Emmanuel Lepinette

Université Paris-Dauphine - CEREMADE, CNRS

Research in mathematical finance

Place du Marechal de Lattre de Tassigny

Paris Cedex 16, 75775

France

  • Université Paris-Dauphine - CEREMADE, CNRS

SCHOLARLY PAPERS

31

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4

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16

Scholarly Papers (31)

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1.

Do Banks Satisfy the Modigliani-Miller Theorem ?

Number of pages: 13 Posted: 02 Nov 2013 Last Revised: 21 Jun 2015
Sofiane Aboura and Emmanuel Lepinette
Université Paris XIII Nord - Department of Economics and Management and Université Paris-Dauphine - CEREMADE, CNRS
Downloads 584 (64,490)

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Modigliani-Miller, banks, leverage, regulation

2.

The Fundamental Theorem of Asset Pricing Under Transaction Costs

Boston U. School of Management Research Paper No. 2011-7
Number of pages: 35 Posted: 23 Mar 2011 Last Revised: 15 Apr 2012
Paolo Guasoni, Paolo Guasoni, Emmanuel Lepinette and Miklos Rasonyi
Boston University - Department of Mathematics and StatisticsDublin City University - School of Mathematical Sciences, Université Paris-Dauphine - CEREMADE, CNRS and University of Edinburgh - School of Mathematics
Downloads 294 (142,441)
Citation 2

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Arbitrage, Fundamental Theorem of Asset Pricing, Transaction Costs, Admissible Strategies, Finite Variation

3.

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

Number of pages: 12 Posted: 13 Dec 2016
Emmanuel Lepinette and Farshid Mehrdoust
Université Paris-Dauphine - CEREMADE, CNRS and Department of Applied Mathematics, Faculty of Mathematical Sciences University of Guilan,
Downloads 284 (147,634)

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fractional Heston and Cox-Ingersoll-Ross models, fractional Brownian motion, singular equations driven by rough paths

4.

New Developments on the Modigliani-Miller Theorem

Number of pages: 16 Posted: 25 Feb 2015
Sofiane Aboura and Emmanuel Lepinette
Université Paris XIII Nord - Department of Economics and Management and Université Paris-Dauphine - CEREMADE, CNRS
Downloads 250 (167,777)

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5.

A Model of Self-Regulation in Banking Industry

Downloads 176 (231,507)
Citation 1

A Model of Self-Regulation in Banking Industry

Number of pages: 11 Posted: 09 Feb 2014
Sofiane Aboura and Emmanuel Lepinette
Université Paris XIII Nord - Department of Economics and Management and Université Paris-Dauphine - CEREMADE, CNRS
Downloads 106 (344,089)
Citation 2

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Self-regulation, banking regulation, systemic risk, insurance

A Model of Self-Regulation in Banking Industry

Number of pages: 14 Posted: 05 Feb 2015
Sofiane Aboura and Emmanuel Lepinette
Université Paris XIII Nord - Department of Economics and Management and Université Paris-Dauphine - CEREMADE, CNRS
Downloads 70 (443,864)

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6.

An Alternative Model to Basel Regulation

Number of pages: 19 Posted: 23 May 2013 Last Revised: 21 Jun 2015
Sofiane Aboura and Emmanuel Lepinette
Université Paris XIII Nord - Department of Economics and Management and Université Paris-Dauphine - CEREMADE, CNRS
Downloads 80 (407,031)

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7.

Vector-Valued Risk Measure Processes

Number of pages: 27 Posted: 14 May 2013
Emmanuel Lepinette and Imen Tahar
Université Paris-Dauphine - CEREMADE, CNRS and Université Paris Dauphine - CEREMADE
Downloads 80 (407,031)

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8.

General Financial Market Model Defined by a Liquidation Value Process

Number of pages: 32 Posted: 31 May 2014 Last Revised: 24 Feb 2015
Emmanuel Lepinette, Tuan Tran and Tuan Tran
Université Paris-Dauphine - CEREMADE, CNRS and Université Paris DauphineMcMaster University
Downloads 66 (451,943)

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9.

Robust No Arbitrage Condition for Continuous-Time Models with Transaction Costs

Recent Advances in Financial Engineering, World Scientist, Forthcoming
Number of pages: 15 Posted: 13 Apr 2012
Emmanuel Lepinette
Université Paris-Dauphine - CEREMADE, CNRS
Downloads 65 (455,452)

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transaction costs, arbitrage, no free lunch, consistent price systems, set, valued processes, Martingales

10.

Modified Leland’s Strategy for a Constant Transaction Costs Rate

Mathematical Finance, Forthcoming
Number of pages: 12 Posted: 13 Apr 2012
Emmanuel Lepinette
Université Paris-Dauphine - CEREMADE, CNRS
Downloads 55 (493,280)

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Black–Scholes formula, transaction costs, Leland’s strategy, approximate hedging

11.

