Юрий Михайлович Кабанов : Citation Profile

Are you Юрий Михайлович Кабанов?

M. V. Lomonosov Moscow State University

14

H index

16

i10 index

726

Citations

RESEARCH PRODUCTION:

28

Articles

11

Papers

1

Chapters

RESEARCH ACTIVITY:

   27 years (1995 - 2022). See details.
   Cites by year: 26
   Journals where Юрий Михайлович Кабанов has often published
   Relations with other researchers
   Recent citing documents: 33.    Total self citations: 8 (1.09 %)

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   Permalink: http://citec.repec.org/pka521
   Updated: 2024-11-04    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 (15)

Riedel, Frank (14)

Platen, Eckhard (12)

Bayraktar, Erhan (12)

Nikitopoulos-Sklibosios, Christina (10)

Jouini, Elyès (9)

Podolskij, Mark (9)

Evstigneev, Igor (7)

Nguyen-Huu, Adrien (6)

Schenk-Hoppé, Klaus (6)

Pergamenshchikov, Sergey (5)

Cites to:

Jarrow, Robert (3)

Pergamenshchikov, Sergey (3)

He, Hua (2)

Ok, Efe (2)

Jouini, Elyès (2)

He, Hua (2)

Evren, Ozgur (2)

POLIMENIS, VASSILIS (1)

Perraudin, William (1)

Bayraktar, Erhan (1)

White, Alan (1)

Main data

Where Юрий Михайлович Кабанов has published?

Journals with more than one article published# docs
Finance and Stochastics20
Journal of Mathematical Economics3
Mathematical Finance2

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

Recent works citing Юрий Михайлович Кабанов (2024 and 2023)

YearTitle of citing document
2024Stochastic 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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2024Quasi-sure essential supremum and applications to finance. (2021). Carassus, Laurence. In: Papers. RePEc:arx:papers:2107.12862.

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2024Hedging Valuation Adjustment and Model Risk. (2022). Cr, St'Ephane ; Albanese, Claudio. In: Papers. RePEc:arx:papers:2205.11834.

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2023Modern Tontine with Transaction Costs. (2022). Wang, Sheng ; Liang, Zongxia ; He, Lin. In: Papers. RePEc:arx:papers:2209.09709.

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2024Quantitative Fundamental Theorem of Asset Pricing. (2022). Gudmund, Pammer ; Julio, Backhoff ; Beatrice, Acciaio . In: Papers. RePEc:arx:papers:2209.15037.

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2024The law of one price in mean-variance hedging. (2022). Czichowsky, Christoph ; Vcern, Alevs. In: Papers. RePEc:arx:papers:2210.15613.

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2024Robust utility maximisation under proportional transaction costs for c\`adl\`ag price processes. (2022). Huwyler, Raphael ; Czichowsky, Christoph. In: Papers. RePEc:arx:papers:2211.00532.

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2023Arbitrage theory in a market of stochastic dimension. (2022). Tilva, Abhishek ; Kim, Donghan ; Bayraktar, Erhan. In: Papers. RePEc:arx:papers:2212.04623.

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2023Analysis 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.

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2023A 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.

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2023Bacheliers Market Model for ESG Asset Pricing. (2023). Yegon, Peter ; Omotade, Blessing ; Nyarko, Nancy Asare ; Rachev, Svetlozar. In: Papers. RePEc:arx:papers:2306.04158.

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2024The fundamental theorem of asset pricing with and without transaction costs. (2023). Kuhn, Christoph. In: Papers. RePEc:arx:papers:2307.00571.

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2023Exploring 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.

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2023Robust 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.

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2023Linear-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.

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2023Pricing 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.

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2024Orthogonal intertwiners for infinite particle systems in the continuum. (2024). Wagner, Stefan. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:168:y:2024:i:c:s0304414923002417.

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2023.

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2023No-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.

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2023In memoriam: Tomas Björk (1947–2021). (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.

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2023Ruin 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.

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2023A 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.

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2024CRRA Utility Maximization Over a Finite Horizon in an Exponential Lévy Model with Finite Activity. (2024). Stefano, Baccarin. In: Working papers. RePEc:tur:wpapnw:092.

