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 2 410 0 0 2 1,816
Consistent price systems and arbitrage opportunities of the second kind in models with transaction costs 0 0 0 0 0 0 0 24
From Stochastic Calculus to Mathematical Finance. The Shiryaev Festschrift 0 0 0 0 0 0 0 15
Louis Bachelier On the centenary of Théorie de la Spéculation 0 0 1 179 0 1 8 553
Markets with Transaction Costs. Mathematical Theory 0 0 0 0 0 0 1 32
Mean square error for the Leland-Lott hedging strategy 0 0 0 0 0 0 0 18
Mean square error for the Leland-Lott hedging strategy: convex pay-offs 0 0 0 0 0 0 1 14
No arbitrage of the first kind and local martingale numéraires 0 0 0 1 0 0 0 19
On Leland's Strategy of Option Pricing with Transaction Costs 0 0 0 64 1 1 3 383
Optional decomposition and lagrange multipliers 0 0 1 14 3 3 4 128
Towards a General Theory of Bond Markets 0 0 2 751 0 1 5 2,095
Total Working Papers 0 0 6 1,419 4 6 24 5,097

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 0 0 0 68
A positive interest rate model with sticky barrier 0 0 1 52 0 0 3 245
Asymptotic arbitrage in large financial markets 0 0 0 221 0 1 6 1,042
Bond Market Structure in the Presence of Marked Point Processes 1 2 9 61 2 5 16 147
Consistent price systems and arbitrage opportunities of the second kind in models with transaction costs 0 0 0 6 0 0 2 53
Consumption-investment problem with transaction costs for Lévy-driven price processes 0 0 0 4 0 0 1 42
Editorial 0 0 0 4 0 0 0 29
Essential supremum and essential maximum with respect to random preference relations 0 0 0 8 0 1 1 41
Essential supremum with respect to a random partial order 0 0 0 6 0 0 0 34
Hedging and liquidation under transaction costs in currency markets 0 3 7 284 0 4 12 781
Hedging of American options under transaction costs 0 0 0 35 0 0 0 113
Hedging under Transaction Costs in Currency Markets: a Continuous‐Time Model 0 0 0 18 0 1 1 65
Hedging under Transaction Costs in Currency Markets: a Discrete‐Time Model 0 0 3 41 0 0 4 103
In discrete time a local martingale is a martingale under an equivalent probability measure 0 0 1 129 0 0 2 385
In the insurance business risky investments are dangerous 0 0 0 141 1 1 2 599
Louis Bachelier on the Centenary of Théorie de la Spéculation 1 1 2 79 1 3 8 415
Mean square error for the Leland–Lott hedging strategy: convex pay-offs 0 0 0 7 0 0 1 74
No arbitrage of the first kind and local martingale numéraires 0 0 0 8 0 1 1 44
No-arbitrage criteria for financial markets with efficient friction 0 0 0 106 0 0 1 470
No-arbitrage criteria for financial markets with transaction costs and incomplete information 0 0 0 27 0 0 0 90
On Leland's strategy of option pricing with transactions costs 0 0 1 325 0 0 2 958
On a multi-asset version of the Kusuoka limit theorem of option superreplication under transaction costs 0 0 1 5 0 0 4 22
On the law of one price 0 0 0 34 1 1 2 96
On the optimal portfolio for the exponential utility maximization: remarks to the six‐author paper 1 1 2 64 1 1 2 148
Option pricing by large risk aversion utility¶under transaction costs 0 0 0 0 0 0 0 17
Optional decomposition and Lagrange multipliers 0 0 0 197 0 0 1 1,119
Ruin probabilities for a Lévy-driven generalised Ornstein–Uhlenbeck process 1 1 1 5 1 1 2 20
Ruin probabilities for a Sparre Andersen model with investments 0 0 2 2 0 0 3 5
Small transaction costs, absence of arbitrage and consistent price systems 0 0 0 10 0 0 0 41
The Harrison-Pliska arbitrage pricing theorem under transaction costs 0 0 1 323 0 1 9 1,018
Towards a general theory of bond markets (*) 0 0 1 524 0 1 3 1,668
Total Journal Articles 4 8 32 2,743 7 22 89 9,952

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 0 16
Total Chapters 0 0 0 3 0 0 0 16

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Statistics updated 2023-05-07