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No-arbitrage criteria for financial markets with efficient friction

Kabanov, Jurij M.; Rásonyi, Miklós; Stricker, Christophe - In: Finance and stochastics 6 (2002) 3, pp. 371-382

Persistent link: https://www.econbiz.de/10001680685

Hedging of contingent claims under transaction costs

Kabanov, Jurij M.; Stricker, Christophe - In: Advances in finance and stochastics : essays in honour …, (pp. 125-136). 2002

Persistent link: https://www.econbiz.de/10001672229

On the optimal portfolio for the exponential utility maximization: remarks to the six-author paper

Kabanov, Jurij M.; Stricker, Christophe - In: Mathematical finance : an international journal of … 12 (2002) 2, pp. 125-134

Persistent link: https://www.econbiz.de/10001686231

On the law of one price

Courtault, Jean-Michael; Delbaen, Freddy; Kabanov, Jurij M. - In: Finance and stochastics 8 (2004) 4, pp. 525-530

Persistent link: https://www.econbiz.de/10002261465

On the optimal portfolio for the exponential utility maximization: remarks to the six-author paper

Kabanov, Yuri M.; Stricker, Christophe - In: Mathematical Finance 12 (2002) 2, pp. 125-134

Persistent link: https://www.econbiz.de/10005139684

ARTICLES - On the Optimal Portfolio for the Exponential Utility Maximization: Remarks to the Six-Author

Kabanov, Yuri M.; Stricker, Christophe - In: Mathematical finance : an international journal of … 12 (2002) 2, pp. 125-134

Persistent link: https://www.econbiz.de/10008216392

On the law of one price

Courtault, Jean-Michel; Delbaen, Freddy; Kabanov, Yuri; … - In: Finance and Stochastics 8 (2004) 4, pp. 525-530

We consider the standard discrete-time model of a frictionless financial market and show that the law of one price holds if and only if there exists a martingale density process with strictly positive initial value. In contrast to the classical no-arbitrage criteria, this density process may...

Persistent link: https://www.econbiz.de/10005390695

No-arbitrage criteria for financial markets with transaction costs and incomplete information

Vallière, Dimitri De; Kabanov, Yuri; Stricker, Christophe - In: Finance and Stochastics 11 (2007) 2, pp. 237-251

Persistent link: https://www.econbiz.de/10005390739

No-arbitrage criteria for financial markets with transaction costs and incomplete information

De Vallière, Dimitry; Kabanov, Yuri; Stricker, Christophe - In: Finance and stochastics 11 (2007) 2, pp. 237-251

Persistent link: https://www.econbiz.de/10003439760

On the closedness of sums of convex cones in L0 and the robust no-arbitrage property

Kabanov, Yuri; Rásonyi, Miklos; Stricker, Christophe - In: Finance and stochastics 7 (2003) 3, pp. 403-412

Persistent link: https://www.econbiz.de/10008215739