Юрий Михайлович Кабанов : Citation Profile


Are you Юрий Михайлович Кабанов?

National Research University Higher School of Economics

13

H index

17

i10 index

617

Citations

RESEARCH PRODUCTION:

29

Articles

12

Papers

1

Chapters

RESEARCH ACTIVITY:

   25 years (1995 - 2020). See details.
   Cites by year: 24
   Journals where Юрий Михайлович Кабанов has often published
   Relations with other researchers
   Recent citing documents: 66.    Total self citations: 6 (0.96 %)

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   Permalink: http://citec.repec.org/pka521
   Updated: 2020-10-24    RAS profile: 2020-02-23    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Юрий Михайлович Кабанов.

Is cited by:

Lépinette, Emmanuel (15)

Platen, Eckhard (12)

Bayraktar, Erhan (11)

Nikitopoulos-Sklibosios, Christina (10)

Chiarella, Carl (10)

Riedel, Frank (10)

Jouini, Elyès (8)

Evstigneev, Igor (7)

Nguyen-Huu, Adrien (6)

Bjork, Tomas (5)

Pergamenshchikov, Sergey (5)

Cites to:

Jarrow, Robert (3)

Ok, Efe (2)

Jouini, Elyès (2)

Pergamenshchikov, Sergey (2)

Evren, Ozgur (2)

merton, robert (1)

Perraudin, William (1)

Kreps, David (1)

Framstad, Nils (1)

Cvitanic, Jaksa (1)

POLIMENIS, VASSILIS (1)

Main data


Where Юрий Михайлович Кабанов has published?


Journals with more than one article published# docs
Finance and Stochastics19
Mathematical Finance5
Journal of Mathematical Economics3

Working Papers Series with more than one paper published# docs
Post-Print / HAL7
SFB 373 Discussion Papers / Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes2

Recent works citing Юрий Михайлович Кабанов (2020 and 2019)


YearTitle of citing document
2019Approximate hedging with proportional transaction costs in stochastic volatility models with jumps. (2015). Pergamenschchikov, Serguei ; Nguyen, Thai Huu . In: Papers. RePEc:arx:papers:1505.02627.

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2020Risk Arbitrage and Hedging to Acceptability. (2016). Lépinette, Emmanuel ; Molchanov, Ilya. In: Papers. RePEc:arx:papers:1605.07884.

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2020Explicit description of all deflators for markets under random horizon. (2018). Yansori, Sina ; Choulli, Tahir. In: Papers. RePEc:arx:papers:1803.10128.

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2019Utility maximization with proportional transaction costs under model uncertainty. (2019). Yu, Xiang ; Tan, Xiaolu ; Deng, Shuoqing. In: Papers. RePEc:arx:papers:1805.06498.

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2019Pricing without martingale measure. (2019). L'Epinette, Emmanuel ; Carassus, Laurence ; Baptiste, Julien. In: Papers. RePEc:arx:papers:1807.04612.

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2020Scalar multivariate risk measures with a single eligible asset. (2019). Rudloff, Birgit ; Feinstein, Zachary. In: Papers. RePEc:arx:papers:1807.10694.

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2019Continuous-time Duality for Super-replication with Transient Price Impact. (2019). Dolinsky, Yan ; Bank, Peter. In: Papers. RePEc:arx:papers:1808.09807.

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2019On the quasi-sure superhedging duality with frictions. (2019). Bayraktar, Erhan ; Burzoni, Matteo. In: Papers. RePEc:arx:papers:1809.07516.

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2019Time consistency for scalar multivariate risk measures. (2019). Rudloff, Birgit ; Feinstein, Zachary. In: Papers. RePEc:arx:papers:1810.04978.

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2020Log-optimal portfolio and num\eraire portfolio under random horizon. (2018). Yansori, Sina ; Choulli, Tahir. In: Papers. RePEc:arx:papers:1810.12762.

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2020Fast mean-reversion asymptotics for large portfolios of stochastic volatility models. (2018). Kolliopoulos, Nikolaos. In: Papers. RePEc:arx:papers:1811.08808.

