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ORCIDYuri Kabanov
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2020 – today
- 2022
[j22]Yuri Kabanov, Nikita Pukhlyakov:
Ruin probabilities with investments: smoothness, inegro-differential and ordinary differential equations, asymptotic behavior. J. Appl. Probab. 59(2): 556-570 (2022)
2010 – 2019
- 2016
- [j21]Yuri Kabanov, Serguei Pergamenshchikov:
In the insurance business risky investments are dangerous: the case of negative risk sums. Finance Stochastics 20(2): 355-379 (2016) - [j20]Dimitri De Vallière, Yuri Kabanov, Emmanuel Lépinette:
Consumption-investment problem with transaction costs for Lévy-driven price processes. Finance Stochastics 20(3): 705-740 (2016) - [j19]Yuri Kabanov, Constantinos Kardaras, Shiqi Song:
No arbitrage of the first kind and local martingale numéraires. Finance Stochastics 20(4): 1097-1108 (2016) - 2012
- [j18]Emmanuel Denis, Yuri Kabanov:
Consistent price systems and arbitrage opportunities of the second kind in models with transaction costs. Finance Stochastics 16(1): 135-154 (2012) - [j17]Julien Grépat, Yuri Kabanov:
Small transaction costs, absence of arbitrage and consistent price systems. Finance Stochastics 16(3): 357-368 (2012) - 2010
- [j16]Emmanuel Denis, Yuri Kabanov:
Mean square error for the Leland-Lott hedging strategy: convex pay-offs. Finance Stochastics 14(4): 625-667 (2010)
2000 – 2009
- 2009
- [j15]Dimitri De Vallière, Emmanuel Denis, Yuri Kabanov:
Hedging of American options under transaction costs. Finance Stochastics 13(1): 105-119 (2009) - 2008
- [j14]Yuri Kabanov:
In discrete time a local martingale is a martingale under an equivalent probability measure. Finance Stochastics 12(3): 293-297 (2008) - 2007
- [j13]Dimitri De Vallière, Yuri Kabanov, Christophe Stricker:
No-arbitrage criteria for financial markets with transaction costs and incomplete information. Finance Stochastics 11(2): 237-251 (2007) - 2004
- [j12]Freddy Delbaen, Paul Embrechts, Hans Föllmer, Yuri Kabanov, Steven E. Shreve:
Editorial. Finance Stochastics 8(1): 1-2 (2004) - [j11]Yuri Kabanov, Claudia Klüppelberg
:
A geometric approach to portfolio optimization in models with transaction costs. Finance Stochastics 8(2): 207-227 (2004) - [j10]Jean-Michel Courtault, Freddy Delbaen, Yuri Kabanov, Christophe Stricker:
On the law of one price. Finance Stochastics 8(4): 525-530 (2004) - 2003
- [j9]Yuri Kabanov, Miklós Rásonyi, Christophe Stricker:
On the closedness of sums of convex cones in L0 and the robust no-arbitrage property. Finance Stochastics 7(3): 403-411 (2003) - 2002
- [j8]Anna Frolova, Yuri Kabanov, Serguei Pergamenshchikov:
In the insurance business risky investments are dangerous. Finance Stochastics 6(2): 227-235 (2002) - [j7]Yuri Kabanov, Miklós Rásonyi, Christophe Stricker:
No-arbitrage criteria for financial markets with efficient friction. Finance Stochastics 6(3): 371-382 (2002)
1990 – 1999
- 1999
- [j6]Yuri M. Kabanov:
Hedging and liquidation under transaction costs in currency markets. Finance Stochastics 3(2): 237-248 (1999) - 1998
- [j5]Yuri M. Kabanov, Dmitry O. Kramkov:
Asymptotic arbitrage in large financial markets. Finance Stochastics 2(2): 143-172 (1998) - 1997
- [j4]Tomas Björk, Giovanni B. Di Masi, Yuri Kabanov, Wolfgang J. Runggaldier:
Towards a general theory of bond markets. Finance Stochastics 1(2): 141-174 (1997) - [j3]Yuri M. Kabanov, Mher M. Safarian:
On Leland's strategy of option pricing with transactions costs. Finance Stochastics 1(3): 239-250 (1997) - [j2]Hans Föllmer, Yuri M. Kabanov:
Optional decomposition and Lagrange multipliers. Finance Stochastics 2(1): 69-81 (1997) - 1996
- [j1]Yuri M. Kabanov, Wolfgang J. Runggaldier:
On control of two-scale stochastic systems with linear dynamics in the fast variables. Math. Control. Signals Syst. 9(2): 107-122 (1996)
Coauthor Index
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