Gregoire Loeper

Monash University - School of Mathematical Sciences

Clayton Campus

Victoria, 3800

Australia

BNP Paribas

Paris

France

SCHOLARLY PAPERS

13

DOWNLOADS

898

SSRN CITATIONS
Rank 47,842

SSRN RANKINGS

Top 47,842

in Total Papers Citations

5

CROSSREF CITATIONS

7

Scholarly Papers (13)

1.

Forecasting Trends with Asset Prices

Number of pages: 26 Posted: 17 Apr 2015 Last Revised: 21 Apr 2015
Ahmed Bel Hadj Ayed, Gregoire Loeper and Frederic Abergel
BNP Paribas, Monash University - School of Mathematical Sciences and BNP Paribas AM
Downloads 180 (182,439)
Citation 2

Abstract:

Loading...

calibration, trend, kalman filter, mis-scpecification

2.

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
Ahmed Bel Hadj Ayed, Gregoire Loeper and Frederic Abergel
BNP Paribas, Monash University - School of Mathematical Sciences and BNP Paribas AM
Downloads 161 (200,847)

Abstract:

Loading...

3.

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 AM and Monash University - School of Mathematical Sciences
Downloads 100 (288,409)
Citation 2

Abstract:

Loading...

derivatives, market impact, liquidity

4.

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 Monash University - School of Mathematical Sciences
Downloads 89 (310,690)
Citation 2

Abstract:

Loading...

VIX Derivatives, Least Squares Monte Carlo, Pricing Bounds

5.

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

Number of pages: 42 Posted: 27 Dec 2019 Last Revised: 07 Mar 2020
Monash University, Monash University and Monash University - School of Mathematical Sciences
Downloads 85 (319,789)

Abstract:

Loading...

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

6.

Performance Analysis of the Optimal Strategy Under Partial Information

Number of pages: 20 Posted: 13 Oct 2015
BNP Paribas, Monash University - School of Mathematical Sciences, Ecole Centrale Paris - Laboratory of Mathematics Applied to Systems and BNP Paribas AM
Downloads 81 (329,315)
Citation 2

Abstract:

Loading...

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

7.

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

Number of pages: 50 Posted: 15 May 2016 Last Revised: 03 Aug 2017
Gregoire Loeper
Monash University - School of Mathematical Sciences
Downloads 56 (400,551)
Citation 1

Abstract:

Loading...

8.

Joint Modelling and Calibration of SPX and VIX by Optimal Transport

Number of pages: 11 Posted: 28 Apr 2020
Ivan Guo, Gregoire Loeper, Jan Obłój and Shiyi Wang
Monash University - School of Mathematical Sciences, Monash University - School of Mathematical Sciences, University of Oxford - Mathematical Institute and Monash University - School of Mathematical Sciences
Downloads 42 (456,419)

Abstract:

Loading...

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

9.

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, Monash University - School of Mathematical Sciences and Monash University - School of Mathematical Sciences
Downloads 40 (460,724)
Citation 3

Abstract:

Loading...

Local Volatility, Optimal Transport, ADMM

10.

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 Monash University - School of Mathematical Sciences
Downloads 26 (529,177)
Citation 1

Abstract:

Loading...

Optimal Transport, Path Dependent PDE, Volatility Calibration

11.

Modeling Tail Risk with Tempered Stable Distributions: An Overview

Number of pages: 50 Posted: 03 Dec 2018
Hasan Fallahgoul and Gregoire Loeper
Monash University and Monash University - School of Mathematical Sciences
Downloads 24 (541,211)

Abstract:

Loading...

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

12.

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, Monash University - School of Mathematical Sciences, CSIRO Data61 and Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation)
Downloads 7 (654,213)

Abstract:

Loading...

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

13.

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, Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation), Monash University - School of Mathematical Sciences and Monash University - School of Mathematical Sciences
Downloads 7 (661,422)

Abstract:

Loading...

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