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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TOTAL CITATIONS
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Top 39,300

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15

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 763 (71,907)

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Modigliani-Miller, banks, leverage, regulation

2.

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 621 (93,679)

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

3.

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 373 (172,814)
Citation 2

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4.

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 325 (200,825)
Citation 2

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

5.

A Model of Self-Regulation in Banking Industry

Downloads 244 (270,492)
Citation 2

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 149 (424,627)
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 95 (602,910)

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6.

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 116 (517,292)

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7.

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

Downloads 104 (561,234)

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 56 (818,129)

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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 48 (882,551)

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

8.

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 103 (565,205)

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9.

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 97 (588,929)
Citation 2

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10.

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 94 (600,957)

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

11.

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 88 (626,102)

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transaction costs, American option, hedging, coherent price system

12.

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 87 (630,572)

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

13.

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 86 (635,094)

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

14.

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 83 (648,739)

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15.

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 82 (653,278)

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large financial market, asymptotic arbitrage, transaction costs, contiguity

16.

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 78 (672,527)
Citation 3

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

17.

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 77 (677,373)

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general arbitrage, random cones, continuous trading, hedging theorem

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 75 (687,532)

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19.

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 72 (703,468)

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

20.

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 69 (720,073)

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21.

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 68 (725,834)

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Pricing, European Options

22.

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 67 (731,547)
Citation 1

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

23.

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 65 (743,279)
Citation 1

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

24.

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 57 (794,944)

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25.

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 56 (802,079)

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26.

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 52 (831,460)

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

27.

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 49 (854,998)

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28.

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 44 (897,211)

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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 36 (973,329)

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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 32 (1,015,032)
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: 46
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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 46

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