Mean Square Error and Limit Theorem for the Modified Leland Hedging Strategy with a Constant Transaction Costs Coefficient

Downloads 55 (493,280)
Citation 3

Mean Square Error and Limit Theorem for the Modified Leland Hedging Strategy with a Constant Transaction Costs Coefficient

THE MUSIELA'S FESTSCHRIFT, Yu. Kabanov, ed., Springer, 2011
Number of pages: 41 Posted: 13 Apr 2012
Sebastien Darses and Emmanuel Lepinette
affiliation not provided to SSRN and Université Paris-Dauphine - CEREMADE, CNRS
Downloads 29 (639,786)

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asymptotic hedging, Leland-Lott strategy, transaction costs, Martingale limit theorem

Mean Square Error and Limit Theorem for the Modi fied Leland Hedging Strategy with a Constant Transaction Costs Coefficient

Number of pages: 41 Posted: 24 Apr 2012
Sebastien Darses and Emmanuel Lepinette
affiliation not provided to SSRN and Université Paris-Dauphine - CEREMADE, CNRS
Downloads 26 (661,273)

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asymptotic hedging, Leland-Lott strategy ,transaction costs, martingale limit theorem

12.

Asymptotic Arbitrage in Large Financial Markets with Friction

Number of pages: 30 Posted: 13 Apr 2012
Emmanuel Lepinette and Lavinia Ostafe
Université Paris-Dauphine - CEREMADE, CNRS and University of Vienna
Downloads 51 (509,837)

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large financial market, asymptotic arbitrage, transaction costs, contiguity

13.

Approximate Hedging in a Local Volatility Model with Proportional Transaction Costs

Number of pages: 23 Posted: 30 Mar 2013
Emmanuel Lepinette, Tuan Tran and Tuan Tran
Université Paris-Dauphine - CEREMADE, CNRS and Université Paris DauphineMcMaster University
Downloads 50 (514,159)

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14.

Hedging of American Options Under Transaction Costs

Finance & Stochastics, Forthcoming
Number of pages: 15 Posted: 13 Apr 2012
Youri Kabanov, Emmanuel Lepinette and Dimitri DeValière
Universite de Franche-Comte, Université Paris-Dauphine - CEREMADE, CNRS and affiliation not provided to SSRN
Downloads 48 (523,104)

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transaction costs, American option, hedging, coherent price system

15.

Arbitrage Pricing Under Transaction Costs: Continuous Time

Recent Advances in Financial Engineering, World Scientific, Forthcoming
Number of pages: 16 Posted: 13 Apr 2012
Emmanuel Lepinette
Université Paris-Dauphine - CEREMADE, CNRS
Downloads 45 (536,736)

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general arbitrage, random cones, continuous trading, hedging theorem

16.

Approximate Hedging of Contingent Claims Under Transaction Costs

Applied Mathematical Finance, Vol. 17, No. 6, 2010
Number of pages: 20 Posted: 13 Apr 2012
Emmanuel Lepinette
Université Paris-Dauphine - CEREMADE, CNRS
Downloads 43 (546,349)

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Black–Scholes formula, transaction costs, Leland’s strategy, approximate hedging

17.

Risk Arbitrage and Hedging to Acceptability

Number of pages: 53 Posted: 25 May 2016 Last Revised: 02 Jun 2016
Emmanuel Lepinette and Ilya Molchanov
Université Paris-Dauphine - CEREMADE, CNRS and University of Bern - Department of Mathematical Statistics and Actuarial Science
Downloads 41 (556,251)
Citation 1

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acceptance set, risk arbitrage, risk measure, superhedging, solvency set, random set, transaction costs

18.

Arbitrage Theory for Non Convex Financial Market Models

Number of pages: 36 Posted: 29 Sep 2015 Last Revised: 17 Oct 2015
Emmanuel Lepinette, Tuan Tran and Tuan Tran
Université Paris-Dauphine - CEREMADE, CNRS and Université Paris DauphineMcMaster University
Downloads 41 (556,251)

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19.

Approximation of Non-Lipschitz SDEs by Picard Iterations

Number of pages: 39 Posted: 16 Nov 2016 Last Revised: 14 Jun 2018
Julien Baptiste, Julien Grépat and Emmanuel Lepinette
Université Paris Dauphine - PSL Research University, Université Paris Dauphine - PSL Research University and Université Paris-Dauphine - CEREMADE, CNRS
Downloads 40 (561,234)

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Pricing, European Options

20.

Mean Square Error for the Leland-Lott Hedging Strategy: Convex Pay-Off

Finance Stochastics, Vol. 14, No. 4, 2010
Number of pages: 42 Posted: 13 Apr 2012
Emmanuel Lepinette and Youri Kabanov
Université Paris-Dauphine - CEREMADE, CNRS and Universite de Franche-Comte
Downloads 39 (566,331)

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Black-Scholes formula, European option, transaction costs, Leland strategy, Lott strategy, approximate hedging, Martingale limit theorem, diffusion approximation

21.

Pricing Without Martingale Measure

Number of pages: 33 Posted: 30 Jun 2018
Julien Baptiste, Laurence Carassus and Emmanuel Lepinette
Université Paris Dauphine - PSL Research University, Université Paris VII Denis Diderot and Université Paris-Dauphine - CEREMADE, CNRS
Downloads 38 (571,502)
Citation 2

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Financial Market Models, Super-Hedging Prices, No-Arbitrage Condition, Conditional Support, Essential Supremum

22.

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

Number of pages: 37 Posted: 01 Apr 2013
Romuald Elie and Emmanuel Lepinette
Université Paris Dauphine - CEREMADE and Université Paris-Dauphine - CEREMADE, CNRS
Downloads 38 (571,502)

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23.

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

Number of pages: 41 Posted: 30 Mar 2013 Last Revised: 24 Jun 2015
Emmanuel Lepinette, Bruno Bouchard and Erik Taflin
Université Paris-Dauphine - CEREMADE, CNRS, Université Paris Dauphine - CEREMADE and EISTI
Downloads 32 (604,631)

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24.

Consistent Price Systems and Arbitrage Opportunities of the Second Kind in Models with Transaction Costs

Finance Stochastics, Vol. 16, No. 1, 2012
Number of pages: 18 Posted: 13 Apr 2012
Emmanuel Lepinette and Youri Kabanov
Université Paris-Dauphine - CEREMADE, CNRS and Universite de Franche-Comte
Downloads 32 (604,631)

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transaction costs, arbitrage, no free lunch, consistent price systems, set-valued processes, Martingales

25.

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

Number of pages: 23 Posted: 25 Feb 2015
Emmanuel Lepinette
Université Paris-Dauphine - CEREMADE, CNRS
Downloads 26 (642,743)

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26.

On Supremal and Maximal Sets with Respect to Random Partial Orders

Number of pages: 14 Posted: 15 Nov 2013
Youri Kabanov and Emmanuel Lepinette
Universite de Franche-Comte and Université Paris-Dauphine - CEREMADE, CNRS
Downloads 23 (663,892)

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27.

Essential Supremum and Essential Maximum with Respect to Random Preference Relations

Number of pages: 17 Posted: 31 Mar 2013
Youri Kabanov and Emmanuel Lepinette
Universite de Franche-Comte and Université Paris-Dauphine - CEREMADE, CNRS
Downloads 22 (671,213)
Citation 1

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Preference Relation, Partial Order, Random cones, Transaction costs, American option, Hedging

28.

Essential Supremum with Respect to a Random Partial Order

Number of pages: 19 Posted: 01 Apr 2013
Youri Kabanov and Emmanuel Lepinette
Universite de Franche-Comte and Université Paris-Dauphine - CEREMADE, CNRS
Downloads 21 (678,611)

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29.

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

Journal of Stochastic Analysis and Applications, Vol. 30, No. 1, 2012
Number of pages: 29 Posted: 13 Apr 2012
Sebastien Darses and Emmanuel Lepinette
affiliation not provided to SSRN and Université Paris-Dauphine - CEREMADE, CNRS
Downloads 14 (733,599)

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quasi-linear parabolic PDEs, hyperbolic systems, vanishing viscosity method, smooth solutions, stochastic calculus, Feynman-Kac formula, Girsanov’s theorem

30.

Asymptotic Arbitrage with Small Transaction Costs

Number of pages: 21 Posted: 05 Feb 2015
I. Klein, Emmanuel Lepinette and Lavinia Ostafe
University of Vienna - Department of Statistics and Decision Support Systems, Université Paris-Dauphine - CEREMADE, CNRS and University of Vienna
Downloads 12 (751,061)
Citation 2

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31.

Consumption-Investment Optimization Problem in a Lévy Financial Model with Transaction Costs

Posted: 03 Oct 2013
Youri Kabanov, Emmanuel Lepinette, Tuan Tran and Tuan Tran
Universite de Franche-Comte, Université Paris-Dauphine - CEREMADE, CNRS and Université Paris DauphineMcMaster University

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Consumption-investment Problem, Transaction costs, Consistent price systems, Dynamic equation, HJB equation

Other Papers (1)

Total Downloads: 23
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1.

Leland's Approximations for Concave Pay-Off Functions

Recent Advances in Financial Engineering, World Scientific, 2008
Number of pages: 11 Posted: 13 Apr 2012 Last Revised: 30 Apr 2012
Emmanuel Lepinette
Université Paris-Dauphine - CEREMADE, CNRS
Downloads 23

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Black-Scholes formula, transaction costs, Leland's strategy, approximate hedging