Emmanuel Lépinette
(Emmanuel Lepinette)
Personal Details
First Name: | Emmanuel |
Middle Name: | |
Last Name: | Lepinette |
Suffix: | |
RePEc Short-ID: | plp29 |
[This author has chosen not to make the email address public] | |
https://sites.google.com/site/emmanuellepinettedenis/Home | |
Affiliation
(50%) Centre de Recherches en Mathématiques de la Décision (CEREMADE)
Université Paris-Dauphine (Paris IX)
Paris, Francehttp://www.ceremade.dauphine.fr/
RePEc:edi:cerp9fr (more details at EDIRC)
(50%) International Laboratory of Quantitative Finance
National Research University Higher School of Economics (HSE)
Moscow, Russiahttp://ilqf.hse.ru/
RePEc:edi:qfhseru (more details at EDIRC)
Research output
Jump to: Working papers ArticlesWorking papers
- Emmanuel Lepinette & Ilya Molchanov, 2016. "Risk Arbitrage and Hedging to Acceptability under Transaction Costs," Papers 1605.07884, arXiv.org, revised Apr 2020.
- Sofiane Aboura & Emmanuel Lépinette, 2015.
"Do banks satisfy the Modigliani-Miller theorem?,"
Post-Print
hal-01252895, HAL.
- Sofiane Aboura & Emmanuel Lépinette, 2015. "Do banks satisfy the Modigliani-Miller theorem?," Economics Bulletin, AccessEcon, vol. 35(2), pages 924-935.
- Sofiane Aboura & Emmanuel Lépinette, 2015. "Les effets controversés de la régulation des banques d'investissement et de marchés," Post-Print hal-01103074, HAL.
- Bruno Bouchard & Emmanuel Lepinette & Erik Taflin, 2013. "Robust no-free lunch with vanishing risk, a continuum of assets and proportional transaction costs," Papers 1302.0361, arXiv.org.
- Sofiane Aboura & Emmanuel Lépinette, 2013. "An Alternative Model to Basel Regulation," Working Papers hal-00825018, HAL.
- Irene Klein & Emmanuel Lepinette & Lavinia Ostafe, 2012. "Large Financial Markets and Asymptotic Arbitrage with Small Transaction Costs," Papers 1211.0443, arXiv.org.
- Emmanuel Denis & Yuri Kabanov, 2011.
"Consistent price systems and arbitrage opportunities of the second kind in models with transaction costs,"
Post-Print
hal-00488288, HAL.
- Emmanuel Denis & Yuri Kabanov, 2012. "Consistent price systems and arbitrage opportunities of the second kind in models with transaction costs," Finance and Stochastics, Springer, vol. 16(1), pages 135-154, January.
- Sebastien Darses & Emmanuel Denis, 2010. "Limit Theorem for a Modified Leland Hedging Strategy under Constant Transaction Costs rate," Working Papers hal-00467704, HAL.
- Emmanuel Denis & Yuri Kabanov, 2010.
"Mean square error for the Leland-Lott hedging strategy: convex pay-offs,"
Post-Print
hal-00488278, HAL.
- Emmanuel Denis & Yuri Kabanov, 2010. "Mean square error for the Leland–Lott hedging strategy: convex pay-offs," Finance and Stochastics, Springer, vol. 14(4), pages 625-667, December.
repec:hal:wpaper:hal-00748568 is not listed on IDEAS
Articles
- Dimitri Vallière & Yuri Kabanov & Emmanuel Lépinette, 2016. "Consumption-investment problem with transaction costs for Lévy-driven price processes," Finance and Stochastics, Springer, vol. 20(3), pages 705-740, July.
- Sofiane Aboura & Emmanuel Lépinette, 2015.
"Do banks satisfy the Modigliani-Miller theorem?,"
Economics Bulletin, AccessEcon, vol. 35(2), pages 924-935.
- Sofiane Aboura & Emmanuel Lépinette, 2015. "Do banks satisfy the Modigliani-Miller theorem?," Post-Print hal-01252895, HAL.
