Yuri Kabanov
Yuri Kabanov
Professor of mathematics, Besançon University
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Bond market structure in the presence of marked point processes
T Björk, Y Kabanov, W Runggaldier
Mathematical Finance 7 (2), 211-239, 1997
Markets with transaction costs: Mathematical Theory
Y Kabanov, M Safarian
Springer Science & Business Media, 2009
Hedging and liquidation under transaction costs in currency markets
YM Kabanov
Finance and Stochastics 3, 237-248, 1999
Towards a general theory of bond markets
T Björk, G Di Masi, Y Kabanov, W Runggaldier
Finance and Stochastics 1, 141-174, 1997
Mean-variance hedging of options on stocks with Markov volatilities
GB Di Masi, YM Kabanov, WJ Runggaldier
Theory of Probability & Its Applications 39 (1), 172-182, 1995
Optional decomposition and Lagrange multipliers
H Föllmer, YM Kabanov
Finance and Stochastics 2 (1), 69-81, 1997
Louis Bachelier on the centenary of Théorie de la spéculation
JM Courtault, Y Kabanov, B Bru, P Crépel, I Lebon, A Le Marchand
Mathematical finance 10 (3), 339-353, 2000
Absolute continuity and singularity of locally absolutely continuous probability distributions. I
YM Kabanov, RS Liptser, AN Shiryaev
Matematicheskii Sbornik 149 (3), 364-415, 1978
The capacity of a channel of the Poisson type
YM Kabanov
Theory of Probability & Its Applications 23 (1), 143-147, 1978
A teacher's note on no-arbitrage criteria
Y Kabanov, C Stricker
Séminaire de probabilités de Strasbourg 35, 149-152, 2001
In the insurance business risky investments are dangerous
A Frolova, Y Kabanov, S Pergamenshchikov
Finance and stochastics 6 (2), 227-235, 2002
On the optimal portfolio for the exponential utility maximization: remarks to the six‐author paper
YM Kabanov, C Stricker
Mathematical Finance 12 (2), 125-134, 2002
Toward the theory of pricing of options of both European and American types. I. Discrete time
AN Shiryaev, YM Kabanov, OD Kramkov, AV Mel’nikov
Theory of Probability & Its Applications 39 (1), 14-60, 1995
Two-scale stochastic systems: asymptotic analysis and control
Y Kabanov, S Pergamenshchikov
Springer, 2003
The Harrison–Pliska arbitrage pricing theorem under transaction costs
YM Kabanov, C Stricker
Journal of Mathematical Economics 35 (2), 185-196, 2001
On the FTAP of Kreps-Delbaen-Schachermayer
YM Kabanov
Statistics and control of stochastic processes (Moscow, 1995/1996), 191-203, 1997
On Leland's strategy of option pricing with transactions costs
YM Kabanov, MM Safarian
Finance and Stochastics 1, 239-250, 1997
Large financial markets: asymptotic arbitrage and contiguity
YM Kabanov, DO Kramkov
Theory of Probability & Its Applications 39 (1), 182-187, 1995
No-arbitrage criteria for financial markets with efficient friction
Y Kabanov, M Rásonyi, C Stricker
Finance and Stochastics 6, 371-382, 2002
No-arbitrage and equivalent martingale measures: an elementary proof of the Harrison–Pliska theorem
YM Kabanov, DO Kramkov
Theory of Probability & Its Applications 39 (3), 523-527, 1995
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