Юрий Михайлович Кабанов : Citation Profile

M. V. Lomonosov Moscow State University

15

H index

20

i10 index

834

Citations

RESEARCH PRODUCTION:

31

Articles

11

Papers

1

Chapters

RESEARCH ACTIVITY:

   27 years (1995 - 2022). See details.
   Cites by year: 30
   Journals where Юрий Михайлович Кабанов has often published
   Relations with other researchers
   Recent citing documents: 43.    Total self citations: 8 (0.95 %)

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   Permalink: http://citec.repec.org/pka521
   Updated: 2025-12-27    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)

Bayraktar, Erhan (15)

Riedel, Frank (14)

Platen, Eckhard (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)

Ok, Efe (2)

He, Hua (2)

Evren, Ozgur (2)

Jouini, Elyès (2)

He, Hua (2)

Perraudin, William (1)

Framstad, Nils (1)

merton, robert (1)

Bayraktar, Erhan (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
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 (2025 and 2024)

YearTitle of citing document
2024Stochastic PDEs for large portfolios with general mean-reverting volatility processes. (2024). Kolliopoulos, Nikolaos ; Hambly, Ben. In: Papers. RePEc:arx:papers:1906.05898.

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2024Quasi-sure essential supremum and applications to finance. (2024). Carassus, Laurence. In: Papers. RePEc:arx:papers:2107.12862.

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2024Handling model risk with XVAs. (2024). Albanese, Claudio ; Cr, St'Ephane. In: Papers. RePEc:arx:papers:2205.11834.

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

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2024The law of one price in quadratic hedging and mean-variance portfolio selection. (2024). Černý, Aleš ; Czichowsky, Christoph ; Vcern, Alevs. In: Papers. RePEc:arx:papers:2210.15613.

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2025Robust utility maximisation under proportional transaction costs for c\`adl\`ag price processes. (2024). Huwyler, Raphael ; Czichowsky, Christoph. In: Papers. RePEc:arx:papers:2211.00532.

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2024Analysis of optimal portfolio on finite and small-time horizons for a stochastic volatility model with multiple correlated assets. (2024). Lin, Minglian ; Sengupta, Indranil. In: Papers. RePEc:arx:papers:2302.06778.

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

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2024Super-hedging-pricing formulas and Immediate-Profit arbitrage for market models under random horizon. (2024). Choulli, Tahir ; Lepinette, Emmanuel. In: Papers. RePEc:arx:papers:2401.05713.

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2024Exploratory Optimal Stopping: A Singular Control Formulation. (2024). Xu, Renyuan ; Dianetti, Jodi ; Ferrari, Giorgio. In: Papers. RePEc:arx:papers:2408.09335.

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2024Hedging in Jump Diffusion Model with Transaction Costs. (2024). Sottinen, Tommi ; Almani, Hamidreza Maleki ; Shokrollahi, Foad. In: Papers. RePEc:arx:papers:2408.10785.

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2025Real-world models for multiple term structures: a unifying HJM semimartingale framework. (2025). Tappe, Stefan ; Platen, Eckhard ; Fontana, Claudio. In: Papers. RePEc:arx:papers:2411.01983.

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2024A general framework for pricing and hedging under local viability. (2024). Rasonyi, Miklos ; Chau, Huy N. In: Papers. RePEc:arx:papers:2411.19206.

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2025Beyond the Leland strategies. (2025). Lepinette, Emmanuel ; Omrani, Amal. In: Papers. RePEc:arx:papers:2503.02419.

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2025Consumption-portfolio choice with preferences for liquid assets. (2025). Hu, Jiaqi ; Guan, Guohui ; Liang, Zongxia. In: Papers. RePEc:arx:papers:2503.02697.

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2025On weak notions of no-arbitrage in a 1D general diffusion market with interest rates. (2025). Anagnostakis, Alexis ; Urusov, Mikhail ; Criens, David. In: Papers. RePEc:arx:papers:2503.14078.

