Yuri Kabanov - Selected Publications#
Books:
- Yu. Kabanov, S. Pergamenshchikov. Two-Scale Stochastic Systems. Asymptotic Analysis and Control. Springer-Verlag, 2003.
- Yu. Kabanov. M. Safarian. Markets with Transaction Costs. Mathematical Theory. Springer-Verlag, 2009.
Most cited papers (according to Google Scholar):
- T. Björk, Yu. Kabanov, W. Runggaldier. Bond market structure in the presence of marked point processes. Mathematical Finance, 7, 2, 1997, 211-239. With . Citations: 278.
- T. Björk, G. Di Masi, Yu. Kabanov, W. Runggaldier. Towards a general theory of bond markets. Finance and Stochastics, 1 (1997), 141-174. Citations: 195.
- Yu. Kabanov. Hedging and liquidation under transaction costs in currency markets. Finance and Stochastics, 3 (1999), 2, 237-248. Citations: 161.
- G. Di Masi, Yu. Kabanov, W. Runggaldier. Hedging of options on stocks with Markov volatilities. Probab. Theory and Its Appl., 1, 1994. Citations: 147.
- H. Föllmer, Yu. Kabanov. Optional decomposition and Lagrange multipliers. Finance and Stochastics, 2, 1, 1998, 69-81. Citations: 129.
- Yu. Kabanov. Ch. Stricker. On the optimal portfolio for the exponential utility maximization: remarks to the six-author paper. Mathematical Finance, 12 (2002), 2, 125-134. Citations: 117.
- A.N. Shiryaev, Yu. Kabanov, D.O. Kramkov, A.V. Melnikov. On the pricing of options of European and American type. Continuous time. Probability Theory and Its Applications, 1, 1994. Citations: 99.
- Yu. Kabanov. Ch. Stricker.The Harrison-Pliska arbitrage pricing theorem under transaction costs. Journal of Mathematical Economics, 35 (2001), 2, 185-196. Citations: 89.
The bibliometric indices: Hirsh index h=30 , Egghe index g=52 , hI=12,33, hc=17.
