Youri Kabanov

Universite de Franche-Comte

16 Route de Gray

Besancon Cedex, F-25030

France

Russian Academy of Sciences (RAS) - Central Economics and Mathematics Institute

47, Nakhimovsky prospect

Moscow, 117418

Russia

SCHOLARLY PAPERS

13

DOWNLOADS

238

CITATIONS
Rank 22,631

SSRN RANKINGS

Top 22,631

in Total Papers Citations

28

Scholarly Papers (13)

1.

Hedging of American Options Under Transaction Costs

Finance & Stochastics, Forthcoming
Number of pages: 15 Posted: 13 Apr 2012
Universite de Franche-Comte, Université Paris-Dauphine - CEREMADE, CNRS and affiliation not provided to SSRN
Downloads 47 (396,587)

Abstract:

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transaction costs, American option, hedging, coherent price system

2.

Mean Square Error for the Leland-Lott Hedging Strategy: Convex Pay-Off

Finance Stochastics, Vol. 14, No. 4, 2010
Number of pages: 42 Posted: 13 Apr 2012
Emmanuel Lepinette and Youri Kabanov
Université Paris-Dauphine - CEREMADE, CNRS and Universite de Franche-Comte
Downloads 35 (442,653)

Abstract:

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Black-Scholes formula, European option, transaction costs, Leland strategy, Lott strategy, approximate hedging, Martingale limit theorem, diffusion approximation

3.

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

Mathematical Finance, Vol. 12, No. 2, pp. 125-134, 2002
Number of pages: 10 Posted: 17 Dec 2002
Youri Kabanov and Christopher Stricker
Universite de Franche-Comte and Université de Franche-Comté - Laboratoire de Mathematiques
Downloads 35 (442,653)
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portfolio optimization, exponential utility, convex duality, Frenchel theorem

4.

Consistent Price Systems and Arbitrage Opportunities of the Second Kind in Models with Transaction Costs

Finance Stochastics, Vol. 16, No. 1, 2012
Number of pages: 18 Posted: 13 Apr 2012
Emmanuel Lepinette and Youri Kabanov
Université Paris-Dauphine - CEREMADE, CNRS and Universite de Franche-Comte
Downloads 32 (455,627)

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transaction costs, arbitrage, no free lunch, consistent price systems, set-valued processes, Martingales

5.

Hedging Under Transaction Costs in Currency Markets: A Continuous-Time Model

Mathematical Finance, Vol. 12, pp. 63-70, 2002
Number of pages: 8 Posted: 22 Dec 2002
Youri Kabanov and Gunter Last
Universite de Franche-Comte and University of Karlsruhe
Downloads 31 (460,307)
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6.

On Supremal and Maximal Sets with Respect to Random Partial Orders

Number of pages: 14 Posted: 15 Nov 2013
Youri Kabanov and Emmanuel Lepinette
Universite de Franche-Comte and Université Paris-Dauphine - CEREMADE, CNRS
Downloads 21 (513,499)

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7.

Essential Supremum and Essential Maximum with Respect to Random Preference Relations

Number of pages: 17 Posted: 31 Mar 2013
Youri Kabanov and Emmanuel Lepinette
Universite de Franche-Comte and Université Paris-Dauphine - CEREMADE, CNRS
Downloads 19 (525,157)
Citation 1

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Preference Relation, Partial Order, Random cones, Transaction costs, American option, Hedging

8.

Essential Supremum with Respect to a Random Partial Order

Number of pages: 19 Posted: 01 Apr 2013
Youri Kabanov and Emmanuel Lepinette
Universite de Franche-Comte and Université Paris-Dauphine - CEREMADE, CNRS
Downloads 18 (530,948)

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9.

Consumption-Investment Optimization Problem in a Lévy Financial Model with Transaction Costs

Posted: 03 Oct 2013
Youri Kabanov, Emmanuel Lepinette and Tuan Tran
Universite de Franche-Comte, Université Paris-Dauphine - CEREMADE, CNRS and McMaster University

Abstract:

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Consumption-investment Problem, Transaction costs, Consistent price systems, Dynamic equation, HJB equation

10.

Hedging and Liquidation Under Transaction Costs in Currency Markets

Finance and Stochastics, Vol. 3, Issue 2, 1999
Posted: 25 Feb 1999
Youri Kabanov
Universite de Franche-Comte

Abstract:

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11.

Optional Decomposition and Lagrange Multipliers

Finance and Stochastics, Vol 2 No 1, 1998
Posted: 21 Apr 1998
Hans Föllmer and Youri Kabanov
Humboldt University of Berlin and Universite de Franche-Comte

Abstract:

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12.

On Leland's Strategy of Option Pricing with Transactions Costs

FINANCE AND STOCHASTICS, Vol. I No. 2, 1997
Posted: 24 Apr 1997
Youri Kabanov and Mher M. Safarian
Universite de Franche-Comte and Humboldt University of Berlin

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13.

Bond Markets Where Prices are Driven by a General Marked Point Process

WPS88-12/95
Posted: 27 Nov 1996
Tomas Bjork, Youri Kabanov and Comte W. Runggaldier
Stockholm School of Economics - Swedish House of Finance, Universite de Franche-Comte and Universita de Padova

Abstract:

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