Publications

Research papers.

•  [52] Numerical schemes for the super-hedging prices in general models with transaction costs (with Duc Thinh Vu). Frontiers of Mathematical Finance, 7, 1-29, 2025. 

• [51] Super-hedging-pricing formulas and Immediate-Profit arbitrage for market models under random horizon (with Tahir Choulli). Accepted in Finance and Stochastics, 2025.

• [50] Pricing without martingale measures (with J. Baptiste and L. Carassus). ESAIM: Proceedings and Surveys, Journées MAS 2022, Dynamic and Stochastic Modelling, 80, 99-107, 2025.

• [49] Conditional indicators (with Dorsaf Cherif). To appear in Quaestiones Mathematicae, 2024. 

• [48] Super-hedging an arbitrary number of European options with integer-valued strategies (with D. Cherif and M. El Mansour). Journal of Optimization Theory and Applications,  10957, 201, 3, 2024.

• [47] No-arbitrage conditions and pricing from discrete-time to continuous-time strategies (with Dorsaf Cherif). Annals of Finance, 19, 141-168, 2023.

• [46] Stochastic Riesz spaces with applications in theoritical finance (with Dorsaf Cherif). To appear in  "Cosaef Proceedings", 2022.

• [45] Dynamic programming principle and computable prices in financial market models with transaction costs (with Duc Thinh Vu). Journal of Mathematical Analysis and Application, 524, 2, 2023

• [44] E. Lépinette. Mathématiques financières : évaluation de produits dérivés. Techniques de l'ingénieur Mathématiques, Editions T.I., af1530, 2022.

• [43] Robust discrete-time super-hedging strategies under AIP condition and under price uncertainty (with EL Mansour Meriem). MSIA, MathematicS In Action,11, 193-212, 2022.

• [42] Consistent Risk Measure on L 0 : NA Condition, Pricing and Dual Representation.(with Duc Thinh Vu). IJTAF,  24, 2150037, 2022.

• [41] Risk-hedging a European option with a coherent risk-measure and without no-arbitrage condition (with Zhao J.). Stochastics, 95(1), 118-155,  2022. 

• [40] Pricing without no-arbitrage condition in discrete-time (with L. Carassus).  Journal of Mathematical Analysis and Applications, 505, 1, 2022. 

• [39] Conditional interior and conditional closure of a random sets (with El Mansour M.). Journal of Optimization Theory and Applications, 187, 356-369, 2020.

• [38] Risk arbitrage and hedging to  acceptability (with  Molchanov I.).  Finance and Stochastics, 25,101-132, 2021.  https://arxiv.org/abs/1605.07884

• [37] Consumption-investment optimization problem in a Lévy financial model with transaction costs with ladlag strategies (with  Tran T.).  Mathematics and Financial Economics, 14, 399-431, 2020.

• [36] A complement to the Grigoriev theorem for the Kabanov model (with J. Zhao). SIAM Theory of Probability and its Applications, 65, 2, 322-329, 2020. https://hal.archives-ouvertes.fr/hal-01666860v6/document

• [35] Random optimization on random sets.  Mathematical Methods of Operations Research, 91, 159–173(2020).

• [34] Pricing under dynamic risk measures (with Zhao J. and Zhao P.).Open Math., 17, 894-905, 2019. 

• [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, 30-41, 2019. 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 

• [30] Approximation of non-Lipschitz SDEs by Picard iterations (with  Baptiste J and Grépat J.). Applied Mathematical Finance, 25(2018), 2,148-179.https://hal.archives-ouvertes.fr/hal-01397399v2

• [29] A fractional version of the Heston model with Hurst parameter H ∈ (1/2, 1) (with  Mehrdousht F.). Dynamic Systems and Application (DSA), 26 (2017) 535-548. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2884010

• [28] Arbitrage theory for non convex financial market models (with Tuan T.).  Stochastic Processes and Applications, 127 (2017), 10, 3331-3353. https://hal.archives-ouvertes.fr/hal-01205876/document

• [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.

• [24] General financial market model defined by a liquidation value process (with  Tuan T.). Stochastics,  88 (2016), 3, 437-459.https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2443746

• [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] 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, 6 (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:

• Beyond the Leland strategies (with Amal Omrani). Submitted. Hal-04974143v1.

Others:

• An alternative model to Basel regulation (with  Aboura S.).

• Ce qui ne convainc pas dans la régulation bancaire (with  Aboura S.). Article de presse, AGEPI: http://www.agefi.fr/articles/ce-qui-ne-convainc-pas-dans-la-regulation-bancaire-1298074.html

• Les banques vérifient-elles le théorème de Modigliani-Miller ? (with  Aboura S.). Article de presse,  Option Finance. http://www.optionfinance.fr/blogs-analyses/lanalyse-de-sofiane-aboura-et-emmanuel-lepinette/les-banques-verifient-elles-le-theoreme-de-modigliani-miller.html

• Thèse de Doctorat  (2006-2008) (Ph.D: Modèles de marchés financiers avec coûts de transactions).

• Habilitation à diriger des recherches (HDR), 2012. 

                                             Lectures notes:

• A short introduction to arbitrage theory and pricing in mathematical finance for discrete-time markets with or without friction. Lectures notes. https://hal.archives-ouvertes.fr/cel-02125685