Mikhail Urusov

Finance · 2009–2011

A researcher in the Science corpus: 3 papers; trusts 13 researchers and is trusted by 3 researchers here, as inferred from the citation graph.

Subfields

• Finance — 23 citations into it; #7,525 of 10,518 by trust here, #7,920 by citations
• Economics and Econometrics — 12 citations into it
• Management Science and Operations Research — 5 citations into it

Whom Mikhail Urusov trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

1. Ioannis Karatzas
2. Dmitry Davydov
3. Jim Gatheral
4. Robert Almgren
5. Freddy Delbaen
6. Robert Fernholz
7. Vadim Linetsky

Who trusts Mikhail Urusov overall

1. Ioannis Karatzas
2. Philip Protter

Papers from Mikhail Urusov's perspective

Ordered by how strongly the researchers Mikhail Urusov trusts endorse each paper. Same corpus, a different order for every researcher.

1. Bubbles, convexity and the Black–Scholes equation
2. On the martingale property of stochastic exponentials (Journal of Applied Probability)
3. No-dynamic-arbitrage and market impact
4. Price Manipulation and Quasi-Arbitrage
5. Stochastic Portfolio Theory: an Overview
6. Options and Bubbles
7. The numéraire portfolio in semimartingale financial models (Finance and Stochastics)
8. A Benchmark Approach to Quantitative Finance
9. Optimal execution with nonlinear impact functions and trading-enhanced risk
10. Equivalent and absolutely continuous measure changes for jump-diffusion processes

Their papers

• Convergence of integral functionals of one-dimensional diffusions (2011) — 51 citations
• OPTIMAL TRADE EXECUTION AND PRICE MANIPULATION IN ORDER BOOKS WITH TIME‐VARYING LIQUIDITY (2011) — 63 citations
• On the martingale property of certain local martingales (2009) — 146 citations