Articles

Lépinette E., Vu D. (2023), Dynamic programming principle and computable prices in financial market models with transaction costs., Journal of Mathematical Analysis and Applications, vol. 54, n°2

Cherif D., Lépinette E. (2023), No-arbitrage conditions and pricing from discrete-time to continuous-time strategies, Annals of Finance, vol. 19, n°2, p. 141-168

Carassus L., Lépinette E. (2022), Pricing without no-arbitrage condition in discrete time, Journal of Mathematical Analysis and Applications, vol. 505, n°1

El Mansour M., Lépinette E. (2022), Robust discrete-time super-hedging strategies under AIP condition and under price uncertainty, MathematicS In Action, vol. 11, n°1, p. 193-212

Lépinette E., Zhao J. (2022), Super-hedging a European option with a coherent risk-measure and without no-arbitrage condition, Stochastics: An International Journal of Probability and Stochastic Processes , p. 36

Lépinette E. (2022), Mathématiques financières : évaluation de produits dérivés, techniques de l'ingénieur

Lepinette E., Molchanov I. (2021), Risk arbitrage and hedging to acceptability under transaction costs, Finance and Stochastics, vol. 25, p. 101–132

Lépinette E., Vu D. (2021), Coherent Risk Measure on L 0 : NA Condition, Pricing and Dual Representation, International Journal of Theoretical and Applied Finance, vol. 24, n°6-7

Lépinette E., Zhao J. (2020), A complement to the Grigoriev theorem for the Kabanov model, Theory of Probability and Its Applications, vol. 65, n°2, p. 322–329

Lépinette E. (2020), Random optimization on random sets, 2199-1413, vol. 91, p. 159-173

El Mansour M., Lépinette E. (2020), Conditional interior and conditional closure of a random set, Journal of Optimization Theory and Applications, vol. 187, p. 356–369

Lépinette E. (2019), A short introduction to arbitrage theory and pricing in mathematical finance for discrete-time markets with or without friction, The Graduate Journal of Mathematics, vol. 4, n°1, p. 30-41

Lépinette E., Molchanov I. (2019), Conditional Cores and Conditional Convex Hulls of Random Sets, Journal of Mathematical Analysis and Applications, vol. 478, n°2, p. 368-392

Zhao J., Lépinette E., Zhao P. (2019), Pricing under dynamic risk measures, Open Mathematics, vol. 17, n°1

Baptiste J., Lepinette E. (2018), Diffusion equations: convergence of the functional scheme derived from the Binomial tree with local volatility for non smooth payoff functions, Applied Mathematical Finance, vol. Special Issue, n°ICCF 2017

Baptiste J., Grepat J., Lepinette E. (2018), Approximation of non-Lipschitz SDEs by Picard iterations, Applied Mathematical Finance, vol. 25, n°2, p. 148-179

Aboura S., Lépinette-Denis E. (2017), New Developments on the Modigliani-Miller Theorem, Theory of Probability and Its Applications, vol. 61, n°1, p. 3-14

Lepinette E., Mehrdoust F. (2017), A fractional version of the Heston model with Hurst parameter H ∈ (1/2, 1), Dynamic Systems and Applications, vol. 26, n°3&4, p. 535-548

Lepinette E., Tran Quoc T. (2017), Arbitrage theory for non convex financial market models, Stochastic Processes and their Applications, vol. 127, n°10, p. 3331-3353

Lepinette E., Tran Quoc T. (2016), General financial market model defined by a liquidation value process, Stochastics: An International Journal of Probability and Stochastic Processes , vol. 88, n°3, p. 437-459

Kabanov Y., Lepinette E., De Vallière D. (2016), Consumption-investment optimization problem in a Lévy financial model with transaction costs, Finance and Stochastics, vol. 20, n°3, p. 705-740

Elie R., Lepinette E. (2015), Approximate hedging for nonlinear transaction costs on the volume of traded assets, Finance and Stochastics, vol. 19, n°3, p. 541-581

Aboura S., Lépinette-Denis E. (2015), Do Banks Satisfy the Modigliani-Miller Theorem?, Economics Bulletin, vol. 35, n°2, p. 924-935