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2019Prospective strict no-arbitrage and the fundamental theorem of asset pricing under transaction costs. (2019). Molitor, Alexander ; Kuhn, Christoph. In: Papers. RePEc:arx:papers:1811.11621.

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2019Multivariate risk measures in the non-convex setting. (2019). Molchanov, Ilya ; Haier, Andreas . In: Papers. RePEc:arx:papers:1902.00766.

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2020Risk management with machine-learning-based algorithms. (2019). Warin, Xavier ; Mikael, Joseph ; Fecamp, Simon. In: Papers. RePEc:arx:papers:1902.05287.

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2019A convex duality approach for pricing contingent claims under partial information and short selling constraints. (2019). Dahl, Kristina Rognlien. In: Papers. RePEc:arx:papers:1902.10492.

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2019Behavioural investors in conic market models. (2019). Rasonyi, Miklos ; Chau, Huy N. In: Papers. RePEc:arx:papers:1903.08156.

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2020Risk-neutral pricing for APT. (2019). Rasonyi, Miklos ; Carassus, Laurence. In: Papers. RePEc:arx:papers:1904.11252.

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2019Fundamental Theorem of Asset Pricing under fixed and proportional transaction costs. (2019). Zastawniak, Tomasz ; Brown, Martin. In: Papers. RePEc:arx:papers:1905.01859.

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2019Stochastic PDEs for large portfolios with general mean-reverting volatility processes. (2019). Kolliopoulos, Nikolaos ; Hambly, Ben. In: Papers. RePEc:arx:papers:1906.05898.

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2019Existence of affine realizations for L\evy term structure models. (2019). Tappe, Stefan. In: Papers. RePEc:arx:papers:1907.02363.

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2019Existence of L\evy term structure models. (2019). Tappe, Stefan ; Filipovi, Damir. In: Papers. RePEc:arx:papers:1907.03561.

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2019Real-world forward rate dynamics with affine realizations. (2019). Platen, Eckhard ; Tappe, Stefan. In: Papers. RePEc:arx:papers:1907.05072.

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2020From small markets to big markets. (2019). Rasonyi, Miklos ; Carassus, Laurence. In: Papers. RePEc:arx:papers:1907.05593.

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2019Robust no arbitrage and the solvability of vector-valued utility maximization problems. (2019). Zhou, Zhou ; Rudloff, Birgit ; Hamel, Andreas H. In: Papers. RePEc:arx:papers:1909.00354.

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2019Optimal investment and contingent claim valuation with exponential disutility under proportional transaction costs. (2019). Xu, Zhikang ; Roux, Alet. In: Papers. RePEc:arx:papers:1909.06260.

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2019Robustness of Delta hedging in a jump-diffusion model. (2019). Stadje, Mitja ; Bosserhoff, Frank. In: Papers. RePEc:arx:papers:1910.08946.

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2020Asset Price Bubbles in market models with proportional transaction costs. (2019). Reitsam, Thomas ; Biagini, Francesca. In: Papers. RePEc:arx:papers:1911.10149.

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2020Hedging problems for Asian options with transactions costs. (2020). Shishkova, Alena ; Pergamenchtchikov, Serguei. In: Papers. RePEc:arx:papers:2001.01443.

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2020Semimartingale price systems in models with transaction costs beyond efficient friction. (2020). Molitor, Alexander ; Kuhn, Christoph. In: Papers. RePEc:arx:papers:2001.03190.

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2020A Knightian Irreversible Investment Problem. (2020). Riedel, Frank ; Li, Hanwu ; Ferrari, Giorgio. In: Papers. RePEc:arx:papers:2003.14359.

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2020The fundamental theorem of asset pricing for self-financing portfolios. (2020). Platen, Eckhard ; Tappe, Stefan. In: Papers. RePEc:arx:papers:2005.05575.

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2020Recipes for hedging exotics with illiquid vanillas. (2020). Gu, Olivier ; Fernandez-Tapia, Joaquin . In: Papers. RePEc:arx:papers:2005.10064.

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2020Existence of equivalent local martingale deflators in semimartingale market models. (2020). Platen, Eckhard ; Tappe, Stefan. In: Papers. RePEc:arx:papers:2006.01572.