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2025Meyer-Zheng topology and multi-asset behavioral portfolio selection under transaction costs. (2025). Sidorenko, Artur. In: Papers. RePEc:arx:papers:2505.01876.

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2025The value of partial information. (2025). Mostovyi, Oleksii ; Ernst, Philip A. In: Papers. RePEc:arx:papers:2505.08943.

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2025Robust Hedging of American Options via Aggregated Snell Envelopes. (2025). Rodrigues, Marco. In: Papers. RePEc:arx:papers:2506.14553.

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2025Non-conservative optimal transport. (2025). Kov, Gabriela ; Patel, Niket ; Menz, Georg. In: Papers. RePEc:arx:papers:2510.03332.

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2025Goal-based portfolio selection with fixed transaction costs. (2025). Bayraktar, Erhan ; Han, Bingyan ; Zhang, Jingjie. In: Papers. RePEc:arx:papers:2510.21650.

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2025Asset Pricing in the Presence of Market Microstructure Noise. (2025). Yegon, Peter ; Rachev, Svetlozar T ; Lindquist, Brent W. In: Papers. RePEc:arx:papers:2511.00308.

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2025Superhedging under Proportional Transaction Costs in Continuous Time. (2025). Almuzaini, Atiqah ; Ararat, Ccaugin ; Ma, Jin. In: Papers. RePEc:arx:papers:2511.18169.

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2024Optimal Consumption for Recursive Preferences with Local Substitution under Risk. (2024). Riedel, Frank ; Li, Hanwu. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:693.

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2025Exploratory Optimal Stopping: A Singular Control Formulation. (2025). Ferrari, Giorgio ; Dianetti, Jodi ; Xu, Renyuan. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:740.

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2025Entropy Regularization in Mean-Field Games of Optimal Stopping. (2025). Dumitrescu, Roxana ; Xu, Renyuan ; Ferrari, Giorgio ; Dianetti, Jodi. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:755.

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2024Arbitrage theory in a market of stochastic dimension. (2024). Bayraktar, Erhan ; Kim, Dong Han ; Tilva, Abhishek. In: Mathematical Finance. RePEc:bla:mathfi:v:34:y:2024:i:3:p:847-895.

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2025Geopolitical risk and energy markets in China. (2025). Su, Xiaomei ; Razi, Ummara ; Zhao, Shangmei ; Li, Wei ; Gu, Xiao ; Yan, Jiale. In: International Review of Financial Analysis. RePEc:eee:finana:v:103:y:2025:i:c:s1057521925002741.

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2025Modeling and pricing credit risk with a focus on recovery risk. (2025). Liu, Haibo ; Tang, Qihe. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:170:y:2025:i:c:s0378426624002310.

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2025Power Levy motion: Correlations and relaxation. (2025). Eliazar, Iddo. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:674:y:2025:i:c:s0378437125004169.

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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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2025Lévy models amenable to efficient calculations. (2025). Boyarchenko, Svetlana ; Levendorskii, Sergei. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:186:y:2025:i:c:s0304414925000778.

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2025The law of one price in quadratic hedging and mean–variance portfolio selection. (2025). Ern, Ale ; Czichowsky, Christoph. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:125805.

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2025Minimal Entropy and Entropic Risk Measures: A Unified Framework via Relative Entropy. (2025). Sohns, Moritz. In: Risks. RePEc:gam:jrisks:v:13:y:2025:i:4:p:70-:d:1625963.

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2024Asset pricing and hedging in financial markets with fixed and proportional transaction costs. (2024). Babaei, Esmaeil. In: Annals of Finance. RePEc:kap:annfin:v:20:y:2024:i:2:d:10.1007_s10436-024-00441-w.

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2025Evolutionary Finance: Models with Long-Lived Assets. (2025). Chen, Zerong. In: Economics Discussion Paper Series. RePEc:man:sespap:2501.