Klein I., Lépinette-Denis E., Ostafe L. (2014), Asymptotic Arbitrage with Small Transaction Costs, Finance and Stochastics, vol. 18, n°4, p. 917-939

Aboura S., Lepinette-Denis E. (2014), A Model of Self-Regulation in Banking Industry, Journal of Quantitative Economics, vol. 12, n°2, p. 32-43

Lépinette-Denis E., Quoc T. (2014), APPROXIMATE HEDGING IN A LOCAL VOLATILITY MODEL WITH PROPORTIONAL TRANSACTION COSTS, Applied Mathematical Finance, vol. 21, n°4, p. 313-341

Ben Tahar I., Lépinette-Denis E. (2014), Vector-valued coherent risk measure processes, International Journal of Theoretical and Applied Finance, vol. 17, n°2, p. n°1450011

Bouchard B., Lépinette-Denis E., Taflin E. (2014), Robust no-free lunch with vanishing risk, a continuum of assets and proportional transaction costs, Stochastic Processes and their Applications, vol. 124, n°10, p. 3231–3259

Kabanov Y., Lepinette E. (2013), Essential supremum and essential maximum with respect to random preference relations, Journal of Mathematical Economics, vol. 49, n°6, p. 488-495

Ostafe L., Lépinette-Denis E. (2012), Asymptotic Arbitrage in Large Financial Markets With Friction, Mathematics and Financial Economics, vol. 6, n°4, p. 313-335

Lépinette-Denis E. (2012), Modified Leland's Strategy for a Constant Transaction Costs Rate, Mathematical Finance, vol. 22, n°4, p. 741-752

Lépinette-Denis E., Guasoni P., Rásonyi M. (2012), The fundamental theorem of asset pricing under transaction costs, Finance and Stochastics, vol. 16, n°4, p. 741-777

Kabanov Y., Lépinette-Denis E. (2012), Consistent Price Systems and Arbitrage Opportunities of the Second Kind in Models with Transaction Costs, Finance and Stochastics, vol. 16, n°1, p. 135-154

Darses S., Lépinette-Denis E. (2012), Parabolic schemes for quasi-linear parabolic and hyperbolic PDEs via stochastic calculus, Stochastic Analysis and Applications, vol. 30, n°1, p. 67-99

Lépinette-Denis E. (2010), Approximate Hedging of Contingent Claims Under Transaction Costs for General Pay-Offs, Applied Mathematical Finance, vol. 17, n°6, p. 491-518

Lépinette-Denis E., Kabanov Y. (2010), Mean square error for the Leland-Lott hedging strategy: convex pay-offs, Finance and Stochastics, vol. 14, n°4, p. 625-667

Ouvrages

Lépinette E. (2023), Quantitative Finance For The Beginners: Stochastic Models and European and Asian Options Pricing. Independently published, 73 p.

Chapitres d'ouvrage

Aboura S., Lépinette E. (2015), Les effets controversés de la régulation des banques d'investissement et de marchés., in Dauphine Recherches en Management, L'état des entreprises 2015 L'état des entreprises 2015, p. 51-63

Kabanov Y., Lépinette-Denis E. (2015), On Supremal and Maximal Sets with Respect to Random Partial Orders, in Andreas H. Hamel, Frank Heyde, Andreas Löhne, Birgit Rudloff, Carola Schrage, Set Optimization and Applications - The State of the Art. From Set Relations to Set-Valued Risk Measures, Paris: Springer, p. 275-291

Lépinette-Denis E., Darses S. (2014), Mean Square Error and Limit Theorem for the Modi fied Leland Hedging Strategy with a Constant Transaction Costs Coefficient, in Zariphopoulou, Thaleia, Inspired by Finance. The Musiela Festschrift, Berlin: Springer, p. 159-199

Lépinette-Denis E., Darses S. (2011), Limit Theorem for a Modified Leland Hedging Strategy under Constant Transaction Costs rate, in , The Musiela Festschrift, Berlin: Springer, p. 38

Communications avec actes

Lépinette-Denis E. (2011), Robust No Arbitrage Condition for Continuous-Time Models with Transaction Costs, in Kijima‎, Masaaki, Recent Advances In Financial Engineering 2010, Tokyo, World Scientific, 69-82 p.

