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Research Output 2003 2019

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

2018

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

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
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2016

Almost-sure hedging with permanent price impact

Bouchard, B., Loeper, G. & Zou, Y., 1 Jul 2016, In : Finance and Stochastics. 20, 3, p. 741-771 31 p.

Research output: Contribution to journalArticleResearchpeer-review

2014

Mixing Monte-Carlo and Partial Differential Equations for Pricing Options

Lipp, T., Loeper, G. & Pironneau, O., 2014, Partial Differential Equations: Theory, Control and Approximation. Ciarlet, P. G., Li, T. & Maday, Y. (eds.). Heidelberg Germany: Springer-Verlag London Ltd., p. 323-347 25 p.

Research output: Chapter in Book/Report/Conference proceedingChapter (Report)Researchpeer-review

2013

Mixing Monte-Carlo and partial differential equations for pricing options

Lipp, T., Loeper, G. & Pironneau, O., 2013, In : Chinese Annals of Mathematics. Series B. 34, 2, p. 255-276 22 p.

Research output: Contribution to journalArticleResearchpeer-review

2011

Regularity of optimal maps on the sphere: the quadratic cost and the reflector antenna

Loeper, G., 2011, In : Archive for Rational Mechanics and Analysis. 199, 1, p. 269-289 21 p.

Research output: Contribution to journalArticleResearchpeer-review

2010

Regularity of optimal transport in curved geometry: the nonfocal case

Loeper, G. & Villani, C., 2010, In : Duke Mathematical Journal. 151, 3, p. 431-485 55 p.

Research output: Contribution to journalArticleResearchpeer-review

2009

A mixed PDE/Monte-Carlo method for stochastic volatility models

Loeper, G. & Pironneau, O., 2009, In : Comptes Rendus Mathematique. 347, 9-10, p. 559-563 5 p.

Research output: Contribution to journalArticleResearchpeer-review

C1 regularity of solutions of the Monge-Ampere equation for optimal transport in dimension two

Figalli, A. & Loeper, G., 2009, In : Calculus of Variations and Partial Differential Equations. 35, 4, p. 537-550 14 p.

Research output: Contribution to journalArticleResearchpeer-review

On the regularity of solutions of optimal transportation problems

Loeper, G., 2009, In : Acta Mathematica. 202, 2, p. 241-283 43 p.

Research output: Contribution to journalArticleResearchpeer-review

2006

A fully nonlinear version of the incompressible Euler equations: The semigeostrophic system

Loeper, G., 2006, In : SIAM Journal on Mathematical Analysis. 38, 3, p. 795-823 29 p.

Research output: Contribution to journalArticleResearchpeer-review

Gradient estimates for potentials of invertible gradient-mappings on the sphere

Delanoë, P. & Loeper, G., Jul 2006, In : Calculus of Variations and Partial Differential Equations. 26, 3, p. 297-311 15 p.

Research output: Contribution to journalArticleResearchpeer-review

The reconstruction problem for the Euler-Poisson system in cosmology

Loeper, G., Feb 2006, In : Archive for Rational Mechanics and Analysis. 179, 2, p. 153-216 64 p.

Research output: Contribution to journalArticleResearchpeer-review

Uniqueness of the solution to the Vlasov-Poisson system with bounded density

Loeper, G., Jul 2006, In : Journal des Mathematiques Pures et Appliquees. 86, 1, p. 68-79 12 p.

Research output: Contribution to journalArticleResearchpeer-review

2005

CONTRACTIVE METRICS FOR SCALAR CONSERVATION LAWS

Bolley, F., Brenier, Y. & Loeper, G., 2005, In : Journal of Hyperbolic Differential Equations. 2, 1, p. 91-107 17 p.

Research output: Contribution to journalArticleResearchpeer-review

On the regularity of the polar factorization for time dependent maps

Loeper, G., Mar 2005, In : Calculus of Variations and Partial Differential Equations. 22, 3, p. 343-374 32 p.

Research output: Contribution to journalArticleResearchpeer-review

Quasi-neutral limit of the Euler-Poisson and Euler-Monge-Ampère systems

Loeper, G., 2005, In : Communications in Partial Differential Equations. 30, 7-9, p. 1141-1167 27 p.

Research output: Contribution to journalArticleResearchpeer-review

Une méthode numérique de résolution de l'equation de Monge-Ampère

Translated title of the contribution: Numerical solution of the Monge-Ampère equation by a Newton's algorithmLoeper, G. & Rapetti, F., 15 Feb 2005, In : Comptes Rendus Mathematique. 340, 4, p. 319-324 6 p.

Research output: Contribution to journalArticleResearchpeer-review

2004

A Geometric approximation to the euler equations: The Vlasov-Monge- Ampère system

Brenier, Y. & Loeper, G., Dec 2004, In : Geometric and Functional Analysis. 14, 6, p. 1182-1218 37 p.

Research output: Contribution to journalArticleResearchpeer-review

Electric turbulence in a plasma subject to a strong magnetic field

Loeper, G. & Vasseur, A., 2004, In : Asymptotic Analysis. 40, 1, p. 51-65 15 p.

Research output: Contribution to journalArticleResearchpeer-review

2003

Reconstruction of the early Universe as a convex optimization problem

Brenier, Y., Frisch, U., Hénon, M., Loeper, G., Matarrese, S., Mohayaee, R. & Sobolevskiǐ, A., 1 Dec 2003, In : Monthly Notices of the Royal Astronomical Society. 346, 2, p. 501-524 24 p.

Research output: Contribution to journalArticleResearchpeer-review