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Loeper, Grégoire
94
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Online (94)
Mediatypes
Articles (Online) (26)
Bookchapter (Online) (2)
OpenAccess-fulltext (66)
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?
1
Differential learning methods for solving fully nonlinear P..:
Lefebvre, William
;
Loeper, Grégoire
;
Pham, Huyên
Digital Finance. 5 (2023) 1 - p. 183-229 , 2023
Link:
https://doi.org/10.1007/..
?
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
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/..
?
5
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/..
?
6
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/..
?
7
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/..
?
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
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/..
?
10
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/..
?
11
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/..
?
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/..
1-15