Emmanuel Lépinette

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This paper proves the Fundamental Theorem of Asset Pricing with transaction costs, when bid and ask prices follow locally bounded càdlàg (right-continuous, left-limited) processes. The Robust No Free Lunch with Vanishing Risk (RNFLVR) condition for simple strategies is equivalent to the existence of a strictly consistent price system (SCPS). This result(More)
In 1985 Leland suggested an approach to price contingent claims under proportional transaction costs. Its main idea is to use the classical Black–Scholes formula with a suitably adjusted volatility for a periodical revision of the portfolio whose terminal value approximates the pay-off. Unfortunately, if the transaction costs rate does not depend on the(More)
We propose a continuous time model for financial markets with proportional transactions costs and a continuum of risky assets. This is motivated by bond markets in which the continuum of assets corresponds to the continuum of possible maturities. Our framework is well adapted to the study of no-arbitrage properties and related hedging problems. In(More)
The post-crisis financial reforms address the need for systemic regulation, focused not only on individual banks but also on the whole financial system. The regulator’s principal objective is to set banks’ capital requirements equal to international minimum standards to minimize systemic risk. Indeed, the Basel agreement is designed to guide a judgment(More)
This paper is dedicated to the replication of a convex contingent claim h(S1) in a financial market with frictions, due to deterministic order books or regulatory constraints. The corresponding transaction costs rewrite as a non linear function G of the volume of traded assets, with G′(0) > 0. For a stock with Black-Scholes mid-price dynamics, we exhibit an(More)
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