24 citations · 39 across the 10 of their papers we have counts for
12 papers
Explicit Recursive Construction of Super-Replication Prices under Proportional Transaction Costs
Emmanuel Lepinette, Amal Omrani
We propose a constructive framework for the super-hedging problem of a European contingent claim under proportional transaction costs in discrete time. Our main contribution is an…
No-arbitrage conditions and pricing from discrete-time to continuous-time strategies
Dorsaf Cherif, Emmanuel Lepinette
In this paper, a general framework is developed for continuous-time financial market models defined from simple strategies through conditional topologies that avoid stochastic calc…
Coherent Risk Measure on : NA Condition, Pricing and Dual Representation
Emmanuel Lepinette, Duc Thinh Vu
The NA condition is one of the pillars supporting the classical theory of financial mathematics. We revisit this condition for financial market models where a dynamic risk-measure…
Dynamic programming principle and computable prices in financial market models with transaction costs
Emmanuel Lepinette, Duc Thinh Vu
How to compute (super) hedging costs in rather general fi- nancial market models with transaction costs in discrete-time ? Despite the huge literature on this topic, most of result…
Super-hedging-pricing formulas and Immediate-Profit arbitrage for market models under random horizon
Tahir Choulli, Emmanuel Lepinette
In this paper, we consider the discrete-time setting, and the market model described by (S,F,T)$. Herein F is the ``public" flow of information which is available to all agents ove…
A short note on super-hedging an arbitrary number of European options with integer-valued strategies
Dorsaf Cherif, Meriam El Mansour, Emmanuel Lepinette
The usual theory of asset pricing in finance assumes that the financial strategies, i.e. the quantity of risky assets to invest, are real-valued so that they are not integer-valued…
Robust discrete-time super-hedging strategies under AIP condition and under price uncertainty
Meriam El Mansour, Emmanuel Lepinette
We solve the problem of super-hedging European or Asian options for discrete-time financial market models where executable prices are uncertain. The risky asset prices are not desc…
Conditional cores and conditional convex hulls of random sets
Emmanuel Lepinette, Ilya Molchanov
We define two non-linear operations with random (not necessarily closed) sets in Banach space: the conditional core and the conditional convex hull. While the first is sublinear, t…
Risk Arbitrage and Hedging to Acceptability under Transaction Costs
Emmanuel Lepinette, Ilya Molchanov
The classical discrete time model of proportional transaction costs relies on the assumption that a feasible portfolio process has solvent increments at each step. We extend this s…
Consumption-Investment Problem with Transaction Costs for Lévy-Driven Price Processes
Dimitri De Vallière, Yuri Kabanov, Emmanuel Lépinette
We consider an optimal control problem for a linear stochastic integro-diffe\-rential equation with conic constraints on the phase variable and the control of singular-regular type…
Robust no-free lunch with vanishing risk, a continuum of assets and proportional transaction costs
Bruno Bouchard, Emmanuel Lepinette, Erik Taflin
We propose a continuous time model for financial markets with proportional transactions costs and a continuum of risky assets. This is motivated by bond markets in which the contin…
Large Financial Markets and Asymptotic Arbitrage with Small Transaction Costs
Irene Klein, Emmanuel Lepinette, Lavinia Ostafe
We give characterizations of asymptotic arbitrage of the first and second kind and of strong asymptotic arbitrage for large financial markets with small proportional transaction co…