- Romuald Elie & Emmanuel Lépinette, 2015. "Approximate hedging for nonlinear transaction costs on the volume of traded assets," Finance and Stochastics, Springer, vol. 19(3), pages 541-581, July.
- Emmanuel Lépinette & Tuan Tran, 2014. "Approximate Hedging in a Local Volatility Model with Proportional Transaction Costs," Applied Mathematical Finance, Taylor & Francis Journals, vol. 21(4), pages 313-341, September.
- Irene Klein & Emmanuel Lépinette & Lavinia Perez-Ostafe, 2014. "Asymptotic arbitrage with small transaction costs," Finance and Stochastics, Springer, vol. 18(4), pages 917-939, October.
- Kabanov, Yuri & Lépinette, Emmanuel, 2013. "Essential supremum with respect to a random partial order," Journal of Mathematical Economics, Elsevier, vol. 49(6), pages 478-487.
- Kabanov, Yuri & Lépinette, Emmanuel, 2013. "Essential supremum and essential maximum with respect to random preference relations," Journal of Mathematical Economics, Elsevier, vol. 49(6), pages 488-495.
- Emmanuel Denis & Yuri Kabanov, 2012.
"Consistent price systems and arbitrage opportunities of the second kind in models with transaction costs,"
Finance and Stochastics, Springer, vol. 16(1), pages 135-154, January.
- Emmanuel Denis & Yuri Kabanov, 2011. "Consistent price systems and arbitrage opportunities of the second kind in models with transaction costs," Post-Print hal-00488288, HAL.
- Paolo Guasoni & Emmanuel Lépinette & Miklós Rásonyi, 2012. "The fundamental theorem of asset pricing under transaction costs," Finance and Stochastics, Springer, vol. 16(4), pages 741-777, October.
- Emmanuel Denis, 2010. "Approximate Hedging of Contingent Claims under Transaction Costs for General Pay-offs," Applied Mathematical Finance, Taylor & Francis Journals, vol. 17(6), pages 491-518.
- Emmanuel Denis & Yuri Kabanov, 2010.
"Mean square error for the Leland–Lott hedging strategy: convex pay-offs,"
Finance and Stochastics, Springer, vol. 14(4), pages 625-667, December.
- Emmanuel Denis & Yuri Kabanov, 2010. "Mean square error for the Leland-Lott hedging strategy: convex pay-offs," Post-Print hal-00488278, HAL.
- D. Vallière & E. Denis & Y. Kabanov, 2009. "Hedging of American options under transaction costs," Finance and Stochastics, Springer, vol. 13(1), pages 105-119, January.
Citations
Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.Working papers
- Emmanuel Lepinette & Ilya Molchanov, 2016.
"Risk Arbitrage and Hedging to Acceptability under Transaction Costs,"
Papers
1605.07884, arXiv.org, revised Apr 2020.
Cited by:
- Andreas Haier & Ilya Molchanov & Michael Schmutz, 2015. "Intragroup transfers, intragroup diversification and their risk assessment," Papers 1511.06320, arXiv.org, revised Nov 2016.
- Sofiane Aboura & Emmanuel Lépinette, 2015.
"Do banks satisfy the Modigliani-Miller theorem?,"
Post-Print
hal-01252895, HAL.
- Sofiane Aboura & Emmanuel Lépinette, 2015. "Do banks satisfy the Modigliani-Miller theorem?," Economics Bulletin, AccessEcon, vol. 35(2), pages 924-935.
Cited by:
- Belinda Cheung & Sebastien Printant, 2019. "Australian Money Market Divergence: Arbitrage Opportunity or Illusion?," RBA Research Discussion Papers rdp2019-09, Reserve Bank of Australia.
- Emmanuel Denis & Yuri Kabanov, 2011.
"Consistent price systems and arbitrage opportunities of the second kind in models with transaction costs,"
Post-Print
hal-00488288, HAL.
