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My authors Follow this authorDmitry Kramkov
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First Name: | Dmitry |
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Last Name: | Kramkov |
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RePEc Short-ID: | pkr25 |
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http://www.math.cmu.edu/people/fac/kramkov.html | |
Department of Mathematical Sciences Carnegie Mellon University Wean Hall 6113 Pittsburgh, PA, 15213-3890, USA | |
Research output
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- Julien Hugonnier & Dmitry Kramkov & Walter Schachermayer, 2005. "On Utility‐Based Pricing Of Contingent Claims In Incomplete Markets," Mathematical Finance, Wiley Blackwell, vol. 15(2), pages 203-212, April.
- Y.M. Kabanov & D.O. Kramkov, 1998. "Asymptotic arbitrage in large financial markets," Finance and Stochastics, Springer, vol. 2(2), pages 143-172.
Citations
Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.Articles
- Julien Hugonnier & Dmitry Kramkov & Walter Schachermayer, 2005.
"On Utility‐Based Pricing Of Contingent Claims In Incomplete Markets,"
Mathematical Finance, Wiley Blackwell, vol. 15(2), pages 203-212, April.
Cited by:
- Pietro Siorpaes, 2015. "Optimal investment and price dependence in a semi-static market," Finance and Stochastics, Springer, vol. 19(1), pages 161-187, January.
- Weidong Tian & Daisuke Yoshikawa, 2017. "Analyzing Equilibrium in Incomplete Markets with Model Uncertainty," International Review of Finance, International Review of Finance Ltd., vol. 17(2), pages 235-262, June.
- Kasper Larsen & Halil Mete Soner & Gordan v{Z}itkovi'c, 2017. "Conditional Davis Pricing," Papers 1702.02087, arXiv.org, revised Aug 2018.
- Mingxin Xu, 2006.
"Risk measure pricing and hedging in incomplete markets,"
Annals of Finance, Springer, vol. 2(1), pages 51-71, January.
- Mingxin Xu, 2004. "Risk Measure Pricing and Hedging in Incomplete Markets," Finance 0406004, University Library of Munich, Germany, revised 07 Mar 2006.
- Mark Owen & Gordan Zitkovic, 2007. "Optimal Investment with an Unbounded Random Endowment and Utility-Based Pricing," Papers 0706.0478, arXiv.org, revised Sep 2007.
- Mark P. Owen & Gordan Žitković, 2009. "Optimal Investment With An Unbounded Random Endowment And Utility‐Based Pricing," Mathematical Finance, Wiley Blackwell, vol. 19(1), pages 129-159, January.
- Kasper Larsen & Halil Soner & Gordan Žitković, 2016. "Facelifting in utility maximization," Finance and Stochastics, Springer, vol. 20(1), pages 99-121, January.
- Miklos Rasonyi & Lukasz Stettner, 2005. "On utility maximization in discrete-time financial market models," Papers math/0505243, arXiv.org.
- Kasper Larsen & Halil Mete Soner & Gordan Žitković, 2020. "Conditional Davis pricing," Finance and Stochastics, Springer, vol. 24(3), pages 565-599, July.
- Kasper Larsen & H. Mete Soner & Gordan Zitkovic, 2014. "Facelifting in Utility Maximization," Papers 1404.2227, arXiv.org.
- Keita Owari, 2011. "A Note on Utility Maximization with Unbounded Random Endowment," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 18(1), pages 89-103, March.
- Jan Obloj & Johannes Wiesel, 2021. "Distributionally robust portfolio maximisation and marginal utility pricing in one period financial markets," Papers 2105.00935, arXiv.org, revised Nov 2021.
- David German, 2010. "Overview of utility-based valuation," Papers 1003.5712, arXiv.org.
- Michail Anthropelos & Gordan Zitkovic, 2008. "On Agents' Agreement and Partial-Equilibrium Pricing in Incomplete Markets," Papers 0803.2198, arXiv.org.
- Kardaras, Constantinos, 2015. "Valuation and parities for exchange options," LSE Research Online Documents on Economics 65535, London School of Economics and Political Science, LSE Library.
- Kramkov, Dmitry & Weston, Kim, 2016. "Muckenhoupt’s (Ap) condition and the existence of the optimal martingale measure," Stochastic Processes and their Applications, Elsevier, vol. 126(9), pages 2615-2633.
