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1

Robust No Arbitrage of the Second Kind with a Continuum of Assets and Proportional Transaction Costs

Lepinette, Emmanuel

Journal:

SIAM Journal on Financial Mathematics

Year:

2016

Language:

english

File:

PDF, 263 KB

english, 2016

2

Approximate Hedging in a Local Volatility Model with Proportional Transaction Costs

Lépinette, Emmanuel, Tran, Tuan

Journal:

Applied Mathematical Finance

Year:

2014

Language:

english

File:

PDF, 269 KB

english, 2014

3

Consumption-investment problem with transaction costs for Lévy-driven price processes

De Vallière, Dimitri, Kabanov, Yuri, Lépinette, Emmanuel

Journal:

Finance and Stochastics

Year:

2016

Language:

english

File:

PDF, 1.44 MB

english, 2016

4

General financial market model defined by a liquidation value process

Lepinette, Emmanuel, Tran, Tuan

Journal:

Stochastics An International Journal of Probability and Stochastic Processes

Year:

2015

Language:

english

File:

PDF, 2.07 MB

english, 2015

5

The Fundamental Theorem of Asset Pricing Under Transaction Costs

Guasoni, Paolo, Lepinette-Denis, Emmanuel, Rasonyi, Miklos

Journal:

SSRN Electronic Journal

Year:

2011

Language:

english

File:

PDF, 358 KB

english, 2011

6

The fundamental theorem of asset pricing under transaction costs

Paolo Guasoni, Emmanuel Lépinette, Miklós Rásonyi

Journal:

Finance and Stochastics

Year:

2012

Language:

english

File:

PDF, 1.04 MB

english, 2012

7

Approximation of Non-Lipschitz SDEs by Picard Iterations

Baptiste, Julien, Grepat, Julien, Lepinette, Emmanuel

Journal:

Applied Mathematical Finance

Year:

2018

Language:

english

File:

PDF, 2.30 MB

english, 2018

8

VECTOR-VALUED COHERENT RISK MEASURE PROCESSES

TAHAR, IMEN BEN, LÉPINETTE, EMMANUEL

Journal:

International Journal of Theoretical and Applied Finance

Year:

2014

Language:

english

File:

PDF, 378 KB

english, 2014

9

MODIFIED LELAND’S STRATEGY FOR A CONSTANT TRANSACTION COSTS RATE

Emmanuel Lepinette

Journal:

Mathematical Finance

Year:

2012

Language:

english

File:

PDF, 511 KB

english, 2012

10

Risk Arbitrage and Hedging to Acceptability

Lepinette, Emmanuel, Molchanov, Ilya

Journal:

SSRN Electronic Journal

Year:

2016

Language:

english

File:

PDF, 505 KB

english, 2016

11

Essential supremum and essential maximum with respect to random preference relations

Kabanov, Yuri, Lépinette, Emmanuel

Journal:

Journal of Mathematical Economics

Year:

2013

Language:

english

File:

PDF, 353 KB

english, 2013

12

Arbitrage theory for non convex financial market models

Lepinette, Emmanuel, Tran, Tuan

Journal:

Stochastic Processes and their Applications

Year:

2017

Language:

english

File:

PDF, 503 KB

english, 2017

13

Asymptotic arbitrage with small transaction costs

Irene Klein,Emmanuel Lépinette,Lavinia Perez-Ostafe

Journal:

Finance and Stochastics

Year:

2014

Language:

english

File:

PDF, 792 KB

english, 2014

14

Robust No Arbitrage of the Second Kind with a Continuum of Assets and Proportional Transaction Costs

Lepinette, Emmanuel

Journal:

SSRN Electronic Journal

Year:

2015

Language:

english

File:

PDF, 366 KB

english, 2015

15

Pricing Without Martingale Measure

Baptiste, Julien, Carassus, Laurence, Lepinette, Emmanuel

Journal:

SSRN Electronic Journal

Year:

2018

Language:

english

File:

PDF, 467 KB

english, 2018

16

Diffusion Equations: Convergence of the Functional Scheme Derived from the Binomial Tree with Local Volatility for Non Smooth Payoff Functions

Baptiste, Julien, Lépinette, Emmanuel

Journal:

Applied Mathematical Finance

Year:

2018

Language:

english

File:

PDF, 2.21 MB

english, 2018

17

On Supremal and Maximal Sets with Respect to Random Partial Orders

Kabanov, Youri, Lepinette, Emmanuel

Journal:

SSRN Electronic Journal

Year:

2013

Language:

english

File:

PDF, 266 KB

english, 2013

18

Approximate Hedging for Non Linear Transaction Costs on the Volume of Traded Assets

Elie, Romuald, Lepinette-Denis, Emmanuel

Journal:

