Instituto de Matemática Interdisciplinar

Yuri Kabanov
Position: Professor
University of Besançon, Comte, France
Laboratoire de Mathématiques, U.F.R. des Sciences et Technologie
e-mail: youri.kabanov@univ-fcomte.fr

Visiting IMI from April 30th to May 6th, 2010.
Research interests:

Mathematical Finance (Arbitrage Theory, Markets with Transaction Costs, Risk Theory)
Stochastic Calculus, Extended Stochastic Integral
Stochastic Calculus, Extended Stochastic Integrals
Point Processes
Stochastic Control
Two-Scale Stochastic Systems
Statistics of Random Processes, Nonlinear Filtering
Applied Statistics, Regression Analysis
Econometrics
Mathematical Economics
Statistical Software