15
H index
18
i10 index
784
Citations
Юрий Михайлович Кабанов : Citation Profile
M. V. Lomonosov Moscow State University | RESEARCH PRODUCTION: 31 Articles 11 Papers 1 Chapters RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
|
27 years (1995 - 2022). 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:
| Cites to:
|
Main data
Where Юрий Михайлович Кабанов has published?
| Journals with more than one article published | # docs |
|---|---|
| Finance and Stochastics | 20 |
| Mathematical Finance | 5 |
| Journal of Mathematical Economics | 3 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Post-Print / HAL | 6 |
| SFB 373 Discussion Papers / Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes | 2 |
| SSE/EFI Working Paper Series in Economics and Finance / Stockholm School of Economics | 2 |
Recent works citing Юрий Михайлович Кабанов (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2023 | Stochastic PDEs for large portfolios with general mean-reverting volatility processes. (2019). Kolliopoulos, Nikolaos ; Hambly, Ben. In: Papers. RePEc:arx:papers:1906.05898. Full description at Econpapers || Download paper |
| 2023 | Modern Tontine with Transaction Costs. (2022). Wang, Sheng ; Liang, Zongxia ; He, Lin. In: Papers. RePEc:arx:papers:2209.09709. Full description at Econpapers || Download paper |
| 2023 | Robust utility maximisation under proportional transaction costs for c\`adl\`ag price processes. (2022). Huwyler, Raphael ; Czichowsky, Christoph. In: Papers. RePEc:arx:papers:2211.00532. Full description at Econpapers || Download paper |
| 2023 | Arbitrage theory in a market of stochastic dimension. (2022). Tilva, Abhishek ; Kim, Donghan ; Bayraktar, Erhan. In: Papers. RePEc:arx:papers:2212.04623. Full description at Econpapers || Download paper |
| 2023 | Analysis of optimal portfolios on finite and small-time horizons for a multi-dimensional correlated stochastic volatility model. (2023). Sengupta, Indranil ; Lin, Minglian. In: Papers. RePEc:arx:papers:2302.06778. Full description at Econpapers || Download paper |
| 2023 | A stochastic control perspective on term structure models with roll-over risk. (2023). Runggaldier, Wolfgang J ; Pavarana, Simone ; Fontana, Claudio. In: Papers. RePEc:arx:papers:2304.04453. Full description at Econpapers || Download paper |
| 2023 | Bacheliers Market Model for ESG Asset Pricing. (2023). Yegon, Peter ; Omotade, Blessing ; Nyarko, Nancy Asare ; Rachev, Svetlozar. In: Papers. RePEc:arx:papers:2306.04158. Full description at Econpapers || Download paper |
| 2023 | The fundamental theorem of asset pricing with and without transaction costs. (2023). Kuhn, Christoph. In: Papers. RePEc:arx:papers:2307.00571. Full description at Econpapers || Download paper |
| 2023 | Exploring Dynamic Asset Pricing within Bachelier Market Model. (2023). Yegon, Peter ; Rachev, Svetlozar ; Omotade, Blessing ; Gnawali, Jagdish ; Divelgama, Bhathiya ; Nyarko, Nancy Asare. In: Papers. RePEc:arx:papers:2307.04059. Full description at Econpapers || Download paper |
| 2023 | Robust discrete-time super-hedging strategies under AIP condition and under price uncertainty. (2023). Lepinette, Emmanuel ; el Mansour, Meriam. In: Papers. RePEc:arx:papers:2311.08847. Full description at Econpapers || Download paper |
| 2023 | Linear-Quadratic-Singular Stochastic Differential Games and Applications. (2023). Vepsaelaeinen, M ; Laine, Mikko ; Burnier, Yannis. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:678. Full description at Econpapers || Download paper |
| 2023 | Pricing extreme mortality risk in the wake of the COVID-19 pandemic. (2023). Yuan, Zhongyi ; Tang, Qihe ; Liu, Haibo. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:108:y:2023:i:c:p:84-106. Full description at Econpapers || Download paper |
| 2023 | . Full description at Econpapers || Download paper |
