Projects per year
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.
Research area keywords
- Financial Mathematics
- Partial Differential Equations
- Optimal Transport
Network
Projects
- 2 Finished
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Development of efficient computational techniques for convection-diffusion-reaction type problems in econophysics
Mishra, C., Mishra, M., Loeper, G. & Guo, I.
25/06/19 → 24/06/21
Project: Research
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RiskLab Projects - Mathematical Sciences
Loeper, G., Hamza, K., Klebaner, F. & Knight, K.
1/01/17 → 31/12/19
Project: Research
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Markovian approximation of the rough bergomi model for Monte Carlo option pricing
Zhu, Q., Loeper, G., Chen, W. M. & Langrené, N., 1 Mar 2021, In: Mathematics. 9, 5, 21 p., 528.Research output: Contribution to journal › Article › Research › peer-review
Open Access -
Modelling tail risk with tempered stable distributions: an overview
Fallahgoul, H. & Loeper, G., Apr 2021, In: Annals of Operations Research. 299, 1-2, p. 1253-1280 28 p.Research output: Contribution to journal › Article › Research › peer-review
Open Access5 Citations (Scopus) -
Mean-variance portfolio selection with tracking error penalization
Lefebvre, W., Loeper, G. & Pham, H., Nov 2020, In: Mathematics. 8, 11, 23 p., 1915.Research output: Contribution to journal › Article › Research › peer-review
Open Access1 Citation (Scopus) -
Optimal transport with discrete long-range mean-field interactions
Liu, J. & Loeper, G., 12 May 2020, In: Bulletin of Mathematical Science. 26 p., 2050011.Research output: Contribution to journal › Article › Research › peer-review
Open AccessFile1 Citation (Scopus) -
Challenging the robustness of optimal portfolio investment with moving average-based strategies
Bel Hadj Ayed, A., Loeper, G. & Abergel, F., 2019, In: Quantitative Finance. 19, 1, p. 123–135 13 p.Research output: Contribution to journal › Article › Research › peer-review
Press / Media
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Alessio Figalli's Fields Medal and Optimal Transport
28/08/18
1 Media contribution
Press/Media: Expert Comment
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