E-LIB Suche - Ergebnisse für: Loeper, Grégoire

1

Differential learning methods for solving fully nonlinear P..:

Lefebvre, William ; Loeper, Grégoire ; Pham, Huyên
Digital Finance. 5 (2023) 1 - p. 183-229 , 2023

2

Aℂ0,1-functional Itô's formula and its applications in math..:

Bouchard, Bruno ; Loeper, Grégoire ; Tan, Xiaolu
Stochastic Processes and their Applications. 148 (2022) - p. 299-323 , 2022

Link: https://doi.org/10.1016/..

3

Joint Modeling and Calibration of SPX and VIX by Optimal Tr..:

Guo, Ivan ; Loeper, Grégoire ; Obłój, Jan.
SIAM Journal on Financial Mathematics. 13 (2022) 1 - p. 1-31 , 2022

Link: https://doi.org/10.1137/..

4

Portfolio optimization with a prescribed terminal wealth di..:

Guo, Ivan ; Langrené, Nicolas ; Loeper, Grégoire.
Quantitative Finance. 22 (2021) 2 - p. 333-347 , 2021

Link: https://doi.org/10.1080/..

5

Markovian Approximation of the Rough Bergomi Model for Mont..:

Zhu, Qinwen ; Loeper, Grégoire ; Chen, Wen.
Mathematics. 9 (2021) 5 - p. 528 , 2021

Link: https://doi.org/10.3390/..

6

Robust utility maximization under model uncertainty via a p..:

Guo, Ivan ; Langrené, Nicolas ; Loeper, Grégoire.
Mathematics and Financial Economics. 16 (2021) 1 - p. 51-88 , 2021

Link: https://doi.org/10.1007/..

7

Calibration of local‐stochastic volatility models by optima..:

Guo, Ivan ; Loeper, Grégoire ; Wang, Shiyi
Mathematical Finance. 32 (2021) 1 - p. 46-77 , 2021

Link: https://doi.org/10.1111/..

8

Mean-Variance Portfolio Selection with Tracking Error Penal..:

Lefebvre, William ; Loeper, Grégoire ; Pham, Huyên
Mathematics. 8 (2020) 11 - p. 1915 , 2020

Link: https://doi.org/10.3390/..

9

Second-Order Stochastic Target Problems with Generalized Ma..:

Bouchard, Bruno ; Loeper, Grégoire ; Soner, Halil Mete.
SIAM Journal on Control and Optimization. 57 (2019) 6 - p. 4125-4149 , 2019

Link: https://doi.org/10.1137/..

10

Modelling tail risk with tempered stable distributions: an ..:

Fallahgoul, Hasan ; Loeper, Gregoire
Annals of Operations Research. 299 (2019) 1-2 - p. 1253-1280 , 2019

Link: https://doi.org/10.1007/..

11

Local Volatility Calibration by Optimal Transport:

, In: 2017 MATRIX Annals; MATRIX Book Series,

Guo, Ivan ; Loeper, Grégoire ; Wang, Shiyi - p. 51-64 , 2019

Link: https://doi.org/10.1007/..

12

Optimal Transport with Discrete Mean Field Interaction:

, In: 2017 MATRIX Annals; MATRIX Book Series,

Liu, Jiakun ; Loeper, Grégoire - p. 207-212 , 2019

Link: https://doi.org/10.1007/..

13

OPTION PRICING WITH LINEAR MARKET IMPACT AND NONLINEAR BLAC..:

Loeper, Gregoire
The Annals of Applied Probability. 28 (2018) 5 - p. 2664-2726 , 2018

Link: https://www.jstor.org/st..

14

Challenging the robustness of optimal portfolio investment ..:

Bel Hadj Ayed, Ahmed ; Loeper, Grégoire ; Abergel, Frédéric
Quantitative Finance. 19 (2018) 1 - p. 123-135 , 2018

Link: https://doi.org/10.1080/..

15

Pricing Bounds for Volatility Derivatives via Duality and L..:

Guo, Ivan ; Loeper, Gregoire
Journal of Optimization Theory and Applications. 179 (2017) 2 - p. 598-617 , 2017

Link: https://doi.org/10.1007/..