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pro vyhledávání: '"LEPINETTE, EMMANUEL"'
Autor:
Cherif, Dorsaf, Lepinette, Emmanuel
In this paper, we introduce a large class of (so-called) conditional indicators, on a complete probability space with respect to a sub $\sigma$-algebra. A conditional indicator is a positive mapping, which is not necessary linear, but may share commo
Externí odkaz:
http://arxiv.org/abs/2405.10677
Autor:
Lepinette, Emmanuel, Vu, Duc Thinh
Publikováno v:
IJTAF (2021)
The NA condition is one of the pillars supporting the classical theory of financial mathematics. We revisit this condition for financial market models where a dynamic risk-measure defined on $L^0$ is fixed to characterize the family of acceptable wea
Externí odkaz:
http://arxiv.org/abs/2405.06764
Autor:
Cherif, Dorsaf, Lepinette, Emmanuel
Publikováno v:
Annals of Finance (2023)
In this paper, a general framework is developed for continuous-time financial market models defined from simple strategies through conditional topologies that avoid stochastic calculus and do not necessitate semimartingale models. We then compare the
Externí odkaz:
http://arxiv.org/abs/2405.07713
Autor:
Lepinette, Emmanuel, Vu, Duc Thinh
Publikováno v:
Journal of Mathematical Analysis and Applications (2023)
How to compute (super) hedging costs in rather general fi- nancial market models with transaction costs in discrete-time ? Despite the huge literature on this topic, most of results are characterizations of the super-hedging prices while it remains d
Externí odkaz:
http://arxiv.org/abs/2405.06623
Super-hedging-pricing formulas and Immediate-Profit arbitrage for market models under random horizon
Autor:
Choulli, Tahir, Lepinette, Emmanuel
In this paper, we consider the discrete-time setting, and the market model described by (S,F,T)$. Herein F is the ``public" flow of information which is available to all agents overtime, S is the discounted price process of d-tradable assets, and T i
Externí odkaz:
http://arxiv.org/abs/2401.05713
A short note on super-hedging an arbitrary number of European options with integer-valued strategies
The usual theory of asset pricing in finance assumes that the financial strategies, i.e. the quantity of risky assets to invest, are real-valued so that they are not integer-valued in general, see the Black and Scholes model for instance. This is cle
Externí odkaz:
http://arxiv.org/abs/2311.08871
We solve the problem of super-hedging European or Asian options for discrete-time financial market models where executable prices are uncertain. The risky asset prices are not described by single-valued processes but measurable selections of random s
Externí odkaz:
http://arxiv.org/abs/2311.08847
In a discrete time setting, we study the central problem of giving a fair price to some financial product. For several decades, the no-arbitrage conditions and the martingale measures have played a major role for solving this problem. We propose a ne
Externí odkaz:
http://arxiv.org/abs/2104.02688
Autor:
Lépinette, Emmanuel, Vu, Duc Thinh
Publikováno v:
In Journal of Mathematical Analysis and Applications 15 August 2023 524(2)
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