Yuri Kabanov

17 papers Journal 17
YearRankTypeTitle / Venue / Authors
2022 J jnl
Ruin probabilities with investments: smoothness, inegro-differential and ordinary differential equations, asymptotic behavior.
J. Appl. Probab.
Yuri Kabanov, Nikita Pukhlyakov
2016 J jnl
Consumption-investment problem with transaction costs for Lévy-driven price processes.
Finance Stochastics
Dimitri De Vallière, Yuri Kabanov, Emmanuel Lépinette
2016 J jnl
In the insurance business risky investments are dangerous: the case of negative risk sums.
Finance Stochastics
Yuri Kabanov, Serguei Pergamenshchikov
2016 J jnl
No arbitrage of the first kind and local martingale numéraires.
Finance Stochastics
Yuri Kabanov, Constantinos Kardaras, Shiqi Song
2012 J jnl
Consistent price systems and arbitrage opportunities of the second kind in models with transaction costs.
Finance Stochastics
Emmanuel Denis, Yuri Kabanov
2012 J jnl
Small transaction costs, absence of arbitrage and consistent price systems.
Finance Stochastics
Julien Grépat, Yuri Kabanov
2010 J jnl
Mean square error for the Leland-Lott hedging strategy: convex pay-offs.
Finance Stochastics
Emmanuel Denis, Yuri Kabanov
2009 J jnl
Hedging of American options under transaction costs.
Finance Stochastics
Dimitri De Vallière, Emmanuel Denis, Yuri Kabanov
2008 J jnl
In discrete time a local martingale is a martingale under an equivalent probability measure.
Finance Stochastics
Yuri Kabanov
2007 J jnl
No-arbitrage criteria for financial markets with transaction costs and incomplete information.
Finance Stochastics
Dimitri De Vallière, Yuri Kabanov, Christophe Stricker
2004 J jnl
A geometric approach to portfolio optimization in models with transaction costs.
Finance Stochastics
Yuri Kabanov, Claudia Klüppelberg
2004 J jnl
Editorial.
Finance Stochastics
Freddy Delbaen, Paul Embrechts, Hans Föllmer, Yuri Kabanov, Steven E. Shreve
2004 J jnl
On the law of one price.
Finance Stochastics
Jean-Michel Courtault, Freddy Delbaen, Yuri Kabanov, Christophe Stricker
2003 J jnl
On the closedness of sums of convex cones in
Finance Stochastics
Yuri Kabanov, Miklós Rásonyi, Christophe Stricker
2002 J jnl
In the insurance business risky investments are dangerous.
Finance Stochastics
Anna Frolova, Yuri Kabanov, Serguei Pergamenshchikov
2002 J jnl
No-arbitrage criteria for financial markets with efficient friction.
Finance Stochastics
Yuri Kabanov, Miklós Rásonyi, Christophe Stricker
1997 J jnl
Towards a general theory of bond markets.
Finance Stochastics
Tomas Björk, Giovanni B. Di Masi, Yuri Kabanov, Wolfgang J. Runggaldier