Юрий Михайлович Кабанов : Citation Profile


Are you Юрий Михайлович Кабанов?

National Research University Higher School of Economics

13

H index

16

i10 index

576

Citations

RESEARCH PRODUCTION:

28

Articles

12

Papers

1

Chapters

RESEARCH ACTIVITY:

   21 years (1995 - 2016). See details.
   Cites by year: 27
   Journals where Юрий Михайлович Кабанов has often published
   Relations with other researchers
   Recent citing documents: 91.    Total self citations: 5 (0.86 %)

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   Permalink: http://citec.repec.org/pka521
   Updated: 2019-12-15    RAS profile: 2018-03-09    
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Relations with other researchers


Works with:

Lépinette, Emmanuel (3)

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)

Riedel, Frank (10)

Nikitopoulos-Sklibosios, Christina (10)

Bayraktar, Erhan (10)

Chiarella, Carl (10)

Platen, Eckhard (8)

Jouini, Elyès (8)

Evstigneev, Igor (7)

Nguyen-Huu, Adrien (6)

Bjork, Tomas (5)

Schlogl, Erik (5)

Cites to:

Jarrow, Robert (3)

Ok, Efe (2)

Evren, Ozgur (2)

Jouini, Elyès (2)

Framstad, Nils (1)

Zhou, Hao (1)

Perraudin, William (1)

Cvitanic, Jaksa (1)

merton, robert (1)

White, Alan (1)

Kreps, David (1)

Main data


Where Юрий Михайлович Кабанов has published?


Journals with more than one article published# docs
Finance and Stochastics18
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 (2018 and 2017)


YearTitle of citing document
2017Implicit transaction costs and the fundamental theorems of asset pricing. (2017). ALLAJ, ERINDI. In: Papers. RePEc:arx:papers:1310.1882.

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2017Set-valued shortfall and divergence risk measures. (2017). Hamel, Andreas H. ; Ararat, Ccaugin ; Rudloff, Birgit. In: Papers. RePEc:arx:papers:1405.4905.

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2018Optimal Investment with Random Endowments and Transaction Costs: Duality Theory and Shadow Prices. (2018). Bayraktar, Erhan ; Yu, Xiang. In: Papers. RePEc:arx:papers:1504.00310.

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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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2017Maximizing expected utility in the Arbitrage Pricing Model. (2017). Rasonyi, Miklos. In: Papers. RePEc:arx:papers:1508.07761.

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2018A Supermartingale Relation for Multivariate Risk Measures. (2018). Feinstein, Zachary ; Rudloff, Birgit. In: Papers. RePEc:arx:papers:1510.05561.

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2017On the existence of shadow prices for optimal investment with random endowment. (2017). Gu, Lingqi ; Yang, Junjian ; Lin, Yiqing. In: Papers. RePEc:arx:papers:1602.01109.

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2017Skorohods representation theorem and optimal strategies for markets with frictions. (2017). Chau, Huy N. In: Papers. RePEc:arx:papers:1606.07311.

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2018Robust Utility Maximization in Discrete-Time Markets with Friction. (2018). Neufeld, Ariel ; Sikic, Mario. In: Papers. RePEc:arx:papers:1610.09230.

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2018On utility maximization without passing by the dual problem. (2018). Rasonyi, Miklos. In: Papers. RePEc:arx:papers:1702.00982.

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2017Hedging in fractional Black-Scholes model with transaction costs. (2017). Sotinnen, Tommi ; Shokrollahi, Foad. In: Papers. RePEc:arx:papers:1706.01534.

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2017Option Pricing with Delayed Information. (2017). Mousavi, Seyyed Mostafa ; Ichiba, Tomoyuki . In: Papers. RePEc:arx:papers:1707.01600.

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2018Nash equilibria for game contingent claims with utility-based hedging. (2018). Kuhn, Christoph ; Kentia, Klebert . In: Papers. RePEc:arx:papers:1707.09351.

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2017Conditional-Mean Hedging Under Transaction Costs in Gaussian Models. (2017). Viitasaari, Lauri ; Sottinen, Tommi. In: Papers. RePEc:arx:papers:1708.03242.

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2018Variance optimal hedging with application to Electricity markets. (2018). Warin, Xavier. In: Papers. RePEc:arx:papers:1711.03733.

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2017Conditional cores and conditional convex hulls of random sets. (2017). Molchanov, Ilya ; Lepinette, Emmanuel. In: Papers. RePEc:arx:papers:1711.10303.

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2017Multi-currency reserving for coherent risk measures. (2017). Berkaoui, Abdel ; Armstrong, Seb ; Jacka, Saul. In: Papers. RePEc:arx:papers:1712.01319.

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2017No arbitrage and lead-lag relationships. (2017). Koike, Yuta ; Hayashi, Takaki. In: Papers. RePEc:arx:papers:1712.09854.

