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 0 1 18 1,836
Consistent price systems and arbitrage opportunities of the second kind in models with transaction costs 0 0 0 0 1 1 4 29
From Stochastic Calculus to Mathematical Finance. The Shiryaev Festschrift 0 0 0 0 0 0 5 27
Louis Bachelier On the centenary of Théorie de la Spéculation 0 0 1 184 1 1 30 602
Markets with Transaction Costs. Mathematical Theory 0 0 0 0 0 0 5 42
Mean square error for the Leland-Lott hedging strategy 0 0 0 0 0 0 3 22
Mean square error for the Leland-Lott hedging strategy: convex pay-offs 0 0 0 0 0 0 5 22
No arbitrage of the first kind and local martingale numéraires 0 0 0 1 0 0 6 27
On Leland's Strategy of Option Pricing with Transaction Costs 0 0 0 64 0 4 9 396
Optional decomposition and lagrange multipliers 0 0 0 14 0 3 17 146
Towards a General Theory of Bond Markets 0 0 1 754 0 0 7 2,110
Total Working Papers 0 0 2 1,428 2 10 109 5,259

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 1 2 19 1 2 10 84
A positive interest rate model with sticky barrier 0 0 0 55 0 0 10 262
Asymptotic arbitrage in large financial markets 0 0 2 226 0 2 14 1,061
Bond Market Structure in the Presence of Marked Point Processes 0 0 2 76 1 3 11 181
Consistent price systems and arbitrage opportunities of the second kind in models with transaction costs 0 0 0 6 0 2 7 61
Consumption-investment problem with transaction costs for Lévy-driven price processes 0 0 1 6 0 0 7 53
Editorial 0 0 0 4 0 0 9 38
Essential supremum and essential maximum with respect to random preference relations 0 0 0 8 0 1 11 57
Essential supremum with respect to a random partial order 0 0 0 7 0 0 9 49
Hedging and liquidation under transaction costs in currency markets 0 1 5 293 0 3 17 808
Hedging of American options under transaction costs 0 0 0 35 1 1 9 122
Hedging under Transaction Costs in Currency Markets: a Continuous‐Time Model 0 0 1 21 1 2 10 78
Hedging under Transaction Costs in Currency Markets: a Discrete‐Time Model 1 1 1 42 1 1 14 119
In discrete time a local martingale is a martingale under an equivalent probability measure 0 0 0 129 0 1 11 400
In the insurance business risky investments are dangerous 0 0 0 144 1 1 9 616
Louis Bachelier on the Centenary of Théorie de la Spéculation 0 0 2 86 1 13 86 527
Mean square error for the Leland–Lott hedging strategy: convex pay-offs 0 0 0 7 0 1 7 84
No arbitrage of the first kind and local martingale numéraires 0 1 1 9 0 1 15 61
No-arbitrage criteria for financial markets with efficient friction 0 0 0 107 0 2 16 488
No-arbitrage criteria for financial markets with transaction costs and incomplete information 0 0 0 27 0 0 6 96
On Leland's strategy of option pricing with transactions costs 0 1 2 328 1 2 11 974
On a multi-asset version of the Kusuoka limit theorem of option superreplication under transaction costs 0 0 0 7 0 1 16 42
On the law of one price 0 0 0 35 1 1 7 106
On the optimal portfolio for the exponential utility maximization: remarks to the six‐author paper 0 0 0 65 0 1 17 173
Option pricing by large risk aversion utility¶under transaction costs 0 0 0 0 0 0 6 26
Optional decomposition and Lagrange multipliers 0 0 0 197 0 2 4 1,125
Ruin probabilities for a Lévy-driven generalised Ornstein–Uhlenbeck process 0 0 0 6 0 0 13 40
Ruin probabilities for a Sparre Andersen model with investments 0 0 1 5 0 1 17 29
Small transaction costs, absence of arbitrage and consistent price systems 0 0 0 10 1 1 13 57
The Harrison-Pliska arbitrage pricing theorem under transaction costs 0 0 1 327 2 3 12 1,043
Towards a general theory of bond markets (*) 0 0 0 525 0 1 9 1,683
Total Journal Articles 1 5 21 2,812 12 49 413 10,543

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 0 2 8 26
Total Chapters 0 0 0 3 0 2 8 26

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Statistics updated 2026-08-07