Gregoire Loeper
- Path Dependent Optimal Transport and Model Calibration on Exotic Derivatives
2018/12/09 by Ivan Guo, Gregoire Loeper, Guo, Ivan +2 · 3 citations
Economics, Econometrics and Finance · Mathematics · #Climate Change Policy and Economics #Economic theories and models #FOS: Economics and business #FOS: Mathematics #Mathematical Finance (q-fin.MF) #Optimization and Control (math.OC) #Probability (math.PR) #Stochastic processes and financial applications #math.OC #math.PR #q-fin.MF
- Calibration of Local-Stochastic Volatility Models by Optimal Transport
2019/06/15 by Ivan Guo, Gregoire Loeper, Guo, Ivan +3 · 3 citations
Economics, Econometrics and Finance · Mathematics · #FOS: Economics and business #FOS: Mathematics #Mathematical Finance (q-fin.MF) #Optimization and Control (math.OC) #math.OC #q-fin.MF
- Optimal transport for model calibration
2021/07/05 by Ivan Guo, Gregoire Loeper, Guo, Ivan +5 · 2 citations
Economics, Econometrics and Finance · Mathematics · #FOS: Economics and business #FOS: Mathematics #Mathematical Finance (q-fin.MF) #Optimization and Control (math.OC) #math.OC #q-fin.MF
- Regularity of optimal maps on the sphere: the quadratic cost and the reflector antenna
2013/01/26 by Grégoire Loeper, Gregoire Loeper, Loeper, Gregoire · 1 citation
Mathematics · #Analysis of PDEs (math.AP) #FOS: Mathematics #Geometric Analysis and Curvature Flows #Geometry and complex manifolds #Nonlinear Partial Differential Equations #math.AP
- Mean-variance portfolio selection with tracking error penalization
2020/09/17 by William Lefebvre, Gregoire Loeper, Lefebvre, William +3 · 1 citation
Economics, Econometrics and Finance · #Computational Finance (q-fin.CP) #FOS: Economics and business #q-fin.CP