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Юрий Михайлович Кабанов
(Yuri Kabanov)

Personal Details

First Name:Yuri
Middle Name:
Last Name:Kabanov
Suffix:
RePEc Short-ID:pka521
[This author has chosen not to make the email address public]
http://ykabanov.perso.math.cnrs.fr/page_kabanov_perso.htm

Affiliation

Moscow School of Economics
M. V. Lomonosov Moscow State University

Moscow, Russia
http://www.mse-msu.ru/
RePEc:edi:msmsuru (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Chapters

Working papers

  1. Kabanov, Yuri & Kardaras, Constantinos & Song, Shiqi, 2016. "No arbitrage of the first kind and local martingale numéraires," LSE Research Online Documents on Economics 68002, London School of Economics and Political Science, LSE Library.
  2. Emmanuel Denis & Yuri Kabanov, 2011. "Consistent price systems and arbitrage opportunities of the second kind in models with transaction costs," Post-Print hal-00488288, HAL.
  3. Emmanuel Denis & Yuri Kabanov, 2010. "Mean square error for the Leland-Lott hedging strategy: convex pay-offs," Post-Print hal-00488278, HAL.
  4. Yuri Kabanov, 2009. "Markets with Transaction Costs. Mathematical Theory," Post-Print hal-00488168, HAL.
  5. Moussa Gamys & Yuri Kabanov, 2008. "Mean square error for the Leland-Lott hedging strategy," Post-Print hal-00488170, HAL.
  6. Yuri Kabanov & Robert Liptser, 2006. "From Stochastic Calculus to Mathematical Finance. The Shiryaev Festschrift," Post-Print hal-00488295, HAL.
  7. Jean-Michel Courtault & Youri Kabanov & Bernard Bru & Pierre Crepel & Isabelle Lebon & Arnaud Le Marchand, 2000. "Louis Bachelier On the centenary of Théorie de la Spéculation," Post-Print halshs-00447592, HAL.
  8. Föllmer, Hans & Kabanov, Jurij M., 1997. "Optional decomposition and lagrange multipliers," SFB 373 Discussion Papers 1997,54, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  9. Björk, Tomas & di Masi, Giovanni & Kabanov, Yuri & Runggaldier, Wolfgang, 1996. "Towards a General Theory of Bond Markets," SSE/EFI Working Paper Series in Economics and Finance 143, Stockholm School of Economics.
  10. Björk, T. & Kabanov, Y. & Runggaldier, W., 1995. "Bond markets where prices are driven by a general marked point process," SSE/EFI Working Paper Series in Economics and Finance 88, Stockholm School of Economics.
  11. Kabanov, Y. M. & Safarian, M., 1995. "On Leland's Strategy of Option Pricing with Transaction Costs," SFB 373 Discussion Papers 1995,65, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.