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2018Robust martingale selection problem and its connections to the no-arbitrage theory. (2018). Sikic, Mario ; Burzoni, Matteo. In: Papers. RePEc:arx:papers:1801.03574.

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2018Simple Bounds for Transaction Costs. (2018). Muhle-Karbe, Johannes ; Bouchard, Bruno. In: Papers. RePEc:arx:papers:1802.06120.

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2018How local in time is the no-arbitrage property under capital gains taxes ?. (2018). Kuhn, Christoph. In: Papers. RePEc:arx:papers:1802.06386.

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2018Robust utility maximization in markets with transaction costs. (2018). Rasonyi, Miklos ; Chau, Huy N. In: Papers. RePEc:arx:papers:1803.04213.

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2018Explicit 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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2018The value of informational arbitrage. (2018). Fontana, Claudio ; Cosso, Andrea ; Chau, Huy N. In: Papers. RePEc:arx:papers:1804.00442.

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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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2018Optimal portfolio selection in an It\^o-Markov additive market. (2018). Sulima, Anna ; Stettner, Lukasz ; Palmowski, Zbigniew. In: Papers. RePEc:arx:papers:1806.03496.

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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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2018Log-optimal portfolio without NFLVR: existence, complete characterization, and duality. (2018). Yansori, Sina ; Choulli, Tahir. In: Papers. RePEc:arx:papers:1807.06449.

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2019Scalar 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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2018Log-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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2018Fast 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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2019Risk 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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2019Risk-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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2019From 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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2019Asset 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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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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2018Making No-Arbitrage Discounting-Invariant: A New FTAP Beyond NFLVR and NUPBR. (2018). Schweizer, Martin ; Balint, Daniel Agoston. In: Swiss Finance Institute Research Paper Series. RePEc:chf:rpseri:rp1823.

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2017Pricing Range Accrual Interest Rate Swap employing LIBOR market models with jump risks. (2017). Lin, Shih-Kuei ; Xu, Lian-Wen ; Chen, Carl R ; Wang, Shin-Yun . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:359-373.

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2018Risk- and value-based management for non-life insurers under solvency constraints. (2018). Eckert, Johanna ; Gatzert, Nadine. In: European Journal of Operational Research. RePEc:eee:ejores:v:266:y:2018:i:2:p:761-774.

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2017Optimal investment and reinsurance for an insurer under Markov-modulated financial market. (2017). Xu, Lin ; Yao, Dingjun ; Zhang, Liming. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:74:y:2017:i:c:p:7-19.

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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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2017Econophysics: Past and present. (2017). de Area, Eder Johnson ; da Silva, Marcus Fernandes. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:473:y:2017:i:c:p:251-261.

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2017Arbitrage theory for non convex financial market models. (2017). Lepinette, Emmanuel ; Tran, Tuan. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:127:y:2017:i:10:p:3331-3353.

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2018General dynamic term structures under default risk. (2018). Fontana, Claudio ; Schmidt, Thorsten. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:128:y:2018:i:10:p:3353-3386.

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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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2017A family of Markov processes in maximal compact subgroups of a semisimple Lie groups. (2017). Arafat, Ahmed ; Gregori, Pablo ; Mateu, Jorge. In: Statistics & Probability Letters. RePEc:eee:stapro:v:126:y:2017:i:c:p:132-138.

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2017Hedging in fractional Black–Scholes model with transaction costs. (2017). Shokrollahi, Foad ; Sottinen, Tommi. In: Statistics & Probability Letters. RePEc:eee:stapro:v:130:y:2017:i:c:p:85-91.

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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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2017Stability of the exponential utility maximization problem with respect to preferences. (2017). Xing, Hao. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:57213.

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2018Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs. (2018). Yang, Junjian ; Schachermayer, Walter ; Peyre, Remi ; Czichowsky, Christoph Johannes. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:85230.

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2018On Central Branch/Reinsurance Risk Networks: Exact Results and Heuristics. (2018). Avram, Florin ; Loke, Sooie-Hoe. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:2:p:35-:d:140829.

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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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2018Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs. (2018). Schachermayer, Walter ; Peyre, Remi ; Czichowsky, Christoph ; Yang, Junjian. In: Post-Print. RePEc:hal:journl:hal-02373296.

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2018Simple Bounds for Transaction Costs. (2018). Muhle-Karbe, Johannes ; Bouchard, Bruno. In: Working Papers. RePEc:hal:wpaper:hal-01711371.

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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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2018Pricing European Options under Fractional Black–Scholes Model with a Weak Payoff Function. (2018). Mehrdoust, Farshid ; Najafi, Ali Reza. In: Computational Economics. RePEc:kap:compec:v:52:y:2018:i:2:d:10.1007_s10614-017-9715-3.

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2018Optimal discrete hedging of American options using an integrated approach to options with complex embedded decisions. (2018). Gerer, Johannes ; Dorfleitner, Gregor. In: Review of Derivatives Research. RePEc:kap:revdev:v:21:y:2018:i:2:d:10.1007_s11147-017-9137-3.

