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~isPartOf:"Finance and stochastics"
~isPartOf:"International review of economics & finance : IREF"
~isPartOf:"Pacific-Basin finance journal"
~language:"eng"
~person:"Capponi, Agostino"
~person:"Kabanov, Jurij M."
~subject:"Neuseeland"
~subject:"Portfolio-Management"
~subject:"Stochastic process"
~type_genre:"Arbeitspapier"
~type_genre:"Article in journal"
~type_genre:"Konferenzbeitrag"
~type_genre:"Statistik"
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Capponi, Agostino
Kabanov, Jurij M.
Filipović, Damir
6
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6
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6
Pham, Huyên
6
Schachermayer, Walter
6
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Finance and stochastics
International review of economics & finance : IREF
Pacific-Basin finance journal
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4
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3
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3
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ECONIS (ZBW)
14
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1
On ruin probabilities with investments in a risky asset with a regime-switching price
Kabanov, Jurij M.
;
Pergamenščikov, Sergej M.
- In:
Finance and stochastics
26
(
2022
)
4
,
pp. 877-897
Persistent link: https://www.econbiz.de/10013440255
Saved in:
2
On a multi-asset version of the Kusuoka limit theorem of option superreplication under transaction costs
Grépat, Julien
;
Kabanov, Jurij M.
- In:
Finance and stochastics
25
(
2021
)
1
,
pp. 167-187
Persistent link: https://www.econbiz.de/10012433525
Saved in:
3
Ruin probabilities for a Lévy-driven generalised Ornstein-Uhlenbeck process
Kabanov, Jurij M.
;
Pergamenshchikov, Serguei
- In:
Finance and stochastics
24
(
2020
)
1
,
pp. 39-69
Persistent link: https://www.econbiz.de/10012253340
Saved in:
4
Consumption-investment problem with transaction costs for Lévy-driven price processes
Vallière, Dimitri De
;
Kabanov, Jurij M.
;
Lépinette, …
- In:
Finance and stochastics
20
(
2016
)
3
,
pp. 705-740
Persistent link: https://www.econbiz.de/10011531437
Saved in:
5
In the insurance business risky investments are dangerous : the case of negative risk sums
Kabanov, Jurij M.
;
Pergamenshchikov, Serguei
- In:
Finance and stochastics
20
(
2016
)
2
,
pp. 355-379
Persistent link: https://www.econbiz.de/10011471125
Saved in:
6
Dynamic credit investment in partially observed markets
Capponi, Agostino
;
Figueroa-López, José E.
;
Pascucci, …
- In:
Finance and stochastics
19
(
2015
)
4
,
pp. 891-939
Persistent link: https://www.econbiz.de/10011421091
Saved in:
7
Bilateral credit valuation adjustment for large credit derivatives portfolios
Bo, Lijun
;
Capponi, Agostino
- In:
Finance and stochastics
18
(
2014
)
2
,
pp. 431-482
Persistent link: https://www.econbiz.de/10010340674
Saved in:
8
Pricing vulnerable claims in a Lévy-driven model
Capponi, Agostino
;
Pagliarani, Stefano
;
Vargiolu, Tiziano
- In:
Finance and stochastics
18
(
2014
)
4
,
pp. 755-789
Persistent link: https://www.econbiz.de/10010413669
Saved in:
9
Small transaction costs, absence of arbitrage and consistent price systems
Grépat, Julien
;
Kabanov, Jurij M.
- In:
Finance and stochastics
16
(
2012
)
3
,
pp. 357-368
Persistent link: https://www.econbiz.de/10009562323
Saved in:
10
Consistent price systems and arbitrage opportunities of the second kind in models with transaction costs
Denis, Emmanuel
;
Kabanov, Jurij M.
- In:
Finance and stochastics
16
(
2012
)
1
,
pp. 135-154
Persistent link: https://www.econbiz.de/10009423233
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