Emmanuel Lepinette

Emmanuel Lepinette is a distinguished researcher in applied mathematics, focusing on finance and economics at CEREMADE (Centre de Recherche en Mathématiques de la Décision), a CNRS research unit (UMR 7534) based in Paris, within the PSL National Research University. His academic endeavors are primarily concentrated on financial market models with transaction costs, delving into areas such as pricing, arbitrage theory, stochastic calculus, and financial market modeling. Additionally, he explores random preference relations, random sets, and risk measures.

Lepinette is an active member of the RGOSA (ex GOSAEF) research group in Tunis, contributing to the international academic discourse on finance and economics. He holds a position as a teaching researcher at Université Paris Dauphine, part of Université PSL, where his office is located at Bureau B518ter. He can be contacted by phone at +33(0) 1 44 05 49 39 or via email at emmanuel.lepinette@ceremade.dauphine.fr.

Publications

  • [50] Conditional indicators (with Dorsaf Cherif). To appear in Quaestiones Mathematicae, 2024. 
  • [49] Super-hedging an arbitrary number of European options with integer-valued strategies (with D. Cherif and M. El Mansour). To appear in Journal of Optimization Theory and Applications, 2024.
  • [48] No-arbitrage conditions and pricing from discrete-time to continuous-time strategies (with Dorsaf Cherif). To appear in Annals of Finance, 2023.
  • [47] Stochastic Riesz spaces with applications in theoritical finance (with Dorsaf Cherif). To appear in  “Cosaef Proceedings”, 2022.
  • [46] 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
  • [45] E. Lépinette. Mathématiques financières : évaluation de produits dérivés. Techniques de l’ingénieur Mathématiques, Editions T.I., af1530, 2022.
  • [44] 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.
  • [43] Consistent Risk Measure on L 0 : NA Condition, Pricing and Dual Representation.(with Duc Thinh Vu). IJTAF,  24, 2150037, 2022.
  • [42] Super-hedging a European option with a coherent risk-measure and without no-arbitrage condition (with Zhao J.), Stochastics, 2022, DOI: 10.1080/17442508.2022.2055966.
  • [41] Pricing without no-arbitrage condition in discrete-time (with L. Carassus).  Journal of Mathematical Analysis and Applications, 505, 1, 2022. 
  • [40] Conditional interior and conditional closure of a random sets (with El Mansour M.). Journal of Optimization Theory and Applications, 187, 356-369, 2020.
  • [39] Pricing without martingale measures (with J. Baptiste and L. Carassus). To appear in “ESAIM Proceedings MAS 2022”.
  • [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:

  • Super-hedging-pricing formulas and Immediate-Profit arbitrage for market models under random horizon (with Tahir Choulli). Submitted.