Grégoire Loeper

Publication Activity (10 Years)

Years Active: 2006-2022
Publications (10 Years): 5

Top Topics

Payoff Functions

Top Venues

SIAM J. Control. Optim.

Finance Stochastics

J. Optim. Theory Appl.

SIAM J. Financial Math.

Publications

Ivan Guo, Grégoire Loeper, Jan Oblój, Shiyi Wang
Joint Modeling and Calibration of SPX and VIX by Optimal Transport. SIAM J. Financial Math. 13 (1) (2022)
Bruno Bouchard, Grégoire Loeper, Halil Mete Soner, Chao Zhou
Second-Order Stochastic Target Problems with Generalized Market Impact. SIAM J. Control. Optim. 57 (6) (2019)
Ivan Guo, Grégoire Loeper
Pricing Bounds for Volatility Derivatives via Duality and Least Squares Monte Carlo. J. Optim. Theory Appl. 179 (2) (2018)
Bruno Bouchard, Grégoire Loeper, Yiyi Zou
Hedging of Covered Options with Linear Market Impact and Gamma Constraint. SIAM J. Control. Optim. 55 (5) (2017)
Bruno Bouchard, Grégoire Loeper, Yiyi Zou
Almost-sure hedging with permanent price impact. Finance Stochastics 20 (3) (2016)
Grégoire Loeper
A Fully Nonlinear Version of the Incompressible Euler Equations: The Semigeostrophic System. SIAM J. Math. Anal. 38 (3) (2006)