Yu. M. Kabanov

Statistics

Publications

Citations

983

H-Index

Active since

1976

Affiliations

Central Economics and Mathematics Institute(Current)

Russian Academy of Sciences

V. A. Trapeznikov Institute of Control Sciences

Yu. M. Kabanov is an author at Central Economics and Mathematics Institute specializing in stochastic processes, mathematics, and financial economics.

Publications per year

1976–2004

Publications

Mean-Variance Hedging of Options on Stocks with Markov Volatilities

Giovanni B. Di Masi, Yu. M. Kabanov, Wolfgang J. Runggaldier · Theory of Probability and Its Applications · 1995 · 198 citations

Engineering, Economics, Finance +17

The Capacity of a Channel of the Poisson Type

Yu. M. Kabanov · Theory of Probability and Its Applications · 1978 · 151 citations

Engineering, Electrical Engineering, Information Theory +6

The Harrison–Pliska arbitrage pricing theorem under transaction costs

Yu. M. Kabanov, C. Stricker · Journal of Mathematical Economics · 2001 · 127 citations

Business, Business Economics, Economics +11

Large Financial Markets: Asymptotic Arbitrage and Contiguity

Yu. M. Kabanov, Dmitry Kramkov · Theory of Probability and Its Applications · 1995 · 91 citations

Business, Economics, Finance +14

Toward the Theory of Pricing of Options of Both European and American Types. II. Continuous Time

Albert N. Shiryaev, Yu. M. Kabanov, Dmitry Kramkov et al. · Theory of Probability and Its Applications · 1995 · 75 citations

Business, Finance, Mathematics +13

1–5 of 15