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Yuri Kabanov

According to our database1, Yuri Kabanov authored at least 22 papers between 1996 and 2022.

Collaborative distances:
  • Dijkstra number2 of five.
  • Erdős number3 of five.

Timeline

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On csauthors.net:

Bibliography

2022
Ruin probabilities with investments: smoothness, inegro-differential and ordinary differential equations, asymptotic behavior.
[BibTeX]
[DOI]
Yuri Kabanov
,
Nikita Pukhlyakov
J. Appl. Probab., 2022

2016
Consumption-investment problem with transaction costs for Lévy-driven price processes.
[BibTeX]
[DOI]
Dimitri De Vallière
,
Yuri Kabanov
,
Emmanuel Lépinette
Finance Stochastics, 2016

In the insurance business risky investments are dangerous: the case of negative risk sums.
[BibTeX]
[DOI]
Yuri Kabanov
,
Serguei Pergamenshchikov
Finance Stochastics, 2016

No arbitrage of the first kind and local martingale numéraires.
[BibTeX]
[DOI]
Yuri Kabanov
,
Constantinos Kardaras
,
Shiqi Song
Finance Stochastics, 2016

2012
Small transaction costs, absence of arbitrage and consistent price systems.
[BibTeX]
[DOI]
Julien Grépat
,
Yuri Kabanov
Finance Stochastics, 2012

Consistent price systems and arbitrage opportunities of the second kind in models with transaction costs.
[BibTeX]
[DOI]
Emmanuel Denis
,
Yuri Kabanov
Finance Stochastics, 2012

2010
Mean square error for the Leland-Lott hedging strategy: convex pay-offs.
[BibTeX]
[DOI]
Emmanuel Denis
,
Yuri Kabanov
Finance Stochastics, 2010

2009
Hedging of American options under transaction costs.
[BibTeX]
[DOI]
Dimitri De Vallière
,
Emmanuel Denis
,
Yuri Kabanov
Finance Stochastics, 2009

2008
In discrete time a local martingale is a martingale under an equivalent probability measure.
[BibTeX]
[DOI]
Yuri Kabanov
Finance Stochastics, 2008

2007
No-arbitrage criteria for financial markets with transaction costs and incomplete information.
[BibTeX]
[DOI]
Dimitri De Vallière
,
Yuri Kabanov
,
Christophe Stricker
Finance Stochastics, 2007

2004
A geometric approach to portfolio optimization in models with transaction costs.
[BibTeX]
[DOI]
Yuri Kabanov
,
Claudia Klüppelberg
Finance Stochastics, 2004

Editorial.
[BibTeX]
[DOI]
Freddy Delbaen
,
Paul Embrechts
,
Hans Föllmer
,
Yuri Kabanov
,
Steven E. Shreve
Finance Stochastics, 2004

On the law of one price.
[BibTeX]
[DOI]
Jean-Michel Courtault
,
Freddy Delbaen
,
Yuri Kabanov
,
Christophe Stricker
Finance Stochastics, 2004

2003
On the closedness of sums of convex cones in <i>L</i><sup>0</sup> and the robust no-arbitrage property.
[BibTeX]
[DOI]
Yuri Kabanov
,
Miklós Rásonyi
,
Christophe Stricker
Finance Stochastics, 2003

2002
No-arbitrage criteria for financial markets with efficient friction.
[BibTeX]
[DOI]
Yuri Kabanov
,
Miklós Rásonyi
,
Christophe Stricker
Finance Stochastics, 2002

In the insurance business risky investments are dangerous.
[BibTeX]
[DOI]
Anna Frolova
,
Yuri Kabanov
,
Serguei Pergamenshchikov
Finance Stochastics, 2002

1999
Hedging and liquidation under transaction costs in currency markets.
[BibTeX]
[DOI]
Yuri M. Kabanov
Finance Stochastics, 1999

1998
Asymptotic arbitrage in large financial markets.
[BibTeX]
[DOI]
Yuri M. Kabanov
,
Dmitry O. Kramkov
Finance Stochastics, 1998

1997
On Leland's strategy of option pricing with transactions costs.
[BibTeX]
[DOI]
Yuri M. Kabanov
,
Mher M. Safarian
Finance Stochastics, 1997

Optional decomposition and Lagrange multipliers.
[BibTeX]
[DOI]
Hans Föllmer
,
Yuri M. Kabanov
Finance Stochastics, 1997

Towards a general theory of bond markets.
[BibTeX]
[DOI]
Tomas Björk
,
Giovanni B. Di Masi
,
Yuri Kabanov
,
Wolfgang J. Runggaldier
Finance Stochastics, 1997

1996
On control of two-scale stochastic systems with linear dynamics in the fast variables.
[BibTeX]
[DOI]
Yuri M. Kabanov
,
Wolfgang J. Runggaldier
Math. Control. Signals Syst., 1996


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