Юрий Михайлович Кабанов : Citation Profile


Are you Юрий Михайлович Кабанов?

M. V. Lomonosov Moscow State University

14

H index

18

i10 index

758

Citations

RESEARCH PRODUCTION:

31

Articles

11

Papers

1

Chapters

RESEARCH ACTIVITY:

   27 years (1995 - 2022). See details.
   Cites by year: 28
   Journals where Юрий Михайлович Кабанов has often published
   Relations with other researchers
   Recent citing documents: 51.    Total self citations: 8 (1.04 %)

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   Permalink: http://citec.repec.org/pka521
   Updated: 2022-10-01    RAS profile: 2022-03-22    
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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 (17)

Riedel, Frank (13)

Bayraktar, Erhan (12)

Platen, Eckhard (12)

Nikitopoulos-Sklibosios, Christina (10)

Chiarella, Carl (10)

Jouini, Elyès (9)

Podolskij, Mark (9)

Evstigneev, Igor (7)

Nguyen-Huu, Adrien (6)

Schenk-Hoppé, Klaus (6)

Cites to:

Pergamenshchikov, Sergey (3)

Jarrow, Robert (3)

Ok, Efe (2)

He, Hua (2)

Evren, Ozgur (2)

He, Hua (2)

Jouini, Elyès (2)

POLIMENIS, VASSILIS (1)

Bayraktar, Erhan (1)

White, Alan (1)

Cvitanic, Jaksa (1)

Main data


Where Юрий Михайлович Кабанов has published?


Journals with more than one article published# docs
Finance and Stochastics20
Mathematical Finance5
Journal of Mathematical Economics3

Working Papers Series with more than one paper published# docs
Post-Print / HAL6
SSE/EFI Working Paper Series in Economics and Finance / Stockholm School of Economics2
SFB 373 Discussion Papers / Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes2

Recent works citing Юрий Михайлович Кабанов (2022 and 2021)


YearTitle of citing document
2021Simple Bounds for Transaction Costs. (2018). Muhle-Karbe, Johannes ; Bouchard, Bruno. In: Papers. RePEc:arx:papers:1802.06120.

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2021Explicit 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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2021Scalar multivariate risk measures with a single eligible asset. (2019). Rudloff, Birgit ; Feinstein, Zachary. In: Papers. RePEc:arx:papers:1807.10694.

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2021Time consistency for scalar multivariate risk measures. (2019). Rudloff, Birgit ; Feinstein, Zachary. In: Papers. RePEc:arx:papers:1810.04978.

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2021Stochastic 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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2021Optimal 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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2022Robustness of Delta hedging in a jump-diffusion model. (2019). Stadje, Mitja ; Bosserhoff, Frank. In: Papers. RePEc:arx:papers:1910.08946.

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2021Semimartingale 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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2022The 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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2021Duality for optimal consumption under no unbounded profit with bounded risk. (2020). Monoyios, Michael. In: Papers. RePEc:arx:papers:2006.04687.

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2022Endogenous inverse demand functions. (2020). Feinstein, Zachary ; Bichuch, Maxim. In: Papers. RePEc:arx:papers:2012.08002.

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2021Forward indifference valuation and hedging of basis risk under partial information. (2021). Tahvildari, Mahan. In: Papers. RePEc:arx:papers:2101.00251.

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2021Super-replication with transaction costs under model uncertainty for continuous processes. (2021). Rasonyi, Miklos ; Chau, Huy N ; Fukasawa, Masaaki. In: Papers. RePEc:arx:papers:2102.02298.

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2021The Golden Age of the Mathematical Finance. (2021). Jos'e Manuel Corcuera, . In: Papers. RePEc:arx:papers:2102.06693.

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2021Pricing without no-arbitrage condition in discrete time. (2021). L'Epinette, Emmanuel ; Carassus, Laurence. In: Papers. RePEc:arx:papers:2104.02688.

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2022A Black-Scholes users guide to the Bachelier model. (2021). Choi, Jaehyuk ; Wang, Yumeng ; Tee, Chyng Wen ; Kwak, Minsuk. In: Papers. RePEc:arx:papers:2104.08686.

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2021Market Complete Option Valuation using a Jarrow-Rudd Pricing Tree with Skewness and Kurtosis. (2021). Rachev, Svetlozar T ; Fabozzi, Frank J ; Lindquist, Brent W ; Shirvani, Abootaleb ; Hu, Yuan. In: Papers. RePEc:arx:papers:2106.09128.

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2021A dynamic version of the super-replication theorem under proportional transaction costs. (2021). Reitsam, Thomas ; Biagini, Francesca. In: Papers. RePEc:arx:papers:2107.02628.

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2021Quasi-sure essential supremum and applications to finance. (2021). Carassus, Laurence. In: Papers. RePEc:arx:papers:2107.12862.

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2021Neural network approximation for superhedging prices. (2021). Reitsam, Thomas ; Gonon, Lukas ; Biagini, Francesca. In: Papers. RePEc:arx:papers:2107.14113.

