Yuri Kabanov

3.1k total citations
50 papers, 1.4k citations indexed

About

Yuri Kabanov is a scholar working on Finance, Economics and Econometrics and Management Science and Operations Research. According to data from OpenAlex, Yuri Kabanov has authored 50 papers receiving a total of 1.4k indexed citations (citations by other indexed papers that have themselves been cited), including 36 papers in Finance, 17 papers in Economics and Econometrics and 16 papers in Management Science and Operations Research. Recurrent topics in Yuri Kabanov's work include Stochastic processes and financial applications (35 papers), Economic theories and models (14 papers) and Probability and Risk Models (13 papers). Yuri Kabanov is often cited by papers focused on Stochastic processes and financial applications (35 papers), Economic theories and models (14 papers) and Probability and Risk Models (13 papers). Yuri Kabanov collaborates with scholars based in France, Russia and Germany. Yuri Kabanov's co-authors include Tomas Björk, Wolfgang Runggaldier, Serguei Pergamenshchikov, Hans Föllmer, Christophe Stricker, R. Liptser, Dmitry Kramkov, Marc Yor, Jordan Stoyanov and Freddy Delbaen and has published in prestigious journals such as Journal of the American Statistical Association, SIAM Journal on Control and Optimization and Journal of Applied Probability.

In The Last Decade

Yuri Kabanov

46 papers receiving 1.2k citations

Peers

Countries citing papers authored by Yuri Kabanov

Since Specialization

Citations

This map shows the geographic impact of Yuri Kabanov's research. It shows the number of citations coming from papers published by authors working in each country. You can also color the map by specialization and compare the number of citations received by Yuri Kabanov with the expected number of citations based on a country's size and research output (numbers larger than one mean the country cites Yuri Kabanov more than expected).

Fields of papers citing papers by Yuri Kabanov

Since Specialization

Physical SciencesHealth SciencesLife SciencesSocial Sciences

This network shows the impact of papers produced by Yuri Kabanov. Nodes represent research fields, and links connect fields that are likely to share authors. Colored nodes show fields that tend to cite the papers produced by Yuri Kabanov. The network helps show where Yuri Kabanov may publish in the future.

Co-authorship network of co-authors of Yuri Kabanov

This figure shows the co-authorship network connecting the top 25 collaborators of Yuri Kabanov. A scholar is included among the top collaborators of Yuri Kabanov based on the total number of citations received by their joint publications. Widths of edges represent the number of papers authors have co-authored together. Node borders signify the number of papers an author published with Yuri Kabanov. Yuri Kabanov is excluded from the visualization to improve readability, since they are connected to all nodes in the network.

All Works

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20 of 20 papers shown

#	Work	Indexed citations
1	Distributional equations and the ruin problem for the Sparre Andersen model with investments 2026 ·Extremes ·Yuri Kabanov, (unknown), (unknown)	0
2	Ruin problems with investments on a finite interval: PIDEs and their viscosity solutions 2025 ·Finance and Stochastics ·(unknown), Yuri Kabanov	1
3	Ruin probabilities for a Sparre Andersen model with investments: the case of annuity payments 2023 ·Finance and Stochastics ·Yuri Kabanov, (unknown)	2
4	On ruin probabilities with risky investments in a stock with stochastic volatility 2021 ·Extremes ·(unknown), Yuri Kabanov	3
5	On a multi-asset version of the Kusuoka limit theorem of option superreplication under transaction costs 2020 ·Finance and Stochastics ·(unknown), Yuri Kabanov	0
6	Ruin probabilities for a Lévy-driven generalised Ornstein–Uhlenbeck process 2019 ·Finance and Stochastics ·Yuri Kabanov, Serguei Pergamenshchikov	15
7	No arbitrage of the first kind and local martingale numéraires 2016 ·Finance and Stochastics ·Yuri Kabanov, Constantinos Kardaras, Shiqi Song	16
8	In the insurance business risky investments are dangerous: the case of negative risk sums 2016 ·Finance and Stochastics ·Yuri Kabanov, Serguei Pergamenshchikov	20
9	On Local Martingale Deflators and Market Portfolios 2015 ·arXiv (Cornell University) ·Yuri Kabanov, Constantinos Kardaras, Shiqi Song	0
10	Hedging of American options under transaction costs 2008 ·Finance and Stochastics ·(unknown), (unknown), Yuri Kabanov	14
11	No-arbitrage criteria for financial markets with transaction costs and incomplete information 2007 ·Finance and Stochastics ·(unknown), Yuri Kabanov, Christophe Stricker	5
12	A positive interest rate model with sticky barrier 2007 ·Quantitative Finance ·Yuri Kabanov, Masaaki Kijima, (unknown)	8
13	From Stochastic Calculus to Mathematical Finance 2006 ·CERN Document Server (European Organization for Nuclear Research) ·Yuri Kabanov, R. Liptser, Jordan Stoyanov	77
14	A geometric approach to portfolio optimization in models with transaction costs 2004 ·Finance and Stochastics ·Yuri Kabanov, (unknown)	19
15	On the closedness of sums of convex cones in $L^0$ and the robust no-arbitrage property 2003 ·Finance and Stochastics ·Yuri Kabanov, (unknown), Christophe Stricker	34
16	Hedging and liquidation under transaction costs in currency markets 1999 ·Finance and Stochastics ·Yuri Kabanov	142
17	Asymptotic arbitrage in large financial markets 1998 ·Finance and Stochastics ·Yuri Kabanov, Dmitry Kramkov	55
18	On Leland's strategy of option pricing with transactions costs 1997 ·Finance and Stochastics ·Yuri Kabanov, (unknown)	65
19	Bond Market Structure in the Presence of Marked Point Processes 1997 ·Mathematical Finance ·Tomas Björk, Yuri Kabanov, Wolfgang Runggaldier	190
20	The rate of convergence of distributions of counting processes to the distribution of a counting process with independent increments 1982 ·Proceedings of the USSR Academy of Sciences ·Yuri Kabanov	1

Rankless uses publication and citation data sourced from OpenAlex, an open and comprehensive bibliographic database. While OpenAlex provides broad and valuable coverage of the global research landscape, it—like all bibliographic datasets—has inherent limitations. These include incomplete records, variations in author disambiguation, differences in journal indexing, and delays in data updates. As a result, some metrics and network relationships displayed in Rankless may not fully capture the entirety of a scholar's output or impact.

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