Articles

  1. Eberlein, Ernst & Kabanov, Yuri & Schmidt, Thorsten, 2022. "Ruin probabilities for a Sparre Andersen model with investments," Stochastic Processes and their Applications, Elsevier, vol. 144(C), pages 72-84.
  2. Julien Grépat & Yuri Kabanov, 2021. "On a multi-asset version of the Kusuoka limit theorem of option superreplication under transaction costs," Finance and Stochastics, Springer, vol. 25(1), pages 167-187, January.
  3. Yuri Kabanov & Serguei Pergamenshchikov, 2020. "Ruin probabilities for a Lévy-driven generalised Ornstein–Uhlenbeck process," Finance and Stochastics, Springer, vol. 24(1), pages 39-69, January.
  4. Yuri Kabanov & Constantinos Kardaras & Shiqi Song, 2016. "No arbitrage of the first kind and local martingale numéraires," Finance and Stochastics, Springer, vol. 20(4), pages 1097-1108, October.
  5. Dimitri Vallière & Yuri Kabanov & Emmanuel Lépinette, 2016. "Consumption-investment problem with transaction costs for Lévy-driven price processes," Finance and Stochastics, Springer, vol. 20(3), pages 705-740, July.
  6. Kabanov, Yuri & Lépinette, Emmanuel, 2013. "Essential supremum with respect to a random partial order," Journal of Mathematical Economics, Elsevier, vol. 49(6), pages 478-487.
  7. Kabanov, Yuri & Lépinette, Emmanuel, 2013. "Essential supremum and essential maximum with respect to random preference relations," Journal of Mathematical Economics, Elsevier, vol. 49(6), pages 488-495.
  8. Emmanuel Denis & Yuri Kabanov, 2012. "Consistent price systems and arbitrage opportunities of the second kind in models with transaction costs," Finance and Stochastics, Springer, vol. 16(1), pages 135-154, January.
  9. Julien Grépat & Yuri Kabanov, 2012. "Small transaction costs, absence of arbitrage and consistent price systems," Finance and Stochastics, Springer, vol. 16(3), pages 357-368, July.
  10. Emmanuel Denis & Yuri Kabanov, 2010. "Mean square error for the Leland–Lott hedging strategy: convex pay-offs," Finance and Stochastics, Springer, vol. 14(4), pages 625-667, December.
  11. D. Vallière & E. Denis & Y. Kabanov, 2009. "Hedging of American options under transaction costs," Finance and Stochastics, Springer, vol. 13(1), pages 105-119, January.
  12. Yuri Kabanov, 2008. "In discrete time a local martingale is a martingale under an equivalent probability measure," Finance and Stochastics, Springer, vol. 12(3), pages 293-297, July.
  13. Dimitri De Vallière & Yuri Kabanov & Christophe Stricker, 2007. "No-arbitrage criteria for financial markets with transaction costs and incomplete information," Finance and Stochastics, Springer, vol. 11(2), pages 237-251, April.
  14. Yuri Kabanov & Masaaki Kijima & Sofiane Rinaz, 2007. "A positive interest rate model with sticky barrier," Quantitative Finance, Taylor & Francis Journals, vol. 7(3), pages 269-284.
  15. Yuri Kabanov & Claudia Klüppelberg, 2004. "A geometric approach to portfolio optimization in models with transaction costs," Finance and Stochastics, Springer, vol. 8(2), pages 207-227, May.
  16. Freddy Delbaen & Paul Embrechts & Hans Föllmer & Yuri Kabanov & Steven Shreve, 2004. "Editorial," Finance and Stochastics, Springer, vol. 8(1), pages 1-2, January.
  17. Jean-Michel Courtault & Freddy Delbaen & Yuri Kabanov & Christophe Stricker, 2004. "On the law of one price," Finance and Stochastics, Springer, vol. 8(4), pages 525-530, November.
  18. Freddy Delbaen & Yuri M. Kabanov & Esko Valkeila, 2002. "Hedging under Transaction Costs in Currency Markets: a Discrete‐Time Model," Mathematical Finance, Wiley Blackwell, vol. 12(1), pages 45-61, January.
  19. Yuri M. Kabanov & Günter Last, 2002. "Hedging under Transaction Costs in Currency Markets: a Continuous‐Time Model," Mathematical Finance, Wiley Blackwell, vol. 12(1), pages 63-70, January.
  20. Anna Frolova & Serguei Pergamenshchikov & Yuri Kabanov, 2002. "In the insurance business risky investments are dangerous," Finance and Stochastics, Springer, vol. 6(2), pages 227-235.
  21. Yuri M. Kabanov & Christophe Stricker, 2002. "On the optimal portfolio for the exponential utility maximization: remarks to the six‐author paper," Mathematical Finance, Wiley Blackwell, vol. 12(2), pages 125-134, April.
  22. (**), Christophe Stricker & (*), Miklós Rásonyi & Yuri Kabanov, 2002. "No-arbitrage criteria for financial markets with efficient friction," Finance and Stochastics, Springer, vol. 6(3), pages 371-382.
  23. B. Bouchard & Yu. M. Kabanov & N. Touzi, 2001. "Option pricing by large risk aversion utility¶under transaction costs," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 24(2), pages 127-136, November.
  24. Kabanov, Yu. M. & Stricker, Ch., 2001. "The Harrison-Pliska arbitrage pricing theorem under transaction costs," Journal of Mathematical Economics, Elsevier, vol. 35(2), pages 185-196, April.
  25. Jean‐Michel Courtault & Yuri Kabanov & Bernard Bru & Pierre Crépel & Isabelle Lebon & Arnaud Le Marchand, 2000. "Louis Bachelier on the Centenary of Théorie de la Spéculation," Mathematical Finance, Wiley Blackwell, vol. 10(3), pages 339-353, July.
  26. Y.M. Kabanov, 1999. "Hedging and liquidation under transaction costs in currency markets," Finance and Stochastics, Springer, vol. 3(2), pages 237-248.
  27. Y.M. Kabanov & D.O. Kramkov, 1998. "Asymptotic arbitrage in large financial markets," Finance and Stochastics, Springer, vol. 2(2), pages 143-172.
  28. Tomas Björk & Yuri Kabanov & Wolfgang Runggaldier, 1997. "Bond Market Structure in the Presence of Marked Point Processes," Mathematical Finance, Wiley Blackwell, vol. 7(2), pages 211-239, April.
  29. Giovanni Di Masi & Tomas Björk & Wolfgang Runggaldier & Yuri Kabanov, 1997. "Towards a general theory of bond markets (*)," Finance and Stochastics, Springer, vol. 1(2), pages 141-174.
  30. Yuri M. Kabanov & (*), Mher M. Safarian, 1997. "On Leland's strategy of option pricing with transactions costs," Finance and Stochastics, Springer, vol. 1(3), pages 239-250.
  31. H. Föllmer & Y.M. Kabanov, 1997. "Optional decomposition and Lagrange multipliers," Finance and Stochastics, Springer, vol. 2(1), pages 69-81.

Chapters

  1. Moussa Gamys & Yuri Kabanov, 2009. "Mean Square Error for the Leland–Lott Hedging Strategy," World Scientific Book Chapters, in: Masaaki Kijima & Masahiko Egami & Kei-ichi Tanaka & Yukio Muromachi (ed.), Recent Advances In Financial Engineering, chapter 1, pages 1-25, World Scientific Publishing Co. Pte. Ltd..

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