Lépinette-Denis E. (2009), Leland's Approximations for Concave Pay-Off Functions, in Kijima, ‎Masaaki, Recent advances in financial engineering‎, proceedings of the 2008 Daiwa International Workshop on Financial Engineering, Tokyo, World Scientific, 230 p.

Lépinette-Denis E. (2009), Arbitrage Pricing Under Transaction Costs: Continuous Time, in Kijima‎, Masaaki, Recent advances in financial engineering‎, proceedings of the 2008 Daiwa International Workshop on Financial Engineering, Tokyo, World Scientific, 91-106 p.

Prépublications / Cahiers de recherche

Choulli T., Lépinette E. (2024), Super-hedging-pricing formulas and Immediate-Profit arbitrage for market models under random horizon, Paris, Cahier de recherche CEREMADE, Université Paris Dauphine-PSL, 39 p.

Cherif D., Lépinette E. (2023), Conditional indicators, Paris, Cahier de recherche CEREMADE, Université Paris Dauphine-PSL, 25 p.

Cherif D., Lépinette E. (2022), Stochastic Riesz spaces with applications in theoretical finance, Paris, Cahier de recherche CEREMADE, Université Paris Dauphine-PSL, 22 p.

Lépinette E., Vu D. (2022), Limit theorems for the super-hedging prices in general models with transaction costs, Paris, Cahier de recherche CEREMADE, Université Paris Dauphine-PSL, 40 p.

Cherif D., El Mansour M., Lépinette E. (2022), Super-hedging an arbitrary number of European options with integer-valued strategies, Paris, Cahier de recherche CEREMADE, Université Paris Dauphine-PSL, 12 p.

Cherif D., Lépinette E. (2021), No-arbitrage conditions and pricing from discrete-time to continuous-time strategies., Cahier de recherche CEREMADE, Université Paris Dauphine-PSL, 34 p.

Zhao J., Lépinette E., Zhao P. (2019), A new approach of coherent risk-measure pricing, Paris, Cahier de recherche CEREMADE, Université Paris Dauphine-PSL, 49 p.

Jun Z., Lepinette E. (2018), The Dalang–Morton–Willinger version of the fundamental theorem of asset pricing for the Bid-Ask financial market model, Paris, Cahier de recherche CEREMADE, Université Paris Dauphine-PSL, 24 p.

Lépinette E. (2018), Random set conditioning : conditional interior and conditional closure, Paris, Cahier de recherche CEREMADE, Université Paris Dauphine-PSL, 8 p.

Baptiste J., Carassus L., Lépinette E. (2018), Pricing without martingale measure, Paris, Cahier de recherche CEREMADE, Université Paris Dauphine-PSL, 31 p.

Aboura S., Lepinette E. (2018), Evaluation of the Fair Credit Risk Premium in Commercial Lending, Paris, Cahier de recherche CEREMADE, Université Paris Dauphine-PSL, 20 p.

Baptiste J., Lepinette E. (2017), Time discretization of diffusion equations: a functional scheme., Paris, Cahier de recherche CEREMADE, Université Paris Dauphine-PSL, 12 p.

Aboura S., Lépinette-Denis E. (2014), Why the Market's Participants in the Modigliani-Miller Model are Markowitz Rational?

Lépinette-Denis E., Quoc T., Kabanov Y. (2013), Consumption-Investment Optimization Problem in a Lévy Financial Model with Transaction Costs, Paris, Université Paris-Dauphine, 44 p.

Lépinette-Denis E., Aboura S. (2013), The Impact of Speculation on Firms' Capital Structure, Paris, Université Paris-Dauphine, 13 p.

Lépinette-Denis E. (2011), Essential Supremum in a d-dimensional Real Space with Respect to a Random Cone and Applications, Paris, Université Paris-Dauphine, 23 p.

Rapports

Lépinette-Denis E., Aboura S. (2013), An Alternative Model to Basel Regulation, 22 p.