arbitrage criteria for financial markets with transaction costs and incomplete information 0 0 0 27 0 1 2 89
On Leland's strategy of option pricing with transactions costs 0 0 1 323 0 1 7 951
On the law of one price 0 0 0 32 0 0 4 88
On the optimal portfolio for the exponential utility maximization: remarks to the six‐author paper 1 2 2 61 1 2 4 141
Option pricing by large risk aversion utility¶under transaction costs 0 0 0 0 0 1 4 15
Optional decomposition and Lagrange multipliers 0 0 1 197 0 0 5 1,115
Ruin probabilities for a Lévy-driven generalised Ornstein–Uhlenbeck process 0 0 3 3 0 2 10 10
Small transaction costs, absence of arbitrage and consistent price systems 0 0 0 10 0 0 0 39
The Harrison-Pliska arbitrage pricing theorem under transaction costs 1 2 3 321 1 3 9 998
Towards a general theory of bond markets (*) 0 0 0 523 0 0 1 1,660
Total Journal Articles 3 11 31 2,674 10 32 145 9,661


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 1 2 0 1 8 13
Total Chapters 0 0 1 2 0 1 8 13


Statistics updated 2020-09-04