Modified Leland's strategy for a constant transaction costs rate

von Lepinette, Emmanuel
Veröffentlicht in Mathematical finance (2012)

Approximate hedging for nonlinear transaction costs on the volume of traded assets

von Elie, Romuald
Veröffentlicht in Finance and stochastics (2015)

A model of self-regulation in banking industry

von Aboura, Sofiane
Veröffentlicht in Journal of quantitative economics (2014)

Asymptotic arbitrage in large financial markets with friction

von Lepinette, Emmanuel
Veröffentlicht in Mathematics and financial economics (2012)

Approximate hedging in a local volatility model with proportional transaction costs

von Lépinette, Emmanuel
Veröffentlicht in Applied mathematical finance (2014)

Diffusion equations : convergence of the functional scheme derived from the binomial tree with local volatility for non smooth payoff functions

von Baptiste, Julien
Veröffentlicht in Applied mathematical finance (2018)

Coherent risk measure on L0 : NA condition, pricing and dual representation

von Lepinette, Emmanuel
Veröffentlicht in International journal of theoretical and applied finance (2021)

Vector-valued coherent risk measure processes

von Tahar, Imen Ben
Veröffentlicht in International journal of theoretical and applied finance (2014)

Essential supremum with respect to a random partial order

von Kabanov, Jurij M.
Veröffentlicht in Journal of mathematical economics (2013)

Essential supremum and essential maximum with respect to random preference relations

von Kabanov, Jurij M.
Veröffentlicht in Journal of mathematical economics (2013)

The fundamental theorem of asset pricing under transaction costs

von Guasoni, Paolo
Veröffentlicht in Finance and stochastics (2012)

Approximation of non-Lipschitz SDEs by Picard iterations

von Baptiste, Julien
Veröffentlicht in Applied mathematical finance (-2018)

Asymptotic arbitrage with small transaction costs

von Klein, Irene
Veröffentlicht in Finance and stochastics (2014)

Consumption-investment problem with transaction costs for Lévy-driven price processes

von Vallière, Dimitri De
Veröffentlicht in Finance and stochastics (2016)