Gregoire Loeper

BNP Paribas

Senior Scientific Advisor

Paris

France

Monash University - School of Mathematical Sciences

Professor of Mathematics

Clayton Campus

Victoria, 3800

Australia

Monash University - Monash Centre for Quantitative Finance and Investment Strategies

Director

9 Rainforest Walk

Clayton Campus

Monash University, Victoria 3800

Australia

http://https://www.monash.edu/science/quantitative-finance

Ecole Polytechnique, Palaiseau - CMAP CNRS-UMR 7641 and Ecole Polytechnique

Route de Saclay

Palaiseau, 91128

France

SCHOLARLY PAPERS

20

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Top 23,934

in Total Papers Downloads

3,985

SSRN CITATIONS
Rank 28,924

SSRN RANKINGS

Top 28,924

in Total Papers Citations

25

CROSSREF CITATIONS

13

Scholarly Papers (20)

1.

The Volatility Risk Premium: An Empirical Study on the S&P 500 Index

Number of pages: 59 Posted: 24 Jan 2021
Ivan Guo and Gregoire Loeper
Monash University - School of Mathematical Sciences and BNP Paribas
Downloads 728 (65,471)
Citation 1

Abstract:

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systematic strategies, derivatives, risk premium

2.

Efficient Use of Options for Tail Risk Hedging

Number of pages: 66 Posted: 10 Sep 2020 Last Revised: 24 Mar 2021
Ivan Guo and Gregoire Loeper
Monash University - School of Mathematical Sciences and BNP Paribas
Downloads 531 (97,464)
Citation 1

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Systematic Investment Strategies, Derivatives, Call Overwriting

3.

Joint Modelling and Calibration of SPX and VIX by Optimal Transport

Number of pages: 32 Posted: 03 Sep 2021 Last Revised: 17 Jan 2022
Ivan Guo, Gregoire Loeper, Jan Obłój and Shiyi Wang
Monash University - School of Mathematical Sciences, BNP Paribas, University of Oxford - Mathematical Institute and Monash University - School of Mathematics
Downloads 387 (141,900)
Citation 1

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Optimal Transport, Volatility calibration, S&P 500, VIX, Joint Calibration

4.

Towards Explaining Deep Learning: Asymptotic Properties of ReLU FFN Sieve Estimators

Number of pages: 62 Posted: 27 Dec 2019 Last Revised: 06 Sep 2022
Johns Hopkins University, Monash UniversityMonash University, Monash University and BNP Paribas
Downloads 333 (166,989)
Citation 2

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Deep Learning, Neural Networks, Rectified Linear Unit, Sieve Estimators, Consistency, Rate of Convergence

5.

The Cost of Vega-Hedging Structured Products

Number of pages: 20 Posted: 27 Aug 2023
BNP ParibasEcole Centrale Paris - Laboratory of Mathematics Applied to Systems and BNP Paribas
Downloads 270 (209,378)

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liquidity costs, volatility hedging, local volatility, volatility surface, future hedging costs, structured products

6.

Forecasting Trends with Asset Prices

Number of pages: 26 Posted: 17 Apr 2015 Last Revised: 21 Apr 2015
BNP ParibasEcole Centrale Paris - Laboratory of Mathematics Applied to Systems, BNP Paribas and BNP Paribas Asset Management
Downloads 232 (241,266)
Citation 1

Abstract:

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calibration, trend, kalman filter, mis-scpecification

7.

Challenging the Robustness of Optimal Portfolio Investment With Moving Average-based Strategies

Number of pages: 30 Posted: 03 May 2016 Last Revised: 20 Apr 2018
BNP ParibasEcole Centrale Paris - Laboratory of Mathematics Applied to Systems, BNP Paribas and BNP Paribas Asset Management
Downloads 221 (252,687)

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8.

Optimal Transport for Model Calibration

Number of pages: 15 Posted: 08 Jul 2021
Ivan Guo, Gregoire Loeper, Jan Obłój and Shiyi Wang
Monash University - School of Mathematical Sciences, BNP Paribas, University of Oxford - Mathematical Institute and Monash University - School of Mathematics
Downloads 175 (312,174)
Citation 1

Abstract:

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optimal transport, stochastic volatility, model calibration

9.

Pricing and Hedging Contingent Claims with Liquidity Costs and Market Impact

Number of pages: 13 Posted: 26 Mar 2013 Last Revised: 15 Apr 2013
Frederic Abergel and Gregoire Loeper
BNP Paribas Asset Management and BNP Paribas
Downloads 154 (348,220)
Citation 4

Abstract:

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derivatives, market impact, liquidity

10.

Pricing Bounds for VIX Derivatives via Least Squares Monte Carlo

Number of pages: 14 Posted: 02 Nov 2016
Ivan Guo and Gregoire Loeper
Monash University - School of Mathematical Sciences and BNP Paribas
Downloads 148 (359,686)
Citation 2

Abstract:

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VIX Derivatives, Least Squares Monte Carlo, Pricing Bounds

11.

