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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
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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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In discrete time a local martingale is a martingale under an equivalent probability measure
Kabanov, Jurij M. - In: Finance and stochastics 12 (2008) 3, pp. 293-297
Persistent link: https://www.econbiz.de/10003899176
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Optional decomposition and Lagrange multipliers
Föllmer, Hans - In: Finance and stochastics 2 (1998) 1, pp. 69-81
Persistent link: https://www.econbiz.de/10001230154
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Asymptotic arbitrage in large financial markets
Kabanov, Jurij M. - In: Finance and stochastics 2 (1998) 2, pp. 143-172
Persistent link: https://www.econbiz.de/10001235409
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On Leland's strategy of option pricing with transactions costs
Kabanov, Jurij M. - In: Finance and stochastics 1 (1997) 3, pp. 239-250
Persistent link: https://www.econbiz.de/10001224220
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In the insurance business risky investments are dangerous
Frolova, Anna; Kabanov, Jurij M.; Pergamenshchikov, Serguei - In: Finance and stochastics 6 (2002) 2, pp. 227-235
Persistent link: https://www.econbiz.de/10001662472
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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
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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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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