Emmanuel Lépinette

Names

Contact

Affiliations

• Université Paris-Dauphine (Paris IX) → Centre de Recherches en Mathématiques de la Décision (CEREMADE) (weight: 50%)
  • website
  • location: Paris, France
• National Research University Higher School of Economics → International Laboratory of Quantitative Finance (weight: 50%)
  • website
  • location: Moscow, Russia

Research profile

author of:

• Limit Theorem for a Modified Leland Hedging Strategy under Constant Transaction Costs rate
  by Sebastien Darses & Emmanuel Denis
• Mean square error for the Leland–Lott hedging strategy: convex pay-offs
  by Emmanuel Denis & Yuri Kabanov
• Hedging of American options under transaction costs
  by D. Vallière & E. Denis & Y. Kabanov
• The fundamental theorem of asset pricing under transaction costs
  by Paolo Guasoni & Emmanuel Lépinette & Miklós Rásonyi
• Approximate Hedging of Contingent Claims under Transaction Costs for General Pay-offs
  by Emmanuel Denis
• Consistent price systems and arbitrage opportunities of the second kind in models with transaction costs
  by Emmanuel Denis & Yuri Kabanov
• Large Financial Markets and Asymptotic Arbitrage with Small Transaction Costs
  by Irene Klein & Emmanuel Lepinette & Lavinia Ostafe
• Essential supremum and essential maximum with respect to random preference relations
  by Kabanov, Yuri & Lépinette, Emmanuel
• An Alternative Model to Basel Regulation
  by Sofiane Aboura & Emmanuel Lépinette
• Essential supremum with respect to a random partial order
  by Kabanov, Yuri & Lépinette, Emmanuel
• Robust no-free lunch with vanishing risk, a continuum of assets and proportional transaction costs
  by Bruno Bouchard & Emmanuel Lepinette & Erik Taflin
• Approximate Hedging in a Local Volatility Model with Proportional Transaction Costs
  by Emmanuel Lépinette & Tuan Tran
• Asymptotic arbitrage with small transaction costs
  by Irene Klein & Emmanuel Lépinette & Lavinia Perez-Ostafe
• Large Financial Markets and Asymptotic Arbitrage with Small Transaction Costs
  by Irene Klein & Emmanuel Lépinette & Lavinia Ostafe
• Mean square error for the Leland-Lott hedging strategy: convex pay-offs.
  by Emmanuel Denis & Yuri Kabanov
• Risk Arbitrage and Hedging to Acceptability under Transaction Costs
  by Emmanuel Lepinette & Ilya Molchanov
• Do banks satisfy the Modigliani-Miller theorem?
  by Sofiane Aboura & Emmanuel Lépinette
• Hedging of American options under transaction costs.
  by Yuri Kabanov & Dimitri de Vallière & Emmanuel Denis
• Consistent price systems and arbitrage opportunities of the second kind in models with transaction costs.
  by Emmanuel Denis & Yuri Kabanov
• Approximate hedging for nonlinear transaction costs on the volume of traded assets
  by Romuald Elie & Emmanuel Lépinette
• Les effets controversés de la régulation des banques d'investissement et de marchés.
  by Sofiane Aboura & Emmanuel Lépinette
• Do banks satisfy the Modigliani-Miller theorem?
  by Sofiane Aboura & Emmanuel LÃpinette
• Consumption-investment problem with transaction costs for Lévy-driven price processes
  by Dimitri Vallière & Yuri Kabanov & Emmanuel Lépinette