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Portfolio selection
Theorie
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Theory
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Transaction costs
46
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31
Portfolio-Management
25
Hedging
20
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17
Martingal
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Option pricing theory
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Stochastischer Prozess
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CAPM
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Probability theory
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Consistent price systems
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Risk aversion
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Utility function
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Utility maximization
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Zinsstruktur
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American option
4
Devisenmarkt
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Dynamic programming
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Dynamische Optimierung
4
Finanzmathematik
4
Foreign exchange market
4
Incomplete market
4
Martingales
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Option trading
4
Optionsgeschäft
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Unvollkommener Markt
4
arbitrage
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English
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Kabanov, Jurij M.
10
Rásonyi, Miklós
10
Carassus, Laurence
5
Stricker, Christophe
4
Kabanov, Youri
3
Lepinette, Emmanuel
3
Choulli, Tahir
2
Denis, Emmanuel
2
Grépat, Julien
2
Rodrigues, Andrea M.
2
Blanchard, Romain
1
Courtault, Jean-Michael
1
Delbaen, Freddy
1
Gamys, Moussa
1
Guasoni, Paolo
1
Kijima, Masaaki
1
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1
Mišura, Julija S.
1
Pennanen, Teemu
1
Pergamenščikov, Sergej M.
1
Perkkiö, Ari-Pekka
1
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Finance and stochastics
8
Mathematical finance : an international journal of mathematics, statistics and financial theory
4
Annals of finance
2
From stochastic calculus to mathematical finance : the Shiryaev Festschrift ; [Second Bachelier Colloquium on Stochastic Calculus and Probability, Metabief, France, January 9 - 15, 2005]
2
Mathematics and financial economics
2
International journal of theoretical and applied finance
1
Mathematical methods of operations research
1
Mathematics of operations research
1
Recent advances in financial engineering : proceedings of the 2008 Daiwa International Workshop on Financial Engineering
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ECONIS (ZBW)
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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
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2
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
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3
A geometric approach to portfolio optimization in models with transaction costs
Kabanov, Jurij M.
;
Klüppelberg, Claudia
- In:
Finance and stochastics
8
(
2004
)
2
,
pp. 207-227
Persistent link: https://www.econbiz.de/10002012544
Saved in:
4
Mean square error for the Leland-Lott hedging strategy
Gamys, Moussa
;
Kabanov, Jurij M.
- In:
Recent advances in financial engineering : proceedings …
,
(pp. 1-25)
.
2009
Persistent link: https://www.econbiz.de/10003871153
Saved in:
5
Mean square error for the Leland-Lott hedging strategy : convex pay-offs
Denis, Emmanuel
;
Kabanov, Jurij M.
- In:
Finance and stochastics
14
(
2010
)
4
,
pp. 625-667
Persistent link: https://www.econbiz.de/10008823687
Saved in:
6
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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7
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:
8
A consumption-investment problem with production possibilities
Kabanov, Jurij M.
;
Kijima, Masaaki
- In:
From stochastic calculus to mathematical finance : the …
,
(pp. 315-332)
.
2006
Persistent link: https://www.econbiz.de/10003287167
Saved in:
9
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:
10
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
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