Emmanuel Lépinette


                                      Research interests:  

Financial market models with transactions costs; pricing, arbitrage theory, financial market modelling.
Stochastic   calculus, random preference relations, random sets. Risk measures.  

https://hal.archives-ouvertes.fr/hal-01779181v2

  • Chercheur en mathématiques appliquées à la finance et à l'économie au CEREMADE, Centre de Recherche en Mathématiques de la Décision, UMR 7534  du CNRS, Paris, PSL NATIONAL RESEARCH.
  • Membre du groupe de recherche GOSAEF, Tunis. 
  • Enseignant à l'université Paris Dauphine, Paris. Bureau B518ter Tel: +33 (0) 1 44 05 49 39 e-mail: emmanuel.lepinetteATceremade.dauphine.fr




Research papers.

  • [40] Conditional interior and conditional closure of a random sets (with El Mansour M.). Accepted in JOTA.
  • [37] Consumption-investment optimization problem in a Lévy financial model with transaction costs with ladlag strategies (with  Tran T.).  Mathematics and Financial Economics (2020), 1-33, .  https://doi.org/10.1007/s11579-020-00260-3
  • [35] Random optimization on random sets. 2019. Mathematical Methods of Operations Research. DOI: 10.1007/s00186-019-00686-6
  • [34] Pricing under dynamic risk measures (with Zhao J. and Zhao P.). Open Math.,  17 (2019), 894-905. 
  • [33] A short introduction to arbitrage theory and pricing in mathematical finance for discrete-time markets with or without friction. Graduate Journal of Mathematics,  4,  1 (2019), 30-41. https://hal.archives-ouvertes.fr/cel-02125685
  • [32] Conditional cores and conditional convex hulls of random sets (with  Molchanov I.).  Journal of Mathematical Analysis and Applications,  478 (2019), 2, 368-392. Free access: https://authors.elsevier.com/c/1ZJ~A,WNxcfKj
  • [31] Diffusion equations: convergence of the functional scheme derived from the binomial tree with local volatility for non smooth payoff functions. (with Baptiste J).  Applied Mathematical Finance, 25 (2018), 511-532.  https://hal.archives-ouvertes.fr/hal-01507267 
  • [27] New developments on the Modigliani-Miller theorem (with  Aboura S.)  SIAM Theory of Probability and its Applications, 61 (2016), 1, 114-128.
  • [26] Consumption-investment optimization problem in a Lévy financial model with transaction costs (with  De Vallière D.,  Kabanov Y.). Finance and Stochastics, 20  (2016),3, 705-740.https://hal.archives-ouvertes.fr/hal-01103070
  • [25] Robust no arbitrage of the second kind with a continuum of assets and proportional transaction costs.  SIAM Journal on Financial Mathematics, 7 (2016), 1, 104-123.
  • [23] Do banks satisfy the Modigliani-Miller theorem? (with  Aboura S.)  Economics Bulletin,  35 (2015), 2, 924-935.
  • [22] Approximate hedging for non linear transaction costs on the volume of traded assets (with  Elie R.)Finance and Stochastics, 19(2015), 3, 541-581.
  • [21] Les effets controversés de la régulation des banques d'investissement et de marchés (with  Aboura S.)L'état des entreprises 2015. Editions Repères n°648 (2015).
  • [20] On supremal and maximal sets with respect to random partial orders ( with  Kabanov Y.).  "Set Optimization - State of the Art and Applications in Finance."   Ed. A. Hamel, Springer, 151(2015), 275-291. 
  • [19] Limit theorem for a modified Leland hedging strategy under constant transaction costs rate (with Darses S.) . Inspired by Finance,  The Musiela Festschrift, Eds. Yu. Kabanov, M. Rutkowski, T. Zariphopoulou. Springer, 159-199 (2014), Springer. 
  • [18] Robust no-free lunch with vanishing risk, a continuum of assets and proportional transaction costs (with Bouchard B. and  Taflin E.)  Stochastic Processes and Applications, 124 (2014), 10, 3231-3259.
  • [17] A model of self-regulation in banking industry (with  Aboura S.). Journal of Quantitative Economics, Vol. 12 No.2 (p.31-43) July 2014.
  • [16] Large financial markets and asymptotic arbitrage with small transaction costs (with  Klein I. and  Ostafe L.). Finance and Stochastics,  18 (2014), 4, 917-939.
  • [15] Approximate hedging in a local volatility  model with proportional transaction costs  

    (with  Tran T.).

     

    Applied Mathematical Finance, 21  (2014), 4, 313-341. 
  • [14] Vector valued coherent risk measure processes (with Ben Tahar I.) IJTAF, 17, 02 (2014). 
  • [13] Essential supremum and essential maximum with respect to random preference relations (with Kabanov Y.) 

    Journal of Mathematical Economics, 49 (2013), 6, 488-495. 
  • [12] Essential supremum with respect to a random partial order 

    ( with Kabanov Y.) Journal of Mathematical Economics, 49 (2013), 6, 478-487.   
  • [11] Asymptotic arbitrage in large financial markets under transaction costs (with  Ostafe L.). 

    Mathematics and Financial Economics, 

    (2012), 4, 313-335.
  • [10] The fundamental theorem of asset pricing under transaction costs (with  Guasoni P. and  Rasonyi M.).  Finance and Stochastics. 16 (2012), 4, 741-777. 
  • [9] Parabolic schemes for quasi-linear parabolic and hyperbolic PDEs via stochastic calculus (with Darses S.).   Journal of Stochastic Analysis and Applications, 30 (2012),1, 67-99.
  • [8] Modified Leland's strategy for constant transaction costs rate. Mathematical Finance. 22 (2012), 4, 741-752. 
  • [7] Consistent price systems and arbitrage opportunities of the second kind in models with transaction costs (with Kabanov Y.). Finance and  Stochastics. 16, (2011), 1, 135-154.
  • [6] Mean square error for the Leland-Lott hedging strategy: convex pay-off (with Kabanov Y.). Finance and Stochastics. 14 (2010),4, 626-667.
  • [5] Robust no arbitrage condition for continuous-time models with transaction costs.  Rec. Adv. in Financial Engineering

      (2010), 69-82

  • [4] Approximate hedging of contingent claims under transaction costs .  Applied Mathematical Finance. 17 (2010), 491-518.
  • [3] Hedging of American options under transaction costs (with De Vallière D. and Kabanov Y.). Finance and Stochastics 13 (2009), 1, 105-119.
  • [2] Arbitrage pricing under transaction costs: continuous time. Recent Advances in Financial Engineering. (2009), 91-106.
  • [1] Leland's approximations for concave pay-off functions. Recent Advances in Financial Engineering. (2009), 107-117. 

Preprints:


  • Super-hedging a European option with a coherent risk-measure and without no-arbitrage condition (with Zhao J.) Submitted, Preprint.
  •  Valuation of the Fair Credit Risk Premium in Commercial Lending (with Aboura S.).
Others:
  • An alternative model to Basel regulation (with  Aboura S.). 
  • Thèse de Doctorat  (2006-2008) (Ph.D: Modèles de marchés financiers avec coûts de transactions).
  • Habilitation à diriger des recherches (2012). 

                                             Lectures notes: