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Details about Emmanuel Lépinette

E-mail:
Homepage:https://sites.google.com/site/emmanuellepinettedenis/Home
Workplace:Centre de Recherches en Mathématiques de la Décision (CEREMADE) (Research Center in Decision Mathematics), Université Paris-Dauphine (Paris IX) (University of Paris 9), (more information at EDIRC)
International Laboratory of Quantitative Finance, National Research University Higher School of Economics, (more information at EDIRC)

Access statistics for papers by Emmanuel Lépinette.

Last updated 2016-10-14. Update your information in the RePEc Author Service.

Short-id: plp29


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Working Papers

2016

  1. Risk Arbitrage and Hedging to Acceptability
    Papers, arXiv.org Downloads View citations (1)

2015

  1. Do banks satisfy the Modigliani-Miller theorem?
    Post-Print, HAL View citations (1)
    See also Journal Article in Economics Bulletin (2015)
  2. Les effets controversés de la régulation des banques d'investissement et de marchés
    Post-Print, HAL

2013

  1. An Alternative Model to Basel Regulation
    Working Papers, HAL Downloads
  2. Robust no-free lunch with vanishing risk, a continuum of assets and proportional transaction costs
    Papers, arXiv.org Downloads

2012

  1. Large Financial Markets and Asymptotic Arbitrage with Small Transaction Costs
    Papers, arXiv.org Downloads
    Also in Working Papers, HAL (2012)

2011

  1. Consistent price systems and arbitrage opportunities of the second kind in models with transaction costs
    Post-Print, HAL View citations (3)
    See also Journal Article in Finance and Stochastics (2012)

2010

  1. Limit Theorem for a Modified Leland Hedging Strategy under Constant Transaction Costs rate
    Working Papers, HAL Downloads
  2. Mean square error for the Leland-Lott hedging strategy: convex pay-offs
    Post-Print, HAL View citations (6)
    See also Journal Article in Finance and Stochastics (2010)

2009

  1. Hedging of American options under transaction costs
    Post-Print, HAL View citations (2)
    See also Journal Article in Finance and Stochastics (2009)

Journal Articles

2016

  1. Consumption-investment problem with transaction costs for Lévy-driven price processes
    Finance and Stochastics, 2016, 20, (3), 705-740 Downloads

2015

  1. Approximate hedging for nonlinear transaction costs on the volume of traded assets
    Finance and Stochastics, 2015, 19, (3), 541-581 Downloads
  2. Do banks satisfy the Modigliani-Miller theorem?
    Economics Bulletin, 2015, 35, (2), 924-935 Downloads View citations (1)
    See also Working Paper (2015)

2014

  1. Approximate Hedging in a Local Volatility Model with Proportional Transaction Costs
    Applied Mathematical Finance, 2014, 21, (4), 313-341 Downloads View citations (1)
  2. Asymptotic arbitrage with small transaction costs
    Finance and Stochastics, 2014, 18, (4), 917-939 Downloads View citations (2)

2013

  1. Essential supremum and essential maximum with respect to random preference relations
    Journal of Mathematical Economics, 2013, 49, (6), 488-495 Downloads View citations (3)
  2. Essential supremum with respect to a random partial order
    Journal of Mathematical Economics, 2013, 49, (6), 478-487 Downloads View citations (4)

2012

  1. Consistent price systems and arbitrage opportunities of the second kind in models with transaction costs
    Finance and Stochastics, 2012, 16, (1), 135-154 Downloads View citations (8)
    See also Working Paper (2011)
  2. The fundamental theorem of asset pricing under transaction costs
    Finance and Stochastics, 2012, 16, (4), 741-777 Downloads View citations (22)

2010

  1. Approximate Hedging of Contingent Claims under Transaction Costs for General Pay-offs
    Applied Mathematical Finance, 2010, 17, (6), 491-518 Downloads
  2. Mean square error for the Leland–Lott hedging strategy: convex pay-offs
    Finance and Stochastics, 2010, 14, (4), 625-667 Downloads View citations (13)
    See also Working Paper (2010)

2009

  1. Hedging of American options under transaction costs
    Finance and Stochastics, 2009, 13, (1), 105-119 Downloads View citations (8)
    See also Working Paper (2009)
 
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