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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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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
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No arbitrage of the first kind and local martingale numéraires
Kabanov, Jurij M.; Kardaras, Constantinos; Song, Shiqi - In: Finance and stochastics 20 (2016) 4, pp. 1097-1108
Persistent link: https://www.econbiz.de/10011570475
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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
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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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Ruin probabilities for a Sparre Andersen model with investments : the case of annuity payments
Kabanov, Jurij M.; Promyslov, Platon - In: Finance and stochastics 27 (2023) 4, pp. 887-902
Persistent link: https://www.econbiz.de/10014426395
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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
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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
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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
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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