- Jan Obłój & Johannes Wiesel, 2021. "Distributionally robust portfolio maximization and marginal utility pricing in one period financial markets," Mathematical Finance, Wiley Blackwell, vol. 31(4), pages 1454-1493, October.
- Dufresne, Pierre Collin & Hugonnier, Julien, 2007. "Pricing and hedging in the presence of extraneous risks," Stochastic Processes and their Applications, Elsevier, vol. 117(6), pages 742-765, June.
- Julien Hugonnier & Dmitry Kramkov, 2004. "Optimal investment with random endowments in incomplete markets," Papers math/0405293, arXiv.org.
- Yunhong Li & Zuo Quan Xu & Xun Yu Zhou, 2023. "Robust utility maximization with intractable claims," Papers 2304.06938, arXiv.org, revised Jul 2023.
- Oleksii Mostovyi & Mihai S^irbu, 2017. "Sensitivity analysis of the utility maximization problem with respect to model perturbations," Papers 1705.08291, arXiv.org.
- Teemu Pennanen, 2014. "Optimal investment and contingent claim valuation in illiquid markets," Finance and Stochastics, Springer, vol. 18(4), pages 733-754, October.
- Johannes Gerer & Gregor Dorfleitner, 2016. "A Note On Utility Indifference Pricing," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(06), pages 1-17, September.
- Constantinos Kardaras & Gordan Zitkovic, 2007. "Stability of the utility maximization problem with random endowment in incomplete markets," Papers 0706.0482, arXiv.org, revised Mar 2010.
- Erhan Bayraktar & Xiang Yu, 2015. "Optimal Investment with Random Endowments and Transaction Costs: Duality Theory and Shadow Prices," Papers 1504.00310, arXiv.org, revised Aug 2018.
- Kallsen Jan & Kühn Christoph, 2006. "On utility-based derivative pricing with and without intermediate trades," Statistics & Risk Modeling, De Gruyter, vol. 24(4/2006), pages 1-20, October.
- Alet Roux & Zhikang Xu, 2019. "Optimal investment and contingent claim valuation with exponential disutility under proportional transaction costs," Papers 1909.06260, arXiv.org, revised May 2021.
- Oleksii Mostovyi & Mihai Sîrbu, 2019. "Sensitivity analysis of the utility maximisation problem with respect to model perturbations," Finance and Stochastics, Springer, vol. 23(3), pages 595-640, July.
- Khaled Salhi, 2017. "Pricing European options and risk measurement under exponential Lévy models — a practical guide," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 4(02n03), pages 1-36, June.
- Guo, Ivan & Zhu, Song-Ping, 2017. "Equal risk pricing under convex trading constraints," Journal of Economic Dynamics and Control, Elsevier, vol. 76(C), pages 136-151.
- Dmitry Kramkov & Kim Weston, 2015. "Muckenhoupt's $(A_p)$ condition and the existence of the optimal martingale measure," Papers 1507.05865, arXiv.org.
- Masahiro Fujimoto, 2018. "The Theoretical Price of a Share-Based Payment with Performance Conditions and Implications for the Current Accounting Standards," Papers 1806.05401, arXiv.org.
- Walter Schachermayer & Mihai Sîrbu & Erik Taflin, 2009. "In which financial markets do mutual fund theorems hold true?," Finance and Stochastics, Springer, vol. 13(1), pages 49-77, January.
- Yunhong Li & Zuo Quan Xu & Xun Yu Zhou, 2023. "Robust utility maximisation with intractable claims," Finance and Stochastics, Springer, vol. 27(4), pages 985-1015, October.
- Maria Grith & Volker Krätschmer, 2010. "Parametric estimation of risk neutral density functions," SFB 649 Discussion Papers SFB649DP2010-045, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Y.M. Kabanov & D.O. Kramkov, 1998.
"Asymptotic arbitrage in large financial markets,"
Finance and Stochastics, Springer, vol. 2(2), pages 143-172.
Cited by:
- Morten Christensen & Eckhard Platen, 2004. "A General Benchmark Model for Stochastic Jump Sizes," Research Paper Series 139, Quantitative Finance Research Centre, University of Technology, Sydney.
- Ben Hambly & Nikolaos Kolliopoulos, 2018. "Fast mean-reversion asymptotics for large portfolios of stochastic volatility models," Papers 1811.08808, arXiv.org, revised Feb 2020.
- Ben Hambly & Juozas Vaicenavicius, 2015. "The 3/2 Model As A Stochastic Volatility Approximation For A Large-Basket Price-Weighted Index," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 18(06), pages 1-25.