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2022What if we knew what the future brings?. (2021). , Mikl'Os ; Dolinsky, Yan ; Bank, Peter. In: Papers. RePEc:arx:papers:2108.04291.

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2021Risk measures beyond frictionless markets. (2021). Munari, Cosimo ; Arduca, Maria. In: Papers. RePEc:arx:papers:2111.08294.

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2022Hedging Valuation Adjustment and Model Risk. (2022). Cr, St'Ephane ; Albanese, Claudio. In: Papers. RePEc:arx:papers:2205.11834.

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2021Multidimensional Singular Control and Related Skorokhod Problem: Suficient Conditions for the Characterization of Optimal Controls. (2021). Ferrari, Giorgio ; Dianetti, Jodi. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:645.

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2022A Unifying Framework for Submodular Mean Field Games. (2022). Nendel, Max ; Fischer, Markus ; Ferrari, Giorgio ; Dianetti, Jodi. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:661.

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2022Assessing hail risk for property insurers with a dependent marked point process. (2022). Dickinson, Daniel ; Fung, Glenn M ; Shi, Peng. In: Journal of the Royal Statistical Society Series A. RePEc:bla:jorssa:v:185:y:2022:i:1:p:302-328.

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2021Young, timid, and risk takers. (2021). Rasonyi, Miklos ; Nagy, Lorant ; Guasoni, Paolo. In: Mathematical Finance. RePEc:bla:mathfi:v:31:y:2021:i:4:p:1332-1356.

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2021Markov-modulated jump-diffusion models for the short rate: Pricing of zero coupon bonds and convexity adjustment. (2021). Sanchez, Alejandra ; Oleaga, Gerardo ; Lopez, Oscar. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:395:y:2021:i:c:s0096300320308079.

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2022Penalty and penalty-like methods for nonlinear HJB PDEs. (2022). Wu, Ruining ; Christara, Christina C. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:425:y:2022:i:c:s0096300322001011.

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2022Market complete option valuation using a Jarrow-Rudd pricing tree with skewness and kurtosis. (2022). Fabozzi, Frank J ; Shirvani, Abootaleb ; Rachev, Svetlozar T ; Lindquist, Brent W ; Hu, Yuan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:137:y:2022:i:c:s0165188922000501.

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2022Smiles & smirks: Volatility and leverage by jumps. (2022). Ballotta, Laura ; Rayee, Gregory . In: European Journal of Operational Research. RePEc:eee:ejores:v:298:y:2022:i:3:p:1145-1161.

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2021Arbitrage concepts under trading restrictions in discrete-time financial markets. (2021). Runggaldier, Wolfgang J ; Fontana, Claudio. In: Journal of Mathematical Economics. RePEc:eee:mateco:v:92:y:2021:i:c:p:66-80.

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2021On estimation of quadratic variation for multivariate pure jump semimartingales. (2021). Podolskij, Mark ; Heiny, Johannes. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:138:y:2021:i:c:p:234-254.

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2022Simple bounds for utility maximization with small transaction costs. (2022). Muhle-Karbe, Johannes ; Bouchard, Bruno. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:146:y:2022:i:c:p:98-113.

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2022Characterisation of L0-boundedness for a general set of processes with no strictly positive element. (2022). Balint, Daniel Agoston. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:147:y:2022:i:c:p:51-75.

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2021Relativistic Option Pricing. (2021). Gaspar, Raquel M ; Carvalho, Vitor H. In: International Journal of Financial Studies. RePEc:gam:jijfss:v:9:y:2021:i:2:p:32-:d:577441.

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2021How Much We Gain by Surplus-Dependent Premiums—Asymptotic Analysis of Ruin Probability. (2021). Palmowski, Zbigniew ; Wang, Jing ; Constantinescu, Corina. In: Risks. RePEc:gam:jrisks:v:9:y:2021:i:9:p:157-:d:622795.

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2021Dynamic programming principle and computable prices in financial market models with transaction costs.. (2021). Vu, Duc ; Lepinette, Emmanuel. In: Working Papers. RePEc:hal:wpaper:hal-03284655.

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2021No-arbitrage conditions and pricing from discrete-time to continuous-time strategies.. (2021). Lepinette, Emmanuel ; Cherif, Dorsaf. In: Working Papers. RePEc:hal:wpaper:hal-03284660.

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2022Hedging Valuation Adjustment and Model Risk. (2022). Crepey, Stephane ; Benezet, Cyril ; Albanese, Claudio. In: Working Papers. RePEc:hal:wpaper:hal-03675291.

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2021Relativistically into Finance. (2021). Gaspar, Raquel M ; Carvalho, Vitor H. In: Working Papers REM. RePEc:ise:remwps:wp01752021.

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2022Oil futures volatility smiles in 2020: Why the bachelier smile is flatter. (2022). Ronn, Ehud ; Galeeva, Roza. In: Review of Derivatives Research. RePEc:kap:revdev:v:25:y:2022:i:2:d:10.1007_s11147-022-09185-z.

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2021Maintaining cost and ruin probability. (2021). Qin, Zhenjiang ; Ma, Xiaorong ; Lo, Chia Chun ; Karathanasopoulos, Andreas. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:57:y:2021:i:2:d:10.1007_s11156-021-00960-x.

