Grégoire Loeper

According to our database, Grégoire Loeper authored at least 9 papers between 2006 and 2026.

Collaborative distances:

• Dijkstra number of five.
• Erdős number of four.

2026

SBBTS: A Unified Schrödinger-Bass Framework for Synthetic Financial Time Series.

Alexandre Alouadi, Grégoire Loeper, Célian Marsala, Othmane Mazhar, Huyên Pham

CoRR, April, 2026

LightSBB-M: Bridging Schrödinger and Bass for Generative Diffusion Modeling.

Alexandre Alouadi, Pierre Henry-Labordère, Grégoire Loeper, Othmane Mazhar, Huyên Pham, Nizar Touzi

CoRR, January, 2026

2022

Joint Modeling and Calibration of SPX and VIX by Optimal Transport.

Ivan Guo, Grégoire Loeper, Jan Oblój, Shiyi Wang

SIAM J. Financial Math., 2022

2021

Modelling tail risk with tempered stable distributions: an overview.

Hasan Fallahgoul, Grégoire Loeper

Ann. Oper. Res., 2021

2019

Second-Order Stochastic Target Problems with Generalized Market Impact.

Bruno Bouchard, Grégoire Loeper, Halil Mete Soner, Chao Zhou

SIAM J. Control. Optim., 2019

2018

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

Ivan Guo, Grégoire Loeper

J. Optim. Theory Appl., 2018

2017

Hedging of Covered Options with Linear Market Impact and Gamma Constraint.

Bruno Bouchard, Grégoire Loeper, Yiyi Zou

SIAM J. Control. Optim., 2017

2016

Almost-sure hedging with permanent price impact.

Bruno Bouchard, Grégoire Loeper, Yiyi Zou

Finance Stochastics, 2016

2006

A Fully Nonlinear Version of the Incompressible Euler Equations: The Semigeostrophic System.

Grégoire Loeper

SIAM J. Math. Anal., 2006