- Emmanuel Denis & Yuri Kabanov, 2012. "Consistent price systems and arbitrage opportunities of the second kind in models with transaction costs," Finance and Stochastics, Springer, vol. 16(1), pages 135-154, January.
Cited by:
- Tomasz Zastawniak, 2024. "Fundamental Theorem of Asset Pricing under fixed and proportional costs in multi-asset setting and finite probability space," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 47(1), pages 137-149, June.
- Tomasz R. Bielecki & Igor Cialenco & Rodrigo Rodriguez, 2012. "No-Arbitrage Pricing for Dividend-Paying Securities in Discrete-Time Markets with Transaction Costs," Papers 1205.6254, arXiv.org, revised Jun 2013.
- Adrien Nguyen Huu, 2011.
"A note on super-hedging for investor-producers,"
Papers
1112.4740, arXiv.org, revised Mar 2012.
- Adrien Nguyen Huu, 2013. "A note on super-hedging for investor-producers," Post-Print hal-00653982, HAL.
- Bruno Bouchard & Adrien Nguyen Huu, 2013. "No marginal arbitrage of the second kind for high production regimes in discrete time production-investment models with proportional transaction costs," Post-Print hal-00487030, HAL.
- Bruno Bouchard & Emmanuel Lepinette & Erik Taflin, 2013. "Robust no-free lunch with vanishing risk, a continuum of assets and proportional transaction costs," Papers 1302.0361, arXiv.org.
- Erindi Allaj, 2013. "Implicit transaction costs and the fundamental theorems of asset pricing," Papers 1310.1882, arXiv.org, revised Jul 2017.
- Irene Klein & Emmanuel Lépinette & Lavinia Perez-Ostafe, 2014. "Asymptotic arbitrage with small transaction costs," Finance and Stochastics, Springer, vol. 18(4), pages 917-939, October.
- Paolo Guasoni & Mikl'os R'asonyi, 2015. "Hedging, arbitrage and optimality with superlinear frictions," Papers 1506.05895, arXiv.org.
- Erindi Allaj, 2017. "Implicit Transaction Costs And The Fundamental Theorems Of Asset Pricing," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(04), pages 1-39, June.
- Lepinette, Emmanuel & Tran, Tuan, 2017. "Arbitrage theory for non convex financial market models," Stochastic Processes and their Applications, Elsevier, vol. 127(10), pages 3331-3353.
- Emmanuel Lépinette & Ilya Molchanov, 2021. "Risk arbitrage and hedging to acceptability under transaction costs," Finance and Stochastics, Springer, vol. 25(1), pages 101-132, January.
- Martin Brown & Tomasz Zastawniak, 2020. "Fundamental Theorem of Asset Pricing under fixed and proportional transaction costs," Annals of Finance, Springer, vol. 16(3), pages 423-433, September.
- Sebastien Darses & Emmanuel Denis, 2010.
"Limit Theorem for a Modified Leland Hedging Strategy under Constant Transaction Costs rate,"
Working Papers
hal-00467704, HAL.
Cited by:
- Peili Lu & Jiaqi Shen & Liheng Zhao & Haoyang Qin & Xunzhi Liu & Zhongxing Ye, 2020. "Price risk management by using dynamic hedging based on advanced Black–Scholes model," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 7(01), pages 1-14, March.
- Emmanuel Denis & Yuri Kabanov, 2010.
"Mean square error for the Leland-Lott hedging strategy: convex pay-offs,"
Post-Print
hal-00488278, HAL.
- Emmanuel Denis & Yuri Kabanov, 2010. "Mean square error for the Leland–Lott hedging strategy: convex pay-offs," Finance and Stochastics, Springer, vol. 14(4), pages 625-667, December.
Cited by:
- Emmanuel Lépinette & Duc Thinh Vu, 2023. "Dynamic programming principle and computable prices in financial market models with transaction costs," Post-Print hal-03284655, HAL.
