Grégoire Loeper

Available identifiers

zbMath Open loeper.gregoireMaRDI QIDQ309170

List of research outcomes

Publication	Date of Publication	Type
Approximate viscosity solutions of path-dependent PDEs and Dupire's vertical differentiability	2024-01-19	Paper
The Measure Preserving Martingale Sinkhorn Algorithm	2023-10-20	Paper
Calibration of local‐stochastic volatility models by optimal transport	2023-09-28	Paper
Interior second derivatives estimates for nonlinear diffusions	2023-06-23	Paper
Filtering time-dependent covariance matrices using time-independent eigenvalues	2023-03-07	Paper
A \(\mathbb{C}^{0, 1}\)-functional Itô's formula and its applications in mathematical finance	2022-04-28	Paper
Portfolio optimization with a prescribed terminal wealth distribution	2022-04-05	Paper
Robust utility maximization under model uncertainty via a penalization approach	2022-04-01	Paper
Joint Modeling and Calibration of SPX and VIX by Optimal Transport	2022-01-10	Paper
Modelling tail risk with tempered stable distributions: an overview	2021-11-08	Paper
Path dependent optimal transport and model calibration on exotic derivatives	2021-11-04	Paper
Weak formulation of the MTW condition and convexity properties of potentials	2021-09-28	Paper
On the convexity theory of generating functions	2021-09-09	Paper
Optimal transport with discrete long-range mean-field interactions	2021-06-30	Paper
On Stochastic Partial Differential Equations and their applications to Derivative Pricing through a conditional Feynman-Kac formula	2021-06-28	Paper
Deep Semi-Martingale Optimal Transport	2021-03-05	Paper
Weak formulation of the MTW condition and convexity properties of potentials	2020-07-06	Paper
Second-Order Stochastic Target Problems with Generalized Market Impact	2019-12-11	Paper
2017 MATRIX annals	2019-07-02	Paper
Challenging the robustness of optimal portfolio investment with moving average-based strategies	2019-03-06	Paper
2017 MATRIX annals	2019-01-10	Paper
Pricing bounds for volatility derivatives via duality and least squares Monte Carlo	2018-11-27	Paper
Forecasting trends with asset prices	2018-11-19	Paper
Option pricing with linear market impact and nonlinear Black-Scholes equations	2018-11-07	Paper
Hedging of Covered Options with Linear Market Impact and Gamma Constraint	2017-11-02	Paper
PERFORMANCE ANALYSIS OF THE OPTIMAL STRATEGY UNDER PARTIAL INFORMATION	2017-04-13	Paper
Almost-sure hedging with permanent price impact	2016-09-07	Paper
Mixing Monte-Carlo and Partial Differential Equations for Pricing Options	2015-07-06	Paper
Mixing Monte-Carlo and partial differential equations for pricing options	2013-05-29	Paper
Regularity of optimal maps on the sphere: the quadratic cost and the reflector antenna	2011-10-04	Paper
On the regularity of solutions of optimal transportation problems	2011-01-14	Paper
Regularity of optimal transport in curved geometry: the nonfocal case	2010-03-30	Paper
\(C^{1}\) regularity of solutions of the Monge-Ampère equation for optimal transport in dimension two	2009-08-27	Paper
A mixed PDE/Monte-Carlo method for stochastic volatility models	2009-05-13	Paper
A Fully Nonlinear Version of the Incompressible Euler Equations: The Semigeostrophic System	2007-05-22	Paper
Uniqueness of the solution to the Vlasov--Poisson system with bounded density	2007-02-13	Paper
Gradient estimates for potentials of invertible gradient-mappings on the sphere	2006-06-16	Paper
The reconstruction problem for the Euler-Poisson system in cosmology	2006-03-02	Paper
On the regularity of the polar factorization for time dependent maps	2005-12-08	Paper
Quasi-Neutral Limit of the Euler–Poisson and Euler–Monge–Ampère Systems	2005-11-25	Paper
CONTRACTIVE METRICS FOR SCALAR CONSERVATION LAWS	2005-06-07	Paper
Numerical solution of the Monge--Ampère equation by a Newton's algorithm	2005-05-04	Paper
A geometric approximation to the Euler equations: the Vlasov-Monge-Ampère system	2005-04-29	Paper
A fully non-linear version of the Euler incompressible equations: the semi-geostrophic system	2005-04-07	Paper
https://portal.mardi4nfdi.de/entity/Q4654970	2005-03-10	Paper

Research outcomes over time

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