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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

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

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

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

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

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

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

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

On optimal strategies for utility maximizers in the arbitrage pricing model

Rásonyi, Miklós - In: International journal of theoretical and applied finance 19 (2016) 7, pp. 1-12

Persistent link: https://www.econbiz.de/10011568831