Modeling Tail Risk with Tempered Stable Distributions: An Overview

Number of pages: 50 Posted: 03 Dec 2018
Hasan Fallahgoul, Hasan Fallahgoul and Gregoire Loeper
Monash UniversityMonash University and BNP Paribas
Downloads 113 (442,582)

Abstract:

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tail risk, stable distribution, tempered stable distribution, Lévy processes

12.

Performance Analysis of the Optimal Strategy Under Partial Information

Number of pages: 20 Posted: 13 Oct 2015
BNP ParibasEcole Centrale Paris - Laboratory of Mathematics Applied to Systems, BNP Paribas, Ecole Centrale Paris - Laboratory of Mathematics Applied to Systems and BNP Paribas Asset Management
Downloads 113 (442,582)
Citation 3

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Optimal trading strategy, Kalman filter, Sharpe ratio, partial observations

13.

Option Pricing with Linear Market Impact and Non-Linear Black-Scholes Equations

The Annals of Applied Probability 2018, Vol. 28, No. 5, 2664–2726 https://doi.org/10.1214/17-AAP1367 © Institute of Mathematical Statistics, 2018
Number of pages: 63 Posted: 15 May 2016 Last Revised: 25 Aug 2020
Gregoire Loeper
BNP Paribas
Downloads 103 (473,484)
Citation 2

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14.

Portfolio Optimization With a Prescribed Terminal Wealth Distribution

Number of pages: 21 Posted: 16 Nov 2020
Ivan Guo, Nicolas Langrené, Gregoire Loeper and Wei Ning
Monash University - School of Mathematical Sciences, BNU-HKBU United International College, BNP Paribas and Monash University - School of Mathematical Sciences
Downloads 89 (520,775)

Abstract:

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portfolio allocation, optimal mass transport, HJB, Fokker–Planck, gradient descent

15.

Markovian Approximation of the Rough Bergomi Model for Monte Carlo Option Pricing

Number of pages: 20 Posted: 29 Jul 2020
Qinwen Zhu, Gregoire Loeper, Wen Chen and Nicolas Langrené
Nanjing Normal University, BNP Paribas, CSIRO Data61 and BNU-HKBU United International College
Downloads 88 (524,458)
Citation 3

Abstract:

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Rough Fractional Stochastic Volatility, Forward Variance Model, Markovian Representation, Volatility Skew, Volterra Integral, Rough Heston, Hybrid Scheme Simulation

16.

Local Volatility Calibration by Optimal Transport

Number of pages: 13 Posted: 26 Sep 2017 Last Revised: 10 Jul 2018
Ivan Guo, Gregoire Loeper and Shiyi Wang
Monash University - School of Mathematical Sciences, BNP Paribas and Monash University - School of Mathematics
Downloads 88 (524,458)
Citation 8

Abstract:

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Local Volatility, Optimal Transport, ADMM

17.

Mean-Variance Portfolio Selection with Tracking Error Penalization

Number of pages: 29 Posted: 05 Nov 2020
William Lefebvre, Gregoire Loeper and Huyên Pham
Laboratoire de Probabilités, Statistique et Modélisation (LPSM), BNP Paribas and Sorbonne University - Laboratoire de Probabilités, Statistique et Modélisation (LPSM)
Downloads 81 (551,552)

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Continuous-time mean-variance problem, tracking error, robust allocation, parameter misspecification

18.

Robust Utility Maximization Under Model Uncertainty via a Penalization Approach

Number of pages: 34 Posted: 22 Jun 2020 Last Revised: 07 Jul 2020
Ivan Guo, Nicolas Langrené, Gregoire Loeper and Wei Ning
Monash University - School of Mathematical Sciences, BNU-HKBU United International College, BNP Paribas and Monash University - School of Mathematical Sciences
Downloads 69 (603,647)
Citation 3

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robust portfolio optimization, differential games, HJBI equation, Monte Carlo, GANs

19.

Path Dependent Optimal Transport and Model Calibration on Exotic Derivatives

Number of pages: 25 Posted: 02 Jan 2019
Ivan Guo and Gregoire Loeper
Monash University - School of Mathematical Sciences and BNP Paribas
Downloads 62 (637,872)
Citation 1

Abstract:

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Optimal Transport, Path Dependent PDE, Volatility Calibration

20.

Optimal Foreign Exchange Hedge Tenor with Liquidity Risk

Journal of Risk, Vol. 23, No. 3, 2021
Number of pages: 30 Posted: 23 Mar 2021
Rongju Zhang, Mark Aarons and Gregoire Loeper
Commonwealth Scientific and Industrial Research Organization (CSIRO), Victorian Funds Management Corporation (VFMC) and BNP Paribas
Downloads 0 (1,120,022)
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Abstract:

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foreign exchange hedging, optimal hedge tenor, carry trade, liquidity risk, cashflow at risk.