| 2023 | No-arbitrage conditions and pricing from discrete-time to continuous-time strategies. (2023). Lepinette, Emmanuel ; Cherif, Dorsaf. In: Annals of Finance. RePEc:kap:annfin:v:19:y:2023:i:2:d:10.1007_s10436-023-00426-1. Full description at Econpapers || Download paper |
| 2023 | In memoriam: Tomas Björk (1947â2021). (2023). Gaspar, Raquel ; Khapko, Mariana. In: Finance and Stochastics. RePEc:spr:finsto:v:27:y:2023:i:4:d:10.1007_s00780-023-00511-3. Full description at Econpapers || Download paper |
| 2023 | Ruin probabilities for a Sparre Andersen model with investments: the case of annuity payments. (2023). Promyslov, Platon ; Kabanov, Yuri. In: Finance and Stochastics. RePEc:spr:finsto:v:27:y:2023:i:4:d:10.1007_s00780-023-00513-1. Full description at Econpapers || Download paper |
| 2023 | A stochastic control perspective on term structure models with roll-over risk. (2023). Pavarana, Simone ; Fontana, Claudio ; Runggaldier, Wolfgang J. In: Finance and Stochastics. RePEc:spr:finsto:v:27:y:2023:i:4:d:10.1007_s00780-023-00515-z. Full description at Econpapers || Download paper |
Works by Юрий Михайлович Кабанов:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2000 | Louis Bachelier on the Centenary of Théorie de la Spéculation In: Mathematical Finance. [Full Text][Citation analysis] | article | 25 |
| 2000 | Louis Bachelier On the centenary of Théorie de la Spéculation.(2000) In: Post-Print. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 25 | paper | |
| 2002 | Hedging under Transaction Costs in Currency Markets: a Discrete?Time Model In: Mathematical Finance. [Full Text][Citation analysis] | article | 14 |
| 2002 | Hedging under Transaction Costs in Currency Markets: a Continuous?Time Model In: Mathematical Finance. [Full Text][Citation analysis] | article | 22 |
| 2002 | On the optimal portfolio for the exponential utility maximization: remarks to the six?author paper In: Mathematical Finance. [Full Text][Citation analysis] | article | 36 |
| 1997 | Bond Market Structure in the Presence of Marked Point Processes In: Mathematical Finance. [Full Text][Citation analysis] | article | 115 |
| 2001 | The Harrison-Pliska arbitrage pricing theorem under transaction costs In: Journal of Mathematical Economics. [Full Text][Citation analysis] | article | 35 |
| 2013 | Essential supremum with respect to a random partial order In: Journal of Mathematical Economics. [Full Text][Citation analysis] | article | 9 |
| 2013 | Essential supremum and essential maximum with respect to random preference relations In: Journal of Mathematical Economics. [Full Text][Citation analysis] | article | 7 |
| 2022 | Ruin probabilities for a Sparre Andersen model with investments In: Stochastic Processes and their Applications. [Full Text][Citation analysis] | article | 2 |
| 2016 | No arbitrage of the first kind and local martingale numéraires In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] | paper | 18 |
| 2016 | No arbitrage of the first kind and local martingale numéraires.(2016) In: Finance and Stochastics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 18 | article | |
| 2009 | Markets with Transaction Costs. Mathematical Theory. In: Post-Print. [Citation analysis] | paper | 85 |
| 2008 | Mean square error for the Leland-Lott hedging strategy. In: Post-Print. [Citation analysis] | paper | 1 |
| 2009 | Mean Square Error for the LelandâLott Hedging Strategy.(2009) In: World Scientific Book Chapters. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | chapter | |
| 2010 | Mean square error for the Leland-Lott hedging strategy: convex pay-offs. In: Post-Print. [Citation analysis] | paper | 16 |
| 2010 | Mean square error for the LelandâLott hedging strategy: convex pay-offs.(2010) In: Finance and Stochastics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 16 | article | |
| 2011 | Consistent price systems and arbitrage opportunities of the second kind in models with transaction costs. In: Post-Print. [Citation analysis] | paper | 12 |