- Clotilde Napp & Elyès Jouini, 2005.
"Arbitrage and state price deflators in a general intertemporal framework,"
Post-Print
halshs-00151526, HAL.
- Jouini, Elyes & Napp, Clotilde & Schachermayer, Walter, 2005. "Arbitrage and state price deflators in a general intertemporal framework," Journal of Mathematical Economics, Elsevier, vol. 41(6), pages 722-734, September.
- Nikolai Dokuchaev, 2007. "Mean-Reverting Market Model: Speculative Opportunities and Non-Arbitrage," Applied Mathematical Finance, Taylor & Francis Journals, vol. 14(4), pages 319-337.
- Michał Baran, 2007. "Asymptotic pricing in large financial markets," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 66(1), pages 1-20, August.
- Irene Klein & Emmanuel Lepinette & Lavinia Ostafe, 2012. "Large Financial Markets and Asymptotic Arbitrage with Small Transaction Costs," Papers 1211.0443, arXiv.org.
- Micha{l} Barski, 2015. "Asymptotic pricing in large financial markets," Papers 1512.06582, arXiv.org.
- Tom Fischer, 2015. "No-Arbitrage Prices of Cash Flows and Forward Contracts as Choquet Representations," Papers 1506.01837, arXiv.org, revised Jun 2015.
- Tomas Björk & Bertil Näslund, 1998.
"Diversified Portfolios in Continuous Time,"
Review of Finance, European Finance Association, vol. 1(3), pages 361-387.
- Björk, Tomas & Näslund, Bertil, 1996. "Diversified Portfolios in Continuous Time," SSE/EFI Working Paper Series in Economics and Finance 122, Stockholm School of Economics.
- Paolo Guasoni & Constantinos Kardaras & Scott Robertson & Hao Xing, 2014. "Abstract, classic, and explicit turnpikes," Finance and Stochastics, Springer, vol. 18(1), pages 75-114, January.
- Dare, Wale, 2017. "Testing efficiency in small and large financial markets," Economics Working Paper Series 1714, University of St. Gallen, School of Economics and Political Science.
- Winslow Strong, 2011. "Fundamental theorems of asset pricing for piecewise semimartingales of stochastic dimension," Papers 1112.5340, arXiv.org.
- Soumik Pal, 2016. "Exponentially concave functions and high dimensional stochastic portfolio theory," Papers 1603.01865, arXiv.org, revised Mar 2016.
- Winslow Strong, 2014. "Fundamental theorems of asset pricing for piecewise semimartingales of stochastic dimension," Finance and Stochastics, Springer, vol. 18(3), pages 487-514, July.
- Fatma Haba & Antoine Jacquier, 2013.
"Asymptotic arbitrage in the Heston model,"
Papers
1302.6491, arXiv.org, revised Apr 2014.
- Fatma Haba & Antoine Jacquier, 2015. "Asymptotic Arbitrage In The Heston Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 18(08), pages 1-18, December.
- Bas Peeters & Cees L. Dert & André Lucas, 2003. "Black Scholes for Portfolios of Options in Discrete Time: the Price is Right, the Hedge is wrong," Tinbergen Institute Discussion Papers 03-090/2, Tinbergen Institute.
- Kraft, Holger & Steffensen, Mogens, 2008. "How to invest optimally in corporate bonds: A reduced-form approach," Journal of Economic Dynamics and Control, Elsevier, vol. 32(2), pages 348-385, February.
- Claudio Fontana & Zorana Grbac & Sandrine Gümbel & Thorsten Schmidt, 2020. "Term structure modelling for multiple curves with stochastic discontinuities," Post-Print hal-03898927, HAL.
- Claudio Fontana & Zorana Grbac & Sandrine Gümbel & Thorsten Schmidt, 2020. "Term structure modelling for multiple curves with stochastic discontinuities," Finance and Stochastics, Springer, vol. 24(2), pages 465-511, April.
- Dmitry B. Rokhlin, 2007. "Asymptotic arbitrage and num\'eraire portfolios in large financial markets," Papers math/0702849, arXiv.org.
- Schulze, Klaas, 2008. "Asymptotic Maturity Behavior of the Term Structure," Bonn Econ Discussion Papers 11/2008, University of Bonn, Bonn Graduate School of Economics (BGSE).