- Shokrollahi, Foad & Sottinen, Tommi, 2017. "Hedging in fractional Black–Scholes model with transaction costs," Statistics & Probability Letters, Elsevier, vol. 130(C), pages 85-91.
- Romuald Elie & Emmanuel Lépinette, 2015. "Approximate hedging for nonlinear transaction costs on the volume of traded assets," Finance and Stochastics, Springer, vol. 19(3), pages 541-581, July.
- Masaaki Fukasawa, 2012. "Efficient Discretization of Stochastic Integrals," Papers 1204.0637, arXiv.org.
- Serguei Pergamenchtchikov & Alena Shishkova, 2020. "Hedging problems for Asian options with transactions costs," Papers 2001.01443, arXiv.org.
- Foad Shokrollahi & Tommi Sottinen, 2017. "Hedging in fractional Black-Scholes model with transaction costs," Papers 1706.01534, arXiv.org, revised Jul 2017.
- Tommi Sottinen & Lauri Viitasaari, 2017. "Conditional-Mean Hedging Under Transaction Costs in Gaussian Models," Papers 1708.03242, arXiv.org.
- Hamidreza Maleki Almani & Foad Shokrollahi & Tommi Sottinen, 2024. "Hedging in Jump Diffusion Model with Transaction Costs," Papers 2408.10785, arXiv.org.
- Wang, Xiao-Tian & Li, Zhe & Zhuang, Le, 2017. "Risk preference, option pricing and portfolio hedging with proportional transaction costs," Chaos, Solitons & Fractals, Elsevier, vol. 95(C), pages 111-130.
- Tommi Sottinen & Lauri Viitasaari, 2018. "Conditional-Mean Hedging Under Transaction Costs In Gaussian Models," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(02), pages 1-15, March.
- Masaaki Fukasawa, 2014. "Efficient discretization of stochastic integrals," Finance and Stochastics, Springer, vol. 18(1), pages 175-208, January.
- Jiatu Cai & Masaaki Fukasawa, 2014. "Asymptotic replication with modified volatility under small transaction costs," Papers 1408.5677, arXiv.org.
- Thai Huu Nguyen & Serguei Pergamenshchikov, 2015. "Approximate hedging problem with transaction costs in stochastic volatility markets," Papers 1505.02546, arXiv.org.
- Jiatu Cai & Masaaki Fukasawa, 2016. "Asymptotic replication with modified volatility under small transaction costs," Finance and Stochastics, Springer, vol. 20(2), pages 381-431, April.
- Huu Thai Nguyen & Serguei Pergamenchtchikov, 2012.
"Approximate hedging problem with transaction costs in stochastic volatility markets,"
Working Papers
hal-00808608, HAL.
- Huu Thai Nguyen & Serguei Pergamenchtchikov, 2012. "Approximate hedging problem with transaction costs in stochastic volatility markets," Working Papers hal-00747689, HAL.
- Xavier Warin, 2017. "Variance optimal hedging with application to Electricity markets," Papers 1711.03733, arXiv.org, revised Aug 2018.
Articles
- Dimitri Vallière & Yuri Kabanov & Emmanuel Lépinette, 2016.
"Consumption-investment problem with transaction costs for Lévy-driven price processes,"
Finance and Stochastics, Springer, vol. 20(3), pages 705-740, July.
Cited by:
- Baccarin Stefano, 2024. "CRRA Utility Maximization Over a Finite Horizon in an Exponential Levy Model with Finite Activity," Working papers 092, Department of Economics, Social Studies, Applied Mathematics and Statistics (Dipartimento di Scienze Economico-Sociali e Matematico-Statistiche), University of Torino.
- Len Patrick Dominic M. Garces & Gerald H. L. Cheang, 2021. "A numerical approach to pricing exchange options under stochastic volatility and jump-diffusion dynamics," Quantitative Finance, Taylor & Francis Journals, vol. 21(12), pages 2025-2054, December.
- Sofiane Aboura & Emmanuel Lépinette, 2015.
