Gregoire Loeper
Monash University
H-index: 21
Oceania-Australia
Top articles of Gregoire Loeper
Title | Journal | Author(s) | Publication Date |
|---|---|---|---|
Joint Calibration of Local Volatility Models with Stochastic Interest Rates using Semimartingale Optimal Transport | arXiv preprint arXiv:2308.14473 | Benjamin Joseph Gregoire Loeper Jan Obloj | 2023/8/28 |
The Cost of Vega-Hedging Structured Products | Ahmed and Loeper, Gregoire, The Cost of Vega-Hedging Structured Products (August 24, 2023) | Ahmed Bel Hadj Ayed Gregoire Loeper | 2023/8/24 |
Calibration of Local Volatility Models with Stochastic Interest Rates using Optimal Transport | arXiv preprint arXiv:2305.00200 | Gregoire Loeper Jan Obloj Benjamin Joseph | 2023/4/29 |
Interior second derivatives estimates for nonlinear diffusions. | Discrete & Continuous Dynamical Systems: Series A | Grégoire Loeper Fernando Quirós | 2023/3/1 |
Approximate viscosity solutions of path-dependent PDEs and Dupire’s vertical differentiability | The Annals of Applied Probability | Bruno Bouchard Grégoire Loeper Xiaolu Tan | 2023/12 |
Differential learning methods for solving fully nonlinear PDEs | Digital Finance | William Lefebvre Grégoire Loeper Huyên Pham | 2023/3 |
The Measure Preserving Martingale Sinkhorn Algorithm | arXiv e-prints | Benjamin Joseph Gregoire Loeper Jan Obloj | 2023/10 |
Filtering time-dependent covariance matrices using time-independent eigenvalues | Journal of Statistical Mechanics: Theory and Experiment | Christian Bongiorno Damien Challet Grégoire Loeper | 2023/2/23 |
Portfolio optimization with a prescribed terminal wealth distribution | Quantitative Finance | Ivan Guo Nicolas Langrené Grégoire Loeper Wei Ning | 2022/2/1 |
Joint modeling and calibration of spx and vix by optimal transport | SIAM Journal on Financial Mathematics | Ivan Guo Grégoire Loeper Jan Obłój Shiyi Wang | 2022 |
Robust utility maximization under model uncertainty via a penalization approach | Mathematics and Financial Economics | Ivan Guo Nicolas Langrené Grégoire Loeper Wei Ning | 2022/1 |
Calibration of local‐stochastic volatility models by optimal transport | Mathematical Finance | Ivan Guo Grégoire Loeper Shiyi Wang | 2022/1 |
Path dependent optimal transport and model calibration on exotic derivatives | The Annals of Applied Probability | Ivan Guo Grégoire Loeper | 2021/6 |
A -functional It\^o's formula and its applications in mathematical finance | arXiv preprint arXiv:2101.03759 | Bruno Bouchard Grégoire Loeper Xiaolu Tan | 2021/1/11 |
Cleaning the covariance matrix of strongly nonstationary systems with time-independent eigenvalues | arXiv preprint arXiv:2111.13109 | Christian Bongiorno Damien Challet Grégoire Loeper | 2021/11/25 |
Optimal foreign exchange hedge tenor with liquidity risk | Journal of Risk | Rongju Zhang Mark Aarons Gregoire Loeper | 2021/5/29 |
On the convexity theory of generating functions | arXiv preprint arXiv:2109.04585 | Gregoire Loeper Neil S Trudinger | 2021/9/9 |
Modelling tail risk with tempered stable distributions: an overview | Hasan Fallahgoul Gregoire Loeper | 2021/4 | |
Optimal transport for model calibration | arXiv preprint arXiv:2107.01978 | Ivan Guo Gregoire Loeper Jan Obloj Shiyi Wang | 2021/7/5 |
On Stochastic Partial Differential Equations and their applications to Derivative Pricing through a conditional Feynman-Kac formula | arXiv preprint arXiv:2106.14870 | Kaustav Das Ivan Guo Grégoire Loeper | 2021/6/28 |
Co-Authors