- Martin Mbele Bidima & Miklos Rasonyi, 2012. "On long-term arbitrage opportunities in Markovian models of financial markets," Annals of Operations Research, Springer, vol. 200(1), pages 131-146, November.
- Irene Klein & Emmanuel Lépinette & Lavinia Perez-Ostafe, 2014. "Asymptotic arbitrage with small transaction costs," Finance and Stochastics, Springer, vol. 18(4), pages 917-939, October.
- Miklos Rasonyi, 2015. "Maximizing expected utility in the Arbitrage Pricing Model," Papers 1508.07761, arXiv.org, revised Mar 2017.
- Fischer, Tom, 2007. "A law of large numbers approach to valuation in life insurance," Insurance: Mathematics and Economics, Elsevier, vol. 40(1), pages 35-57, January.
- Oleksii Mostovyi, 2014. "Utility maximization in the large markets," Papers 1403.6175, arXiv.org, revised Oct 2014.
- Igor Evstigneev & Dhruv Kapoor, 2006.
"Arbitrage in stationary markets,"
Economics Discussion Paper Series
0619, Economics, The University of Manchester.
- Igor Evstigneev & Dhruv Kapoor, 2009. "Arbitrage in stationary markets," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 32(1), pages 5-12, May.
- Igor Evstigneev & Dhruv Kapoor, 2007. "Arbitrage in Stationary Markets," Swiss Finance Institute Research Paper Series 07-32, Swiss Finance Institute.
- Irene Klein & Thorsten Schmidt & Josef Teichmann, 2013. "When roll-overs do not qualify as num\'eraire: bond markets beyond short rate paradigms," Papers 1310.0032, arXiv.org.
- Miklós Rásonyi, 2016. "On Optimal Strategies For Utility Maximizers In The Arbitrage Pricing Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(07), pages 1-12, November.
- Ben Hambly & Nikolaos Kolliopoulos, 2019. "Stochastic PDEs for large portfolios with general mean-reverting volatility processes," Papers 1906.05898, arXiv.org, revised Mar 2024.
- Laurence Carassus & Miklos Rasonyi, 2019. "From small markets to big markets," Papers 1907.05593, arXiv.org, revised Oct 2020.
- Miklós Rásonyi, 2004. "Arbitrage pricing theory and risk-neutral measures," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 27(2), pages 109-123, December.
- Miklos Rasonyi, 2016. "On optimal strategies for utility maximizers in the Arbitrage Pricing Model," Papers 1602.05758, arXiv.org, revised Jul 2016.
- Laurence Carassus & Miklos Rasonyi, 2019. "Risk-neutral pricing for APT," Papers 1904.11252, arXiv.org, revised Oct 2020.
- Mahan Tahvildari, 2021. "Forward indifference valuation and hedging of basis risk under partial information," Papers 2101.00251, arXiv.org.
- Laurence Carassus & Miklós Rásonyi, 2020. "Risk-Neutral Pricing for Arbitrage Pricing Theory," Journal of Optimization Theory and Applications, Springer, vol. 186(1), pages 248-263, July.
- De Donno, M. & Guasoni, P. & Pratelli, M., 2005. "Super-replication and utility maximization in large financial markets," Stochastic Processes and their Applications, Elsevier, vol. 115(12), pages 2006-2022, December.
- Fernando Cordero & Lavinia Perez-Ostafe, 2014. "Critical transaction costs and 1-step asymptotic arbitrage in fractional binary markets," Papers 1407.8068, arXiv.org.
- Dokuchaev, N. G. & Savkin, Andrey V., 2004. "Universal strategies for diffusion markets and possibility of asymptotic arbitrage," Insurance: Mathematics and Economics, Elsevier, vol. 34(3), pages 409-419, June.
- Miklós Rásonyi, 2008. "A note on arbitrage in term structure," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 31(1), pages 73-79, May.
- Zbigniew Palmowski & {L}ukasz Stettner & Anna Sulima, 2018. "Optimal portfolio selection in an It\^o-Markov additive market," Papers 1806.03496, arXiv.org.
- Pal, Soumik, 2019. "Exponentially concave functions and high dimensional stochastic portfolio theory," Stochastic Processes and their Applications, Elsevier, vol. 129(9), pages 3116-3128.
- Zbigniew Palmowski & Łukasz Stettner & Anna Sulima, 2019. "Optimal Portfolio Selection in an Itô–Markov Additive Market," Risks, MDPI, vol. 7(1), pages 1-32, March.
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