SSRN Electronic Journal

Year:

2013

Language:

english

File:

PDF, 453 KB

english, 2013

19

Essential Supremum with Respect to a Random Partial Order

Kabanov, Youri, Lepinette-Denis, Emmanuel

Journal:

SSRN Electronic Journal

Year:

2013

Language:

english

File:

PDF, 490 KB

english, 2013

20

Robust No-Free Lunch with Vanishing Risk, a Continuum of Assets and Proportional Transaction Costs

Lepinette-Denis, Emmanuel, Bouchard, Bruno, Taflin, Erik

Journal:

SSRN Electronic Journal

Year:

2013

Language:

english

File:

PDF, 478 KB

english, 2013

21

Conditional cores and conditional convex hulls of random sets

Lepinette, Emmanuel, Molchanov, Ilya

Journal:

Journal of Mathematical Analysis and Applications

Year:

2019

Language:

english

File:

PDF, 490 KB

english, 2019

22

Conditional cores and conditional convex hulls of random sets

Lepinette, Emmanuel, Molchanov, Ilya

Journal:

Journal of Mathematical Analysis and Applications

Year:

2019

File:

PDF, 490 KB

2019

23

Random optimization on random sets

Lepinette, Emmanuel

Journal:

Mathematical Methods of Operations Research

Year:

2019

File:

PDF, 438 KB

2019

24

A Fractional Version of the Heston Model with Hurst Parameter H (1/2, 1)

Lepinette, Emmanuel

Journal:

SSRN Electronic Journal

Year:

2016

Language:

english

File:

PDF, 307 KB

english, 2016

25

Approximate Hedging in a Local Volatility Model with Proportional Transaction Costs

Lepinette-Denis, Emmanuel, Quoc, Tuan Tran

Journal:

SSRN Electronic Journal

Year:

2013

Language:

english

File:

PDF, 426 KB

english, 2013

26

Parabolic Schemes for Quasi-Linear Parabolic and Hyperbolic PDEs via Stochastic Calculus

Darses, Sebastien, Lépinette-Denis, Emmanuel

Journal:

Stochastic Analysis and Applications

Year:

2012

Language:

english

File:

PDF, 236 KB

english, 2012

27

Asymptotic arbitrage in large financial markets with friction

Emmanuel Lepinette, Lavinia Ostafe

Journal:

Mathematics and Financial Economics

Year:

2012

Language:

english

File:

PDF, 283 KB

english, 2012

28

Approximate hedging for nonlinear transaction costs on the volume of traded assets

Elie, Romuald, Lépinette, Emmanuel

Journal:

Finance and Stochastics

Year:

2015

Language:

english

File:

PDF, 1.16 MB

english, 2015

29

A Fractional Version of the Heston Model with Hurst Parameter H (1/2, 1)

Lepinette, Emmanuel

Journal:

SSRN Electronic Journal

Year:

2016

File:

PDF, 307 KB

2016

30

Are Banks Firms? The Modigliani-Miller Theorem Revisited

Aboura, Sofiane, Lepinette, Emmanuel

Journal:

SSRN Electronic Journal

Year:

2013

Language:

english

File:

PDF, 203 KB

english, 2013

31

Approximation of Non-Lipschitz SDEs by Picard Iterations

Baptiste, Julien, Grrpat, Julien, Lepinette, Emmanuel

Journal:

SSRN Electronic Journal

Year:

2016

Language:

english

File:

PDF, 384 KB

english, 2016

32

Essential supremum with respect to a random partial order

Kabanov, Yuri, Lépinette, Emmanuel

Journal:

Journal of Mathematical Economics

Year:

2013

Language:

english

File:

PDF, 443 KB

english, 2013

33

Robust no-free lunch with vanishing risk, a continuum of assets and proportional transaction costs

Bouchard, Bruno, Lepinette, Emmanuel, Taflin, Erik

Journal:

Stochastic Processes and their Applications

Year:

2014

Language:

english

File:

PDF, 525 KB

english, 2014

34

Editorial Board

Bouchard, Bruno, Lepinette, Emmanuel, Taflin, Erik

Journal:

Journal of Dairy Science

Year:

1923

File:

PDF, 43 KB

1923

35

Asymptotic Arbitrage in Large Financial Markets with Friction

Lepinette-Denis, Emmanuel, Ostafe, Lavinia

Journal:

SSRN Electronic Journal

Year:

2012

Language:

english

File:

PDF, 460 KB

english, 2012

36

An Alternative Model to Basel Regulation

Aboura, Sofiane, Lepinette-Denis, Emmanuel

Journal:

SSRN Electronic Journal

Year:

2013

Language:

english

File:

PDF, 626 KB

english, 2013

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