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2021Risk arbitrage and hedging to acceptability under transaction costs. (2021). Molchanov, Ilya ; Lepinette, Emmanuel. In: Finance and Stochastics. RePEc:spr:finsto:v:25:y:2021:i:1:d:10.1007_s00780-020-00434-3.

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2021Multi-utility representations of incomplete preferences induced by set-valued risk measures. (2021). Munari, Cosimo. In: Finance and Stochastics. RePEc:spr:finsto:v:25:y:2021:i:1:d:10.1007_s00780-020-00440-5.

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2021Nonlinear expectations of random sets. (2021). Muhlemann, Anja ; Molchanov, Ilya. In: Finance and Stochastics. RePEc:spr:finsto:v:25:y:2021:i:1:d:10.1007_s00780-020-00442-3.

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2021Set-valued risk measures as backward stochastic difference inclusions and equations. (2021). Feinstein, Zachary ; Ararat, Ain. In: Finance and Stochastics. RePEc:spr:finsto:v:25:y:2021:i:1:d:10.1007_s00780-020-00445-0.

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2021A quasi-sure optional decomposition and super-hedging result on the Skorokhod space. (2021). Tan, Xiaolu ; Bouchard, Bruno. In: Finance and Stochastics. RePEc:spr:finsto:v:25:y:2021:i:3:d:10.1007_s00780-021-00458-3.

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2022An Italian perspective on the development of financial mathematics from 1992 to 2008. (2022). Runggaldier, Wolfgang J. In: Finance and Stochastics. RePEc:spr:finsto:v:26:y:2022:i:1:d:10.1007_s00780-021-00452-9.

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2021Discrete-Time Model of Company Capital Dynamics with Investment of a Certain Part of Surplus in a Non-Risky Asset for a Fixed Period. (2021). Shigida, Boris ; Bulinskaya, Ekaterina. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:23:y:2021:i:1:d:10.1007_s11009-020-09843-5.

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2022A Black–Scholes users guide to the Bachelier model. (2022). Wang, Yumeng ; Tee, Chyng Wen ; Kwak, Minsuk ; Choi, Jaehyuk. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:42:y:2022:i:5:p:959-980.

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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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article23
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: 23
paper
2002Hedging under Transaction Costs in Currency Markets: a Discrete?Time Model In: Mathematical Finance.
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article14
2002Hedging under Transaction Costs in Currency Markets: a Continuous?Time Model In: Mathematical Finance.
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article22
2002On the optimal portfolio for the exponential utility maximization: remarks to the six?author paper In: Mathematical Finance.
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article35
1997Bond Market Structure in the Presence of Marked Point Processes In: Mathematical Finance.
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article112
2001The Harrison-Pliska arbitrage pricing theorem under transaction costs In: Journal of Mathematical Economics.
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article35
2013Essential supremum with respect to a random partial order In: Journal of Mathematical Economics.
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article8
2013Essential supremum and essential maximum with respect to random preference relations In: Journal of Mathematical Economics.
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article7
2022Ruin probabilities for a Sparre Andersen model with investments In: Stochastic Processes and their Applications.
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article0
2016No arbitrage of the first kind and local martingale numéraires In: LSE Research Online Documents on Economics.
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paper14
2016No arbitrage of the first kind and local martingale numéraires.(2016) In: Finance and Stochastics.
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article
2009Markets with Transaction Costs. Mathematical Theory. In: Post-Print.
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paper79
2008Mean square error for the Leland-Lott hedging strategy. In: Post-Print.
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paper1
2009Mean Square Error for the Leland–Lott Hedging Strategy.(2009) In: World Scientific Book Chapters.
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chapter
2010Mean square error for the Leland-Lott hedging strategy: convex pay-offs. In: Post-Print.
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paper16
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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paper12
2012Consistent price systems and arbitrage opportunities of the second kind in models with transaction costs.(2012) In: Finance and Stochastics.
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This paper has another version. Agregated cites: 12
article
2006From Stochastic Calculus to Mathematical Finance. The Shiryaev Festschrift. In: Post-Print.
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paper50
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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paper3
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
2009Hedging of American options under transaction costs In: Finance and Stochastics.
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article8
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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article27
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: 27
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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article1
2021On a multi-asset version of the Kusuoka limit theorem of option superreplication under transaction costs In: Finance and Stochastics.
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article1
1997Optional decomposition and Lagrange multipliers In: Finance and Stochastics.
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article14
1997Optional decomposition and lagrange multipliers.(1997) In: SFB 373 Discussion Papers.
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This paper has another version. Agregated cites: 14
paper
1998Asymptotic arbitrage in large financial markets In: Finance and Stochastics.
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article48
1999Hedging and liquidation under transaction costs in currency markets In: Finance and Stochastics.
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article121
2002In the insurance business risky investments are dangerous In: Finance and Stochastics.
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article28
2002No-arbitrage criteria for financial markets with efficient friction In: Finance and Stochastics.
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article41
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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