"Do banks satisfy the Modigliani-Miller theorem?,"
Economics Bulletin, AccessEcon, vol. 35(2), pages 924-935.
See citations under working paper version above.
- Sofiane Aboura & Emmanuel Lépinette, 2015. "Do banks satisfy the Modigliani-Miller theorem?," Post-Print hal-01252895, HAL.
- Emmanuel Lépinette & Tuan Tran, 2014.
"Approximate Hedging in a Local Volatility Model with Proportional Transaction Costs,"
Applied Mathematical Finance, Taylor & Francis Journals, vol. 21(4), pages 313-341, September.
Cited by:
- Julien Baptiste & Laurence Carassus & Emmanuel L'epinette, 2018. "Pricing without martingale measure," Papers 1807.04612, arXiv.org, revised May 2019.
- Serguei Pergamenchtchikov & Alena Shishkova, 2020. "Hedging problems for Asian options with transactions costs," Papers 2001.01443, arXiv.org.
- Irene Klein & Emmanuel Lépinette & Lavinia Perez-Ostafe, 2014.
"Asymptotic arbitrage with small transaction costs,"
Finance and Stochastics, Springer, vol. 18(4), pages 917-939, October.
Cited by:
- Fatma Haba & Antoine Jacquier, 2013.
"Asymptotic arbitrage in the Heston model,"
Papers
1302.6491, arXiv.org, revised Apr 2014.
- Fatma Haba & Antoine Jacquier, 2015. "Asymptotic Arbitrage In The Heston Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 18(08), pages 1-18, December.
- Huy N. Chau & Andrea Cosso & Claudio Fontana & Oleksii Mostovyi, 2015. "Optimal investment with intermediate consumption under no unbounded profit with bounded risk," Papers 1509.01672, arXiv.org, revised Jun 2017.
- Fatma Haba & Antoine Jacquier, 2013.
"Asymptotic arbitrage in the Heston model,"
Papers
1302.6491, arXiv.org, revised Apr 2014.
- Kabanov, Yuri & Lépinette, Emmanuel, 2013.
"Essential supremum with respect to a random partial order,"
Journal of Mathematical Economics, Elsevier, vol. 49(6), pages 478-487.
Cited by:
- Julien Baptiste & Laurence Carassus & Emmanuel L'epinette, 2018. "Pricing without martingale measure," Papers 1807.04612, arXiv.org, revised May 2019.
- Laurence Carassus, 2021. "Quasi-sure essential supremum and applications to finance," Papers 2107.12862, arXiv.org, revised Mar 2024.
- Mario Sikic, 2015. "Financial market models in discrete time beyond the concave case," Papers 1512.01758, arXiv.org.
- Meriam El Mansour & Emmanuel Lépinette, 2020. "Conditional Interior and Conditional Closure of Random Sets," Journal of Optimization Theory and Applications, Springer, vol. 187(2), pages 356-369, November.
- Tahir Choulli & Emmanuel Lepinette, 2024. "Super-hedging-pricing formulas and Immediate-Profit arbitrage for market models under random horizon," Papers 2401.05713, arXiv.org.
- Meriam El Mansour & Emmanuel Lepinette, 2023. "Robust discrete-time super-hedging strategies under AIP condition and under price uncertainty," Papers 2311.08847, arXiv.org.
- Jun Zhao & Emmanuel Lépinette & Peibiao Zhao, 2019. "Pricing under dynamic risk measures," Post-Print hal-02135232, HAL.
- Emmanuel Lepinette & Ilya Molchanov, 2017. "Conditional cores and conditional convex hulls of random sets," Papers 1711.10303, arXiv.org.
- Laurence Carassus & Emmanuel L'epinette, 2021. "Pricing without no-arbitrage condition in discrete time," Papers 2104.02688, arXiv.org.
- Sofiane Aboura & Emmanuel Lépinette, 2013. "An Alternative Model to Basel Regulation," Working Papers hal-00825018, HAL.
- Kabanov, Yuri & Lépinette, Emmanuel, 2013.
