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 2 4 6 1,823
Consistent price systems and arbitrage opportunities of the second kind in models with transaction costs 0 0 0 0 1 3 3 28
From Stochastic Calculus to Mathematical Finance. The Shiryaev Festschrift 0 0 0 0 2 3 5 25
Louis Bachelier On the centenary of Théorie de la Spéculation 0 0 0 183 8 10 15 582
Markets with Transaction Costs. Mathematical Theory 0 0 0 0 1 1 2 38
Mean square error for the Leland-Lott hedging strategy 0 0 0 0 0 0 1 19
Mean square error for the Leland-Lott hedging strategy: convex pay-offs 0 0 0 0 0 0 1 17
No arbitrage of the first kind and local martingale numéraires 0 0 0 1 0 1 2 23
On Leland's Strategy of Option Pricing with Transaction Costs 0 0 0 64 0 0 0 387
Optional decomposition and lagrange multipliers 0 0 0 14 3 3 5 133
Towards a General Theory of Bond Markets 0 0 1 754 1 1 3 2,105
Total Working Papers 0 0 1 1,427 18 26 43 5,180

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 76
A positive interest rate model with sticky barrier 0 0 0 55 3 3 5 256
Asymptotic arbitrage in large financial markets 0 2 3 226 0 4 5 1,051
Bond Market Structure in the Presence of Marked Point Processes 1 2 2 76 2 5 7 175
Consistent price systems and arbitrage opportunities of the second kind in models with transaction costs 0 0 0 6 0 1 1 55
Consumption-investment problem with transaction costs for Lévy-driven price processes 0 0 0 5 2 2 5 48
Editorial 0 0 0 4 2 3 3 32
Essential supremum and essential maximum with respect to random preference relations 0 0 0 8 1 3 4 49
Essential supremum with respect to a random partial order 0 0 0 7 0 0 1 40
Hedging and liquidation under transaction costs in currency markets 1 3 6 291 6 9 13 800
Hedging of American options under transaction costs 0 0 0 35 1 1 2 115
Hedging under Transaction Costs in Currency Markets: a Continuous‐Time Model 0 0 1 20 0 1 2 69
Hedging under Transaction Costs in Currency Markets: a Discrete‐Time Model 0 0 0 41 1 2 3 107
In discrete time a local martingale is a martingale under an equivalent probability measure 0 0 0 129 3 5 5 394
In the insurance business risky investments are dangerous 0 0 0 144 2 2 5 610
Louis Bachelier on the Centenary of Théorie de la Spéculation 0 0 1 85 7 11 19 456
Mean square error for the Leland–Lott hedging strategy: convex pay-offs 0 0 0 7 0 2 2 79
No arbitrage of the first kind and local martingale numéraires 0 0 0 8 1 4 5 50
No-arbitrage criteria for financial markets with efficient friction 0 0 0 107 0 7 7 479
No-arbitrage criteria for financial markets with transaction costs and incomplete information 0 0 0 27 0 0 3 93
On Leland's strategy of option pricing with transactions costs 0 1 1 327 1 3 3 966
On a multi-asset version of the Kusuoka limit theorem of option superreplication under transaction costs 0 0 0 7 1 5 7 32
On the law of one price 0 0 0 35 2 3 3 102
On the optimal portfolio for the exponential utility maximization: remarks to the six‐author paper 0 0 0 65 4 7 12 167
Option pricing by large risk aversion utility¶under transaction costs 0 0 0 0 1 1 4 21
Optional decomposition and Lagrange multipliers 0 0 0 197 1 1 1 1,122
Ruin probabilities for a Lévy-driven generalised Ornstein–Uhlenbeck process 0 0 0 6 0 1 8 29
Ruin probabilities for a Sparre Andersen model with investments 0 0 1 5 2 2 7 17
Small transaction costs, absence of arbitrage and consistent price systems 0 0 0 10 2 3 4 47
The Harrison-Pliska arbitrage pricing theorem under transaction costs 0 0 0 326 0 3 7 1,035
Towards a general theory of bond markets (*) 0 0 0 525 1 4 7 1,678
Total Journal Articles 2 8 15 2,801 48 100 164 10,250

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 0 2 18
Total Chapters 0 0 0 3 0 0 2 18

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Statistics updated 2026-01-09