1 citations · 1 across the 1 of their papers we have counts for
2 papers
q-fin.PR2013
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…
q-fin.PR2012★ 1 cited
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…