"Essential supremum and essential maximum with respect to random preference relations,"
Journal of Mathematical Economics, Elsevier, vol. 49(6), pages 488-495.
Cited by:
- Julien Baptiste & Laurence Carassus & Emmanuel L'epinette, 2018. "Pricing without martingale measure," Papers 1807.04612, arXiv.org, revised May 2019.
- Laurence Carassus, 2021. "Quasi-sure essential supremum and applications to finance," Papers 2107.12862, arXiv.org, revised Mar 2024.
- Mario Sikic, 2015. "Financial market models in discrete time beyond the concave case," Papers 1512.01758, arXiv.org.
- Meriam El Mansour & Emmanuel Lépinette, 2020. "Conditional Interior and Conditional Closure of Random Sets," Journal of Optimization Theory and Applications, Springer, vol. 187(2), pages 356-369, November.
- Jun Zhao & Emmanuel Lépinette & Peibiao Zhao, 2019. "Pricing under dynamic risk measures," Post-Print hal-02135232, HAL.
- Emmanuel Lepinette & Ilya Molchanov, 2017. "Conditional cores and conditional convex hulls of random sets," Papers 1711.10303, arXiv.org.
- Laurence Carassus & Emmanuel L'epinette, 2021. "Pricing without no-arbitrage condition in discrete time," Papers 2104.02688, arXiv.org.
- Emmanuel Denis & Yuri Kabanov, 2012.
"Consistent price systems and arbitrage opportunities of the second kind in models with transaction costs,"
Finance and Stochastics, Springer, vol. 16(1), pages 135-154, January.
See citations under working paper version above.
- Emmanuel Denis & Yuri Kabanov, 2011. "Consistent price systems and arbitrage opportunities of the second kind in models with transaction costs," Post-Print hal-00488288, HAL.
- Paolo Guasoni & Emmanuel Lépinette & Miklós Rásonyi, 2012.
"The fundamental theorem of asset pricing under transaction costs,"
Finance and Stochastics, Springer, vol. 16(4), pages 741-777, October.
Cited by:
- Peter Bank & David Besslich, 2018. "Modelling information flows by Meyer-$\sigma$-fields in the singular stochastic control problem of irreversible investment," Papers 1810.08495, arXiv.org, revised Mar 2020.
- Kühn, Christoph & Stroh, Maximilian, 2013. "Continuous time trading of a small investor in a limit order market," Stochastic Processes and their Applications, Elsevier, vol. 123(6), pages 2011-2053.
- Takaki Hayashi & Yuta Koike, 2017. "No arbitrage and lead-lag relationships," Papers 1712.09854, arXiv.org.
- Dilip B. Madan & Yazid M. Sharaiha, 2015. "Option overlay strategies," Quantitative Finance, Taylor & Francis Journals, vol. 15(7), pages 1175-1190, July.
- Dilip B. Madan & Wim Schoutens, 2019. "Conic asset pricing and the costs of price fluctuations," Annals of Finance, Springer, vol. 15(1), pages 29-58, March.
- Dilip B. Madan, 2016. "Benchmarking in two price financial markets," Annals of Finance, Springer, vol. 12(2), pages 201-219, May.
- Giuseppe Benedetti & Luciano Campi, 2011. "Multivariate utility maximization with proportional transaction costs and random endowment," Working Papers hal-00586377, HAL.
- Mehdi Vazifedan & Qiji Jim Zhu, 2020. "No-Arbitrage Principle in Conic Finance," Risks, MDPI, vol. 8(2), pages 1-34, June.
- Tomasz Zastawniak, 2024. "Fundamental Theorem of Asset Pricing under fixed and proportional costs in multi-asset setting and finite probability space," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 47(1), pages 137-149, June.
- Tomasz R. Bielecki & Igor Cialenco & Rodrigo Rodriguez, 2012. "No-Arbitrage Pricing for Dividend-Paying Securities in Discrete-Time Markets with Transaction Costs," Papers 1205.6254, arXiv.org, revised Jun 2013.
