E
Emmanuel Lépinette
Researcher at Paris Dauphine University
Publications - 73
Citations - 422
Emmanuel Lépinette is an academic researcher from Paris Dauphine University. The author has contributed to research in topics: Arbitrage & Fundamental theorem of asset pricing. The author has an hindex of 10, co-authored 68 publications receiving 375 citations. Previous affiliations of Emmanuel Lépinette include National Research University – Higher School of Economics & Boston University.
Papers
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The fundamental theorem of asset pricing under transaction costs
TL;DR: In this paper, the fundamental theorem of asset pricing with transaction costs was proved when bid and ask prices follow locally bounded cadlag (right-continuous, left-limited) processes.
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Vector-valued coherent risk measure processes
TL;DR: In this paper, a dynamic version of the vector-valued risk measures in a continuous-time framework is proposed, where the choice of a convenient risk space is a major consideration.
Posted Content
Hedging of American Options Under Transaction Costs
TL;DR: This work considers a continuous-time model of a financial market with proportional transaction costs, and shows that the hedging endowments are those whose “values” are larger than the expected weighted “ values” of the payoff process for every coherent price system used for the “evaluation’ of the assets.
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Conditional cores and conditional convex hulls of random sets
TL;DR: In this paper, the conditional core and the conditional convex hull are defined in the reverse set inclusion ordering in the Banach space, and the generalised conditional expectation of random closed sets is introduced.
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The Fundamental Theorem of Asset Pricing Under Transaction Costs
TL;DR: In this paper, the authors prove the fundamental theorem of asset pricing with transaction costs, when bid and ask prices follow locally bounded cadlag processes, which is equivalent to the existence of a strictly consistent price system (SCPS).