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.
Keywords
- Financial Mathematics
- Partial Differential Equations
- Optimal Transport
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Projects 2017 2019
- 1 Active
RiskLab Projects - Mathematical Sciences
Loeper, G., Hamza, K., Klebaner, F. & Knight, K.
1/01/17 → 31/12/19
Project: Research
Research Output 2003 2019
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
Local Volatility Calibration by Optimal Transport
Guo, I., Loeper, G. & Wang, S., 2019, 2017 MATRIX Annals. Wood, D., de Gier, J., Praeger, C. E. & Tao, T. (eds.). 1 ed. Springer, Vol. 2. p. 51-64 13 p. (MATRIX Book Series; vol. 2).Research output: Chapter in Book/Report/Conference proceeding › Chapter (Book) › Research › peer-review
Modelling tail risk with tempered stable distributions: an overview
Fallahgoul, H. & Loeper, G., 1 Jan 2019, (Accepted/In press) In : Annals of Operations Research.Research output: Contribution to journal › Article › Research › peer-review
Option pricing with linear market impact and nonlinear Black–Scholes equations
Loeper, G., 1 Oct 2018, In : Annals of Applied Probability. 28, 5, p. 2664-2726 63 p.Research output: Contribution to journal › Article › Research › peer-review
Pricing Bounds for Volatility Derivatives via Duality and Least Squares Monte Carlo
Guo, I. & Loeper, G., Nov 2018, In : Journal of Optimization Theory and Applications. 179, 2, p. 598–617 20 p.Research output: Contribution to journal › Article › Research › peer-review
Press / Media
Alessio Figalli's Fields Medal and Optimal Transport
28/08/18
1 media contribution
Press/Media: Expert Comment