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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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2018Von Neumann-Gale Dynamics, Market Frictions, and Capital Growth. (2018). Schenk-Hoppé, Klaus ; Zhitlukhin, M V ; Schenk-Hoppe, K R ; Evstigneev, I V ; Babaei, E. In: The School of Economics Discussion Paper Series. RePEc:man:sespap:1816.

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2017Econophysics and Financial Economics: An Emerging Dialogue. (2017). Schinckus, Christophe ; Jovanovic, Franck . In: OUP Catalogue. RePEc:oxp:obooks:9780190205034.

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2017Investment in capital markets. (2017). Ledenyov, Dimitri. In: MPRA Paper. RePEc:pra:mprapa:77414.

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2017A set optimization approach to utility maximization under transaction costs. (2017). Hamel, Andreas H ; Wang, Sophie Qingzhen. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:40:y:2017:i:1:d:10.1007_s10203-017-0195-7.

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2018No-arbitrage under a class of honest times. (2018). Aksamit, Anna ; Jeanblanc, Monique ; Deng, Jun ; Choulli, Tahir. In: Finance and Stochastics. RePEc:spr:finsto:v:22:y:2018:i:1:d:10.1007_s00780-017-0345-3.

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2018Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs. (2018). Czichowsky, Christoph ; Yang, Junjian ; Schachermayer, Walter ; Peyre, Remi. In: Finance and Stochastics. RePEc:spr:finsto:v:22:y:2018:i:1:d:10.1007_s00780-017-0351-5.

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2018Stability of Radner equilibria with respect to small frictions. (2018). Herdegen, Martin ; Muhle-Karbe, Johannes. In: Finance and Stochastics. RePEc:spr:finsto:v:22:y:2018:i:2:d:10.1007_s00780-018-0354-x.

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2018Convex duality in optimal investment and contingent claim valuation in illiquid markets. (2018). Pennanen, Teemu ; Perkkio, Ari-Pekka. In: Finance and Stochastics. RePEc:spr:finsto:v:22:y:2018:i:4:d:10.1007_s00780-018-0372-8.

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2017A recursive algorithm for multivariate risk measures and a set-valued Bellman’s principle. (2017). Feinstein, Zachary ; Rudloff, Birgit. In: Journal of Global Optimization. RePEc:spr:jglopt:v:68:y:2017:i:1:d:10.1007_s10898-016-0459-8.

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2017Pricing and hedging contingent claims using variance and higher order moment swaps. (2017). Tzavalis, Elias ; Rompolis, Leonidas. In: Quantitative Finance. RePEc:taf:quantf:v:17:y:2017:i:4:p:531-550.

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2017Testing efficiency in small and large financial markets. (2017). Dare, Wale. In: Economics Working Paper Series. RePEc:usg:econwp:2017:14.

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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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2017IMPLICIT TRANSACTION COSTS AND THE FUNDAMENTAL THEOREMS OF ASSET PRICING. (2017). Allaj, Erindi. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:20:y:2017:i:04:n:s0219024917500248.

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2017SET-VALUED SHORTFALL AND DIVERGENCE RISK MEASURES. (2017). Ararat, Ain ; Rudloff, Birgit ; Hamel, Andreas H. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:20:y:2017:i:05:n:s0219024917500261.

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2018CONDITIONAL-MEAN HEDGING UNDER TRANSACTION COSTS IN GAUSSIAN MODELS. (2018). Sottinen, Tommi ; Viitasaari, Lauri. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:21:y:2018:i:02:n:s0219024918500152.

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2018SHORTFALL RISK MINIMIZATION UNDER FIXED TRANSACTION COSTS. (2018). Nayman, Niv. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:21:y:2018:i:05:n:s0219024918500346.

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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
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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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article101
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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paper7
2016No arbitrage of the first kind and local martingale numéraires.(2016) In: Finance and Stochastics.
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This paper has another version. Agregated cites: 7
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2009Markets with Transaction Costs. Mathematical Theory. In: Post-Print.
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paper50
2008Mean square error for the Leland-Lott hedging strategy. In: Post-Print.
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2009Mean Square Error for the Leland–Lott Hedging Strategy.(2009) In: World Scientific Book Chapters.
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2010Mean square error for the Leland-Lott hedging strategy: convex pay-offs. In: Post-Print.
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2010Mean square error for the Leland–Lott hedging strategy: convex pay-offs.(2010) In: Finance and Stochastics.
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2011Consistent price systems and arbitrage opportunities of the second kind in models with transaction costs. In: Post-Print.
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2012Consistent price systems and arbitrage opportunities of the second kind in models with transaction costs.(2012) In: Finance and Stochastics.
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2006From Stochastic Calculus to Mathematical Finance. The Shiryaev Festschrift. In: Post-Print.
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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
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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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