Yuri Kabanov

Publication Activity (10 Years)

Years Active: 1997-2022
Publications (10 Years): 4

Top Topics

Portfolio Management

Production Processes

Return On Investment

Top Venues

Finance Stochastics

J. Appl. Probab.

Publications

Yuri Kabanov, Nikita Pukhlyakov
Ruin probabilities with investments: smoothness, inegro-differential and ordinary differential equations, asymptotic behavior. J. Appl. Probab. 59 (2) (2022)
Dimitri De Vallière, Yuri Kabanov, Emmanuel Lépinette
Consumption-investment problem with transaction costs for Lévy-driven price processes. Finance Stochastics 20 (3) (2016)
Yuri Kabanov, Constantinos Kardaras, Shiqi Song
No arbitrage of the first kind and local martingale numéraires. Finance Stochastics 20 (4) (2016)
Yuri Kabanov, Serguei Pergamenshchikov
In the insurance business risky investments are dangerous: the case of negative risk sums. Finance Stochastics 20 (2) (2016)
Julien Grépat, Yuri Kabanov
Small transaction costs, absence of arbitrage and consistent price systems. Finance Stochastics 16 (3) (2012)
Emmanuel Denis, Yuri Kabanov
Consistent price systems and arbitrage opportunities of the second kind in models with transaction costs. Finance Stochastics 16 (1) (2012)
Emmanuel Denis, Yuri Kabanov
Mean square error for the Leland-Lott hedging strategy: convex pay-offs. Finance Stochastics 14 (4) (2010)
Dimitri De Vallière, Emmanuel Denis, Yuri Kabanov
Hedging of American options under transaction costs. Finance Stochastics 13 (1) (2009)
Yuri Kabanov
In discrete time a local martingale is a martingale under an equivalent probability measure. Finance Stochastics 12 (3) (2008)
Dimitri De Vallière, Yuri Kabanov, Christophe Stricker
No-arbitrage criteria for financial markets with transaction costs and incomplete information. Finance Stochastics 11 (2) (2007)
Freddy Delbaen, Paul Embrechts, Hans Föllmer, Yuri Kabanov, Steven E. Shreve
Editorial. Finance Stochastics 8 (1) (2004)
Yuri Kabanov, Claudia Klüppelberg
A geometric approach to portfolio optimization in models with transaction costs. Finance Stochastics 8 (2) (2004)
Jean-Michel Courtault, Freddy Delbaen, Yuri Kabanov, Christophe Stricker
On the law of one price. Finance Stochastics 8 (4) (2004)
Yuri Kabanov, Miklós Rásonyi, Christophe Stricker
and the robust no-arbitrage property. Finance Stochastics 7 (3) (2003)
Anna Frolova, Yuri Kabanov, Serguei Pergamenshchikov
In the insurance business risky investments are dangerous. Finance Stochastics 6 (2) (2002)
Yuri Kabanov, Miklós Rásonyi, Christophe Stricker
No-arbitrage criteria for financial markets with efficient friction. Finance Stochastics 6 (3) (2002)
Tomas Björk, Giovanni B. Di Masi, Yuri Kabanov, Wolfgang J. Runggaldier
Towards a general theory of bond markets. Finance Stochastics 1 (2) (1997)