Details about Emmanuel Lépinette

Access statistics for papers by Emmanuel Lépinette.

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

Short-id: plp29

Working Papers

2020

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

2015

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

2013

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

2012

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

2011

7. Consistent price systems and arbitrage opportunities of the second kind in models with transaction costs
   Post-Print, HAL View citations (4)
   See also Journal Article in Finance and Stochastics (2012)

2010

8. Limit Theorem for a Modified Leland Hedging Strategy under Constant Transaction Costs rate
   Working Papers, HAL View citations (1)
9. Mean square error for the Leland-Lott hedging strategy: convex pay-offs
   Post-Print, HAL View citations (8)
   See also Journal Article in Finance and Stochastics (2010)

Journal Articles

2016

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

2015

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

2014

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

2013

6. Essential supremum and essential maximum with respect to random preference relations
   Journal of Mathematical Economics, 2013, 49, (6), 488-495 View citations (7)
7. Essential supremum with respect to a random partial order
   Journal of Mathematical Economics, 2013, 49, (6), 478-487 View citations (8)

2012

8. Consistent price systems and arbitrage opportunities of the second kind in models with transaction costs
   Finance and Stochastics, 2012, 16, (1), 135-154 View citations (9)
   See also Working Paper (2011)
9. The fundamental theorem of asset pricing under transaction costs
   Finance and Stochastics, 2012, 16, (4), 741-777 View citations (28)

2010

10. Approximate Hedging of Contingent Claims under Transaction Costs for General Pay-offs
    Applied Mathematical Finance, 2010, 17, (6), 491-518
11. Mean square error for the Leland–Lott hedging strategy: convex pay-offs
    Finance and Stochastics, 2010, 14, (4), 625-667 View citations (16)
    See also Working Paper (2010)

2009

12. Hedging of American options under transaction costs
    Finance and Stochastics, 2009, 13, (1), 105-119 View citations (8)