Grégoire Loeper

Orcid: 0000-0002-5320-9516

According to our database1, Grégoire Loeper authored at least 7 papers between 2006 and 2022.

Collaborative distances:
  • Dijkstra number2 of four.
  • Erdős number3 of four.

Timeline

Legend:

Book 
In proceedings 
Article 
PhD thesis 
Dataset
Other 

Links

On csauthors.net:

Bibliography

2022
Joint Modeling and Calibration of SPX and VIX by Optimal Transport.
SIAM J. Financial Math., 2022

2021
Modelling tail risk with tempered stable distributions: an overview.
Ann. Oper. Res., 2021

2019
Second-Order Stochastic Target Problems with Generalized Market Impact.
SIAM J. Control. Optim., 2019

2018
Pricing Bounds for Volatility Derivatives via Duality and Least Squares Monte Carlo.
J. Optim. Theory Appl., 2018

2017
Hedging of Covered Options with Linear Market Impact and Gamma Constraint.
SIAM J. Control. Optim., 2017

2016
Almost-sure hedging with permanent price impact.
Finance Stochastics, 2016

2006
A Fully Nonlinear Version of the Incompressible Euler Equations: The Semigeostrophic System.
SIAM J. Math. Anal., 2006


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