Gregoire Loeper

Professor

Professor, Sch of Mathematical Sciences
Ctr for Quanti Fin & Invest Strategies

https://orcid.org/0000-0002-5320-9516

EmailGregoire.Loeper@monash.edu

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Personal profile

Biography

Gregoire Loeper is a Professor of Mathematics at Monash University since September 2015. He completed his PhD in mathematics in 2003, then was appointed Assistant Professor at Claude Bernard Lyon 1 University. He then moved to the finance industry where he worked during 9 years for Global Equity and Commodity Derivatives within BNP Paribas. He occupied there several positions, as a quantitative analyst, then as head of Structured Products Pricing in London, and finally head of Systematic Strategies and Hybrids Quantitative Research. Since his arrival at Monash, he is the director of the Master of Financial Mathematics, and the director of the Centre for Quantitative Finance and Investment Strategies.
His areas of research are: Non Linear PDE's, Stochastic Control, Mathematical Finance, Fluid Mechanics, Optimal Transport.

Keywords

Financial Mathematics
Partial Differential Equations
Optimal Transport

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Projects 2017 2019

1 Active

RiskLab Projects - Mathematical Sciences

Loeper, G. G. M., Hamza, K. & Klebaner, F. C.

1/01/17 → 31/12/19

Project: Research

Research Output 2003 2017

22 Article
1 Chapter (Book)
1 Chapter (Report)

Forecasting trends with asset prices

Bel Hadj Ayed, A., Loeper, G. & Abergel, F., 2017, In : Quantitative Finance. 17, 3, p. 369-382 14 p.

Research output: Contribution to journal › Article › Research › peer-review

Hedging of covered options with linear market impact and gamma constraint

Bouchard, B., Loeper, G. & Zou, Y., 1 Jan 2017, In : SIAM Journal on Control and Optimization. 55, 5, p. 3319-3348 30 p.

Research output: Contribution to journal › Article › Research › peer-review

Option Pricing and Hedging with Liquidity Costs and Market Impact

Abergel, F. & Loeper, G., 2017, Econophysics and Sociophysics: Recent Progress and Future Directions. Abergel, F., Aoyama, H., Chakrabarti, B. K., Chakraborti, A., Deo, N., Raina, D. & Vodenska, I. (eds.). Cham Switzerland: Springer, p. 19-40 22 p. (New Economic Windows; vol. 6901).

Research output: Chapter in Book/Report/Conference proceeding › Chapter (Book) › Research › peer-review