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2024Fundamental Theorem of Asset Pricing under fixed and proportional costs in multi-asset setting and finite probability space. (2024). Zastawniak, Tomasz. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:47:y:2024:i:1:d:10.1007_s10203-024-00439-z.

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2025Linear-quadratic-singular stochastic differential games and applications. (2025). Dianetti, Jodi. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:48:y:2025:i:1:d:10.1007_s10203-023-00422-0.

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2025Quasi-sure essential supremum and applications to finance. (2025). Carassus, Laurence. In: Finance and Stochastics. RePEc:spr:finsto:v:29:y:2025:i:1:d:10.1007_s00780-024-00553-1.

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2025Pricing of contingent claims in large markets. (2025). Siorpaes, Pietro ; Mostovyi, Oleksii. In: Finance and Stochastics. RePEc:spr:finsto:v:29:y:2025:i:1:d:10.1007_s00780-024-00554-0.

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2025The law of one price in quadratic hedging and mean–variance portfolio selection. (2025). Černý, Aleš ; Czichowsky, Christoph. In: Finance and Stochastics. RePEc:spr:finsto:v:29:y:2025:i:3:d:10.1007_s00780-025-00563-7.

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2025Evaluation of optimal selling and buying boundaries in optimal investment with transaction costs. (2025). Yang, Wensheng. In: Mathematics and Financial Economics. RePEc:spr:mathfi:v:19:y:2025:i:2:d:10.1007_s11579-025-00385-3.

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2024CRRA Utility Maximization Over a Finite Horizon in an Exponential Levy 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]		article27
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: 27		paper
2002Hedging under Transaction Costs in Currency Markets: a Discrete‐Time Model In: Mathematical Finance.
[Full Text][Citation analysis]		article14
2002Hedging under Transaction Costs in Currency Markets: a Continuous‐Time Model In: Mathematical Finance.
[Full Text][Citation analysis]		article24
2002On the optimal portfolio for the exponential utility maximization: remarks to the six‐author paper In: Mathematical Finance.
[Full Text][Citation analysis]		article37
1997Bond Market Structure in the Presence of Marked Point Processes In: Mathematical Finance.
[Full Text][Citation analysis]		article118
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]		article11
2013Essential supremum and essential maximum with respect to random preference relations In: Journal of Mathematical Economics.
[Full Text][Citation analysis]		article8
2022Ruin probabilities for a Sparre Andersen model with investments In: Stochastic Processes and their Applications.
[Full Text][Citation analysis]		article3
2016No arbitrage of the first kind and local martingale numéraires In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]		paper21
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: 21		article
2009Markets with Transaction Costs. Mathematical Theory. In: Post-Print.
[Citation analysis]		paper88
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]		paper19
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: 19		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]		paper2
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]		article9
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]		article29
1995On Lelands Strategy of Option Pricing with Transaction Costs.(1995) In: SFB 373 Discussion Papers.
[Citation analysis]
This paper has nother version. Agregated cites: 29		paper
2016Consumption-investment problem with transaction costs for Lévy-driven price processes In: Finance and Stochastics.
[Full Text][Citation analysis]		article3
2020Ruin probabilities for a Lévy-driven generalised Ornstein–Uhlenbeck process In: Finance and Stochastics.
[Full Text][Citation analysis]		article4
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]		article16
1997Optional decomposition and lagrange multipliers.(1997) In: SFB 373 Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 16		paper
1998Asymptotic arbitrage in large financial markets In: Finance and Stochastics.
[Full Text][Citation analysis]		article50
1999Hedging and liquidation under transaction costs in currency markets In: Finance and Stochastics.
[Full Text][Citation analysis]		article133
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]		article10
2004On the law of one price In: Finance and Stochastics.
[Full Text][Citation analysis]		article6
2007A positive interest rate model with sticky barrier In: Quantitative Finance.
[Full Text][Citation analysis]		article2

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