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2020Duality for optimal consumption under no unbounded profit with bounded risk. (2020). Monoyios, Michael. In: Papers. RePEc:arx:papers:2006.04687.

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2020A pure-jump mean-reverting short rate model. (2020). Hess, Markus. In: Papers. RePEc:arx:papers:2006.14814.

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2020Arbitrage concepts under trading restrictions in discrete-time financial markets. (2020). Runggaldier, Wolfgang J ; Fontana, Claudio. In: Papers. RePEc:arx:papers:2006.15563.

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2020Dynamic Hedging using Generated Genetic Programming Implied Volatility Models. (2020). Abdelmalek, Wafa ; Abid, Fathi ; ben Hamida, Sana. In: Papers. RePEc:arx:papers:2006.16407.

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2020Infinite horizon utility maximisation from inter-temporal wealth. (2020). Monoyios, Michael. In: Papers. RePEc:arx:papers:2009.00972.

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2020Multi-utility representations of incomplete preferences induced by set-valued risk measures. (2020). Munari, Cosimo. In: Papers. RePEc:arx:papers:2009.04151.

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2019Nonzero-Sum Submodular Monotone-Follower Games. Existence and Approximation of Nash Equilibria. (2019). Ferrari, Giorgio ; Dianetti, Jodi. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:605.

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2020A Knightian Irreversible Investment Problem. (2020). Ferrari, Giorgio ; Riedel, Frank ; Li, Hanwu. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:634.

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2019Multivariate risk measures in the non-convex setting. (2019). Ilya, Molchanov ; Andreas, Haier. In: Statistics & Risk Modeling. RePEc:bpj:strimo:v:36:y:2019:i:1-4:p:25-35:n:3.

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2019Two frameworks for pricing defaultable derivatives. (2019). Savov, Mladen ; Kounchev, Ognyan ; Zaevski, Tsvetelin S. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:123:y:2019:i:c:p:309-319.

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2019Should investors learn about the timing of equity risk?. (2019). Khapko, Mariana ; Hasler, Michael ; Marfe, Roberto. In: Journal of Financial Economics. RePEc:eee:jfinec:v:132:y:2019:i:3:p:182-204.

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2019Polynomial processes in stochastic portfolio theory. (2019). Cuchiero, Christa. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:129:y:2019:i:5:p:1829-1872.

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2019Sensitivity of optimal consumption streams. (2019). Muhle-Karbe, Johannes ; Herdegen, Martin. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:129:y:2019:i:6:p:1964-1992.

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2019Exponentially concave functions and high dimensional stochastic portfolio theory. (2019). Pal, Soumik . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:129:y:2019:i:9:p:3116-3128.

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2020Asymptotic analysis of the expected utility maximization problem with respect to perturbations of the numéraire. (2020). Mostovyi, Oleksii. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:130:y:2020:i:7:p:4444-4469.

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2019No arbitrage and lead–lag relationships. (2019). Koike, Yuta ; Hayashi, Takaki. In: Statistics & Probability Letters. RePEc:eee:stapro:v:154:y:2019:i:c:1.

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2019Optimal Portfolio Selection in an Itô–Markov Additive Market. (2019). Sulima, Anna ; Stettner, ukasz ; Palmowski, Zbigniew. In: Risks. RePEc:gam:jrisks:v:7:y:2019:i:1:p:34-:d:216912.

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2019A new approach of coherent risk-measure pricing. (2019). Zhao, Peibiao ; Lepinette, Emmanuel. In: Working Papers. RePEc:hal:wpaper:hal-02135232.

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2020Fundamental Theorem of Asset Pricing under fixed and proportional transaction costs. (2020). Brown, Martin ; Zastawniak, Tomasz. In: Annals of Finance. RePEc:kap:annfin:v:16:y:2020:i:3:d:10.1007_s10436-020-00367-z.

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2019Pricing cross-currency interest rate swaps under the Levy market model. (2019). Huang, Li-Jhang ; Wang, Ming-Chieh. In: Review of Derivatives Research. RePEc:kap:revdev:v:22:y:2019:i:2:d:10.1007_s11147-018-9150-1.