- Christoph Kühn & Alexander Molitor, 2022. "Semimartingale price systems in models with transaction costs beyond efficient friction," Finance and Stochastics, Springer, vol. 26(4), pages 927-982, October.
- Yoshihiro Shirai, 2022. "Extreme Measures in Continuous Time Conic Finace," Papers 2210.13671, arXiv.org, revised Oct 2023.
- Adrien Nguyen Huu, 2011.
"A note on super-hedging for investor-producers,"
Papers
1112.4740, arXiv.org, revised Mar 2012.
- Adrien Nguyen Huu, 2013. "A note on super-hedging for investor-producers," Post-Print hal-00653982, HAL.
- Huy N. Chau & Masaaki Fukasawa & Miklós Rásonyi, 2022. "Super‐replication with transaction costs under model uncertainty for continuous processes," Mathematical Finance, Wiley Blackwell, vol. 32(4), pages 1066-1085, October.
- Christoph Kuhn, 2023. "The fundamental theorem of asset pricing with and without transaction costs," Papers 2307.00571, arXiv.org, revised Aug 2024.
- Erhan Bayraktar & Leonid Dolinskyi & Yan Dolinsky, 2020.
"Extended weak convergence and utility maximisation with proportional transaction costs,"
Finance and Stochastics, Springer, vol. 24(4), pages 1013-1034, October.
- Erhan Bayraktar & Leonid Dolinskyi & Yan Dolinsky, 2019. "Extended Weak Convergence and Utility Maximization with Proportional Transaction Costs," Papers 1912.08863, arXiv.org, revised Jul 2020.
- Bruno Bouchard & Emmanuel Lepinette & Erik Taflin, 2013. "Robust no-free lunch with vanishing risk, a continuum of assets and proportional transaction costs," Papers 1302.0361, arXiv.org.
- Christoph Kuhn & Alexander Molitor, 2020. "Semimartingale price systems in models with transaction costs beyond efficient friction," Papers 2001.03190, arXiv.org, revised Aug 2021.
- Yuan Hu & Abootaleb Shirvani & W. Brent Lindquist & Frank J. Fabozzi & Svetlozar T. Rachev, 2021. "Market Complete Option Valuation using a Jarrow-Rudd Pricing Tree with Skewness and Kurtosis," Papers 2106.09128, arXiv.org.
- Huy N. Chau & Masaaki Fukasawa & Miklos Rasonyi, 2021. "Super-replication with transaction costs under model uncertainty for continuous processes," Papers 2102.02298, arXiv.org.
- Erindi Allaj, 2013. "Implicit transaction costs and the fundamental theorems of asset pricing," Papers 1310.1882, arXiv.org, revised Jul 2017.
- Irene Klein & Emmanuel Lépinette & Lavinia Perez-Ostafe, 2014. "Asymptotic arbitrage with small transaction costs," Finance and Stochastics, Springer, vol. 18(4), pages 917-939, October.
- Paolo Guasoni & Mikl'os R'asonyi, 2015. "Hedging, arbitrage and optimality with superlinear frictions," Papers 1506.05895, arXiv.org.
- Dilip Madan, 2015. "Asset pricing theory for two price economies," Annals of Finance, Springer, vol. 11(1), pages 1-35, February.
- Erindi Allaj, 2017. "Implicit Transaction Costs And The Fundamental Theorems Of Asset Pricing," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(04), pages 1-39, June.
- Przemys{l}aw Rola, 2014. "Arbitrage in markets with bid-ask spreads," Papers 1407.3372, arXiv.org.
- Dilip B Madan, 2016. "Marking to two-price markets," Journal of Asset Management, Palgrave Macmillan, vol. 17(2), pages 100-118, March.
- Xiang Yu, 2014. "Optimal Consumption under Habit Formation In Markets with Transaction Costs and Random Endowments," Papers 1408.1382, arXiv.org, revised Jul 2016.
