If you made any changes in Pure these will be visible here soon.

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

Network Recent external collaboration on country level. Dive into details by clicking on the dots.

Projects 2017 2019

RiskLab Projects - Mathematical Sciences

Loeper, G., Hamza, K., Klebaner, F. & Knight, K.

1/01/1731/12/19

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 journalArticleResearchpeer-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 proceedingChapter (Book)Researchpeer-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 journalArticleResearchpeer-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 journalArticleResearchpeer-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 journalArticleResearchpeer-review

Press / Media

Alessio Figalli's Fields Medal and Optimal Transport

Gregoire Loeper

28/08/18

1 media contribution

Press/Media: Expert Comment

The wide use of mathematics in industry

Gregoire Loeper

28/05/16

1 media contribution

Press/Media: Expert Comment