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2019Robust utility maximisation in markets with transaction costs. (2019). Chau, Huy N ; Rasonyi, Miklos. In: Finance and Stochastics. RePEc:spr:finsto:v:23:y:2019:i:3:d:10.1007_s00780-019-00389-0.

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2019Prospective strict no-arbitrage and the fundamental theorem of asset pricing under transaction costs. (2019). Kuhn, Christoph ; Molitor, Alexander. In: Finance and Stochastics. RePEc:spr:finsto:v:23:y:2019:i:4:d:10.1007_s00780-019-00403-5.

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2019Finite-horizon optimal investment with transaction costs: construction of the optimal strategies. (2019). Belak, Christoph ; Sass, Jorn. In: Finance and Stochastics. RePEc:spr:finsto:v:23:y:2019:i:4:d:10.1007_s00780-019-00404-4.

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2020On the quasi-sure superhedging duality with frictions. (2020). Bayraktar, Erhan ; Burzoni, Matteo. In: Finance and Stochastics. RePEc:spr:finsto:v:24:y:2020:i:1:d:10.1007_s00780-019-00411-5.

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2020Term structure modelling for multiple curves with stochastic discontinuities. (2020). Fontana, Claudio ; Schmidt, Thorsten ; Gumbel, Sandrine ; Grbac, Zorana. In: Finance and Stochastics. RePEc:spr:finsto:v:24:y:2020:i:2:d:10.1007_s00780-020-00416-5.

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2020Risk-Neutral Pricing for Arbitrage Pricing Theory. (2020). Carassus, Laurence ; Rasonyi, Miklos. In: Journal of Optimization Theory and Applications. RePEc:spr:joptap:v:186:y:2020:i:1:d:10.1007_s10957-020-01699-6.

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2020Parameter-Dependent Stochastic Optimal Control in Finite Discrete Time. (2020). Jamneshan, Asgar ; Zapata-Garcia, Jose Miguel ; Kupper, Michael. In: Journal of Optimization Theory and Applications. RePEc:spr:joptap:v:186:y:2020:i:2:d:10.1007_s10957-020-01711-z.

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2020Random optimization on random sets. (2020). Lepinette, Emmanuel. In: Mathematical Methods of Operations Research. RePEc:spr:mathme:v:91:y:2020:i:1:d:10.1007_s00186-019-00686-6.

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2020Choosing sets: preface to the special issue on set optimization and applications. (2020). Lohne, Andreas ; Hamel, Andreas H. In: Mathematical Methods of Operations Research. RePEc:spr:mathme:v:91:y:2020:i:1:d:10.1007_s00186-019-00700-x.

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2019Weak Tail Conditions for Local Martingales. (2019). Ruf, Johannes ; Hulley, Hardy. In: Published Paper Series. RePEc:uts:ppaper:2019-2.

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2020The Fundamental Theorem of Asset Pricing for Self-Financing Portfolios. (2020). Platen, Eckhard ; Tappe, Stefan. In: Research Paper Series. RePEc:uts:rpaper:411.

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2020Existence of Equivalent Local Martingale Deflators in Semimartingale Market Models. (2020). Platen, Eckhard ; Tappe, Stefan. In: Research Paper Series. RePEc:uts:rpaper:412.

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2019SET-VALUED LAW INVARIANT COHERENT AND CONVEX RISK MEASURES. (2019). Hu, Yijun ; Chen, Yanhong. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:22:y:2019:i:03:n:s0219024919500043.

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Works by Юрий Михайлович Кабанов:


