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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

Research Output 2003 2017

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 journalArticleResearchpeer-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 journalArticleResearchpeer-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 proceedingChapter (Book)Researchpeer-review

Performance analysis of the optimal strategy under partial information

Bel Hadj Ayed, A., Loeper, G., El Aoud, S. & Abergel, F., 7 Mar 2017, In : International Journal of Theoretical and Applied Finance. 20, 2, 21 p., 1750016.

Research output: Contribution to journalArticleResearchpeer-review

Open Access
File

Pricing Bounds for Volatility Derivatives via Duality and Least Squares Monte Carlo

Guo, I. & Loeper, G., 15 Sep 2017, (Accepted/In press) In : Journal of Optimization Theory and Applications. p. 1-20 20 p.

Research output: Contribution to journalArticleResearchpeer-review

Press / Media

The wide use of mathematics in industry

Gregoire Guillaume Marie Loeper

28/05/16

1 media contribution

Press/Media: Expert Comment