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Works by Юрий Михайлович Кабанов:

YearTitleTypeCited
2000Louis Bachelier on the Centenary of Théorie de la Spéculation In: Mathematical Finance.
[Full Text][Citation analysis]		article26
2000Louis Bachelier On the centenary of Théorie de la Spéculation.(2000) In: Post-Print.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 26		paper
1997Bond Market Structure in the Presence of Marked Point Processes In: Mathematical Finance.
[Full Text][Citation analysis]		article115
2001The Harrison-Pliska arbitrage pricing theorem under transaction costs In: Journal of Mathematical Economics.
[Full Text][Citation analysis]		article35
2013Essential supremum with respect to a random partial order In: Journal of Mathematical Economics.
[Full Text][Citation analysis]		article10
2013Essential supremum and essential maximum with respect to random preference relations In: Journal of Mathematical Economics.
[Full Text][Citation analysis]		article7
2022Ruin probabilities for a Sparre Andersen model with investments In: Stochastic Processes and their Applications.
[Full Text][Citation analysis]		article2
2016No arbitrage of the first kind and local martingale numéraires In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]		paper18
2016No 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
2009Markets with Transaction Costs. Mathematical Theory. In: Post-Print.
[Citation analysis]		paper85
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.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		chapter
2010Mean square error for the Leland-Lott hedging strategy: convex pay-offs. In: Post-Print.
[Citation analysis]		paper18
2010Mean square error for the Leland–Lott hedging strategy: convex pay-offs.(2010) In: Finance and Stochastics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 18		article
2011Consistent price systems and arbitrage opportunities of the second kind in models with transaction costs. In: Post-Print.
[Citation analysis]		paper13
2012Consistent 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: 13		article
2006From Stochastic Calculus to Mathematical Finance. The Shiryaev Festschrift. In: Post-Print.
[Citation analysis]		paper50
1995Bond 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]		paper3
1996Towards a General Theory of Bond Markets. In: SSE/EFI Working Paper Series in Economics and Finance.
[Full Text][Citation analysis]		paper15
1997Towards a general theory of bond markets (*).(1997) In: Finance and Stochastics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 15		article
2001Option pricing by large risk aversion utility¶under transaction costs In: Decisions in Economics and Finance.
[Full Text][Citation analysis]		article4
2007No-arbitrage criteria for financial markets with transaction costs and incomplete information In: Finance and Stochastics.
[Full Text][Citation analysis]		article4
2008In discrete time a local martingale is a martingale under an equivalent probability measure In: Finance and Stochastics.
[Full Text][Citation analysis]		article4
2009Hedging of American options under transaction costs In: Finance and Stochastics.
[Full Text][Citation analysis]		article8
2012Small transaction costs, absence of arbitrage and consistent price systems In: Finance and Stochastics.
[Full Text][Citation analysis]		article2
1997On Lelands strategy of option pricing with transactions costs In: Finance and Stochastics.
[Full Text][Citation analysis]		article27
1995On 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
2016Consumption-investment problem with transaction costs for Lévy-driven price processes In: Finance and Stochastics.
[Full Text][Citation analysis]		article2
2020Ruin probabilities for a Lévy-driven generalised Ornstein–Uhlenbeck process In: Finance and Stochastics.
[Full Text][Citation analysis]		article3
2021On a multi-asset version of the Kusuoka limit theorem of option superreplication under transaction costs In: Finance and Stochastics.
[Full Text][Citation analysis]		article1
1997Optional decomposition and Lagrange multipliers In: Finance and Stochastics.
[Full Text][Citation analysis]		article15
1997Optional decomposition and lagrange multipliers.(1997) In: SFB 373 Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 15		paper
1998Asymptotic arbitrage in large financial markets In: Finance and Stochastics.
[Full Text][Citation analysis]		article47
1999Hedging and liquidation under transaction costs in currency markets In: Finance and Stochastics.
[Full Text][Citation analysis]		article127
2002In the insurance business risky investments are dangerous In: Finance and Stochastics.
[Full Text][Citation analysis]		article29
2002No-arbitrage criteria for financial markets with efficient friction In: Finance and Stochastics.
[Full Text][Citation analysis]		article42
2004Editorial In: Finance and Stochastics.
[Full Text][Citation analysis]		article0
2004A geometric approach to portfolio optimization in models with transaction costs In: Finance and Stochastics.
[Full Text][Citation analysis]		article7
2004On the law of one price In: Finance and Stochastics.
[Full Text][Citation analysis]		article4
2007A positive interest rate model with sticky barrier In: Quantitative Finance.
[Full Text][Citation analysis]		article2

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated November, 3 2024. Contact: CitEc Team