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Grégoire Loeper
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2020 – today
- 2022
- [j7]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): 1-31 (2022) - 2021
- [j6]Hasan Fallahgoul, Grégoire Loeper:
Modelling tail risk with tempered stable distributions: an overview. Ann. Oper. Res. 299(1): 1253-1280 (2021)
2010 – 2019
- 2019
- [j5]Bruno Bouchard, Grégoire Loeper
, Halil Mete Soner
, Chao Zhou:
Second-Order Stochastic Target Problems with Generalized Market Impact. SIAM J. Control. Optim. 57(6): 4125-4149 (2019) - 2018
- [j4]Ivan Guo
, Grégoire Loeper:
Pricing Bounds for Volatility Derivatives via Duality and Least Squares Monte Carlo. J. Optim. Theory Appl. 179(2): 598-617 (2018) - 2017
- [j3]Bruno Bouchard, Grégoire Loeper, Yiyi Zou:
Hedging of Covered Options with Linear Market Impact and Gamma Constraint. SIAM J. Control. Optim. 55(5): 3319-3348 (2017) - 2016
- [j2]Bruno Bouchard, Grégoire Loeper, Yiyi Zou:
Almost-sure hedging with permanent price impact. Finance Stochastics 20(3): 741-771 (2016)
2000 – 2009
- 2006
- [j1]Grégoire Loeper
:
A Fully Nonlinear Version of the Incompressible Euler Equations: The Semigeostrophic System. SIAM J. Math. Anal. 38(3): 795-823 (2006)
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