- Hu, Yuan & Lindquist, W. Brent & Rachev, Svetlozar T. & Shirvani, Abootaleb & Fabozzi, Frank J., 2022. "Market complete option valuation using a Jarrow-Rudd pricing tree with skewness and kurtosis," Journal of Economic Dynamics and Control, Elsevier, vol. 137(C).
- Hayashi, Takaki & Koike, Yuta, 2019. "No arbitrage and lead–lag relationships," Statistics & Probability Letters, Elsevier, vol. 154(C), pages 1-1.
- Lepinette, Emmanuel & Tran, Tuan, 2017. "Arbitrage theory for non convex financial market models," Stochastic Processes and their Applications, Elsevier, vol. 127(10), pages 3331-3353.
- Dilip B. Madan & Wim Schoutens & King Wang, 2020. "Bilateral multiple gamma returns: Their risks and rewards," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 7(01), pages 1-27, March.
- Erhan Bayraktar & Xiang Yu, 2018.
"On the market viability under proportional transaction costs,"
Mathematical Finance, Wiley Blackwell, vol. 28(3), pages 800-838, July.
- Erhan Bayraktar & Xiang Yu, 2013. "On the Market Viability under Proportional Transaction Costs," Papers 1312.3917, arXiv.org, revised Jan 2017.
- Yuan Hu & W. Brent Lindquist & Svetlozar T. Rachev & Frank J. Fabozzi, 2024. "Option Pricing Using a Skew Random Walk Binary Tree," JRFM, MDPI, vol. 17(4), pages 1-29, March.
- Yuan Hu & W. Brent Lindquist & Svetlozar T. Rachev & Frank J. Fabozzi, 2023. "Option pricing using a skew random walk pricing tree," Papers 2303.17014, arXiv.org.
- Zhang, Xili & Xiao, Weilin, 2017. "Arbitrage with fractional Gaussian processes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 471(C), pages 620-628.
- Martin Brown & Tomasz Zastawniak, 2020. "Fundamental Theorem of Asset Pricing under fixed and proportional transaction costs," Annals of Finance, Springer, vol. 16(3), pages 423-433, September.
- Emmanuel Denis & Yuri Kabanov, 2010.
"Mean square error for the Leland–Lott hedging strategy: convex pay-offs,"
Finance and Stochastics, Springer, vol. 14(4), pages 625-667, December.
See citations under working paper version above.
- Emmanuel Denis & Yuri Kabanov, 2010. "Mean square error for the Leland-Lott hedging strategy: convex pay-offs," Post-Print hal-00488278, HAL.
- D. Vallière & E. Denis & Y. Kabanov, 2009.
"Hedging of American options under transaction costs,"
Finance and Stochastics, Springer, vol. 13(1), pages 105-119, January.
Cited by:
- Peter Bank & Frank Riedel, 1999.
"Optimal Consumption Choice under Uncertainty with Intertemporal Substitution,"
GE, Growth, Math methods
9908002, University Library of Munich, Germany.
- Bank, Peter & Riedel, Frank, 1999. "Optimal consumption choice under uncertainty with intertemporal substitution," SFB 373 Discussion Papers 1999,71, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Bruno Bouchard & Elyès Jouini, 2010. "Transaction Costs in Financial Models," Post-Print halshs-00703138, HAL.
- Manel Kacem & Stéphane Loisel & Véronique Maume-Deschamps, 2016.
"Some mixing properties of conditionally independent processes,"
Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 45(5), pages 1241-1259, March.
- Manel Kacem & Stéphane Loisel & Véronique Maume-Deschamps, 2016. "Some mixing properties of conditionally independent processes," Post-Print hal-00670649, HAL.
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NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 3 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.- NEP-RMG: Risk Management (3) 2010-04-24 2013-07-28 2016-06-14
- NEP-BAN: Banking (1) 2013-07-28
- NEP-CBA: Central Banking (1) 2013-07-28
- NEP-FMK: Financial Markets (1) 2013-07-28
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