| 2012 | Consistent price systems and arbitrage opportunities of the second kind in models with transaction costs.(2012) In: Finance and Stochastics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 12 | article | |
| 2006 | From Stochastic Calculus to Mathematical Finance. The Shiryaev Festschrift. In: Post-Print. [Citation analysis] | paper | 50 |
| 1995 | Bond markets where prices are driven by a general marked point process In: SSE/EFI Working Paper Series in Economics and Finance. [Full Text][Citation analysis] | paper | 3 |
| 1996 | Towards a General Theory of Bond Markets. In: SSE/EFI Working Paper Series in Economics and Finance. [Full Text][Citation analysis] | paper | 15 |
| 1997 | Towards a general theory of bond markets (*).(1997) In: Finance and Stochastics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 15 | article | |
| 2001 | Option pricing by large risk aversion utility¶under transaction costs In: Decisions in Economics and Finance. [Full Text][Citation analysis] | article | 4 |
| 2007 | No-arbitrage criteria for financial markets with transaction costs and incomplete information In: Finance and Stochastics. [Full Text][Citation analysis] | article | 4 |
| 2008 | In discrete time a local martingale is a martingale under an equivalent probability measure In: Finance and Stochastics. [Full Text][Citation analysis] | article | 4 |
| 2009 | Hedging of American options under transaction costs In: Finance and Stochastics. [Full Text][Citation analysis] | article | 8 |
| 2012 | Small transaction costs, absence of arbitrage and consistent price systems In: Finance and Stochastics. [Full Text][Citation analysis] | article | 2 |
| 1997 | On Lelands strategy of option pricing with transactions costs In: Finance and Stochastics. [Full Text][Citation analysis] | article | 27 |
| 1995 | On Lelands Strategy of Option Pricing with Transaction Costs.(1995) In: SFB 373 Discussion Papers. [Citation analysis] This paper has nother version. Agregated cites: 27 | paper | |
| 2016 | Consumption-investment problem with transaction costs for Lévy-driven price processes In: Finance and Stochastics. [Full Text][Citation analysis] | article | 0 |
| 2020 | Ruin probabilities for a Lévy-driven generalised OrnsteinâUhlenbeck process In: Finance and Stochastics. [Full Text][Citation analysis] | article | 3 |
| 2021 | On a multi-asset version of the Kusuoka limit theorem of option superreplication under transaction costs In: Finance and Stochastics. [Full Text][Citation analysis] | article | 1 |
| 1997 | Optional decomposition and Lagrange multipliers In: Finance and Stochastics. [Full Text][Citation analysis] | article | 15 |
| 1997 | Optional decomposition and lagrange multipliers.(1997) In: SFB 373 Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 15 | paper | |
| 1998 | Asymptotic arbitrage in large financial markets In: Finance and Stochastics. [Full Text][Citation analysis] | article | 47 |
| 1999 | Hedging and liquidation under transaction costs in currency markets In: Finance and Stochastics. [Full Text][Citation analysis] | article | 122 |
| 2002 | In the insurance business risky investments are dangerous In: Finance and Stochastics. [Full Text][Citation analysis] | article | 29 |
| 2002 | No-arbitrage criteria for financial markets with efficient friction In: Finance and Stochastics. [Full Text][Citation analysis] | article | 41 |
| 2004 | Editorial In: Finance and Stochastics. [Full Text][Citation analysis] | article | 0 |
| 2004 | A geometric approach to portfolio optimization in models with transaction costs In: Finance and Stochastics. [Full Text][Citation analysis] | article | 7 |
| 2004 | On the law of one price In: Finance and Stochastics. [Full Text][Citation analysis] | article | 4 |
| 2007 | A positive interest rate model with sticky barrier In: Quantitative Finance. [Full Text][Citation analysis] | article | 1 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated December, 10 2023. Contact: CitEc Team