YearTitleTypeCited
2000Louis Bachelier on the Centenary of Théorie de la Spéculation In: Mathematical Finance.
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article17
2000Louis Bachelier On the centenary of Théorie de la Spéculation.(2000) In: Post-Print.
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This paper has another version. Agregated cites: 17
paper
2002Hedging under Transaction Costs in Currency Markets: a Discrete‐Time Model In: Mathematical Finance.
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article12
2002Hedging under Transaction Costs in Currency Markets: a Continuous‐Time Model In: Mathematical Finance.
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article19
2002On the optimal portfolio for the exponential utility maximization: remarks to the six‐author paper In: Mathematical Finance.
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article32
1997Bond Market Structure in the Presence of Marked Point Processes In: Mathematical Finance.
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article105
2001The Harrison-Pliska arbitrage pricing theorem under transaction costs In: Journal of Mathematical Economics.
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article17
2013Essential supremum with respect to a random partial order In: Journal of Mathematical Economics.
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article4
2013Essential supremum and essential maximum with respect to random preference relations In: Journal of Mathematical Economics.
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article3
2016No arbitrage of the first kind and local martingale numéraires In: LSE Research Online Documents on Economics.
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paper12
2016No arbitrage of the first kind and local martingale numéraires.(2016) In: Finance and Stochastics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 12
article
2009Markets with Transaction Costs. Mathematical Theory. In: Post-Print.
[Citation analysis]
paper61
2008Mean square error for the Leland-Lott hedging strategy. In: Post-Print.
[Citation analysis]
paper1
2009Mean Square Error for the Leland–Lott Hedging Strategy.(2009) In: World Scientific Book Chapters.
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This paper has another version. Agregated cites: 1
chapter
2010Mean square error for the Leland-Lott hedging strategy: convex pay-offs. In: Post-Print.
[Citation analysis]
paper14
2010Mean square error for the Leland–Lott hedging strategy: convex pay-offs.(2010) In: Finance and Stochastics.
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article
2011Consistent price systems and arbitrage opportunities of the second kind in models with transaction costs. In: Post-Print.
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paper11
2012Consistent price systems and arbitrage opportunities of the second kind in models with transaction costs.(2012) In: Finance and Stochastics.
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article
2006From Stochastic Calculus to Mathematical Finance. The Shiryaev Festschrift. In: Post-Print.
[Citation analysis]
paper2
2009Hedging of American options under transaction costs. In: Post-Print.
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paper8
2009Hedging of American options under transaction costs.(2009) In: Finance and Stochastics.
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This paper has another version. Agregated cites: 8
article
1995Bond markets where prices are driven by a general marked point process In: SSE/EFI Working Paper Series in Economics and Finance.
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paper2
1996Towards a General Theory of Bond Markets. In: SSE/EFI Working Paper Series in Economics and Finance.
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paper15
1997Towards a general theory of bond markets (*).(1997) In: Finance and Stochastics.
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This paper has another version. Agregated cites: 15
article
2001Option pricing by large risk aversion utility¶under transaction costs In: Decisions in Economics and Finance.
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article4
2007No-arbitrage criteria for financial markets with transaction costs and incomplete information In: Finance and Stochastics.
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article4
2008In discrete time a local martingale is a martingale under an equivalent probability measure In: Finance and Stochastics.
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article4
2012Small transaction costs, absence of arbitrage and consistent price systems In: Finance and Stochastics.
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article2
1997On Lelands strategy of option pricing with transactions costs In: Finance and Stochastics.
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article25
1995On Lelands Strategy of Option Pricing with Transaction Costs.(1995) In: SFB 373 Discussion Papers.
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This paper has another version. Agregated cites: 25
paper
2016Consumption-investment problem with transaction costs for Lévy-driven price processes In: Finance and Stochastics.
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article0
2020Ruin probabilities for a Lévy-driven generalised Ornstein–Uhlenbeck process In: Finance and Stochastics.
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article0
1997Optional decomposition and Lagrange multipliers In: Finance and Stochastics.
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article13
1997Optional decomposition and lagrange multipliers.(1997) In: SFB 373 Discussion Papers.
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paper
1998Asymptotic arbitrage in large financial markets In: Finance and Stochastics.
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article47
1999Hedging and liquidation under transaction costs in currency markets In: Finance and Stochastics.
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article114
2002In the insurance business risky investments are dangerous In: Finance and Stochastics.
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article26
2002No-arbitrage criteria for financial markets with efficient friction In: Finance and Stochastics.
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article34
2004Editorial In: Finance and Stochastics.
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article0
2004A geometric approach to portfolio optimization in models with transaction costs In: Finance and Stochastics.
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article5
2004On the law of one price In: Finance and Stochastics.
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article3
2007A positive interest rate model with sticky barrier In: Quantitative Finance.
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article1

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