13. Modelling tail risk with tempered stable distributions: an overview. Hasan Fallahgoul, Gregoire Loeper
12. Inside the Mind of Investors During the COVID-19 Pandemic: Evidence from the StockTwits Data. Hasan Fallahgoul
https://doi.org/10.3905/jfds.2021.1.058
11. Risk Premia and Lévy Jumps: Theory and Evidence. Hasan Fallahgoul, Julien Hugonnier, Loriano Mancini
https://doi.org/10.1093/jjfinec/nbab020
10. The role of the conditional Feynman-Kac formula for the pricing of derivatives in a multi-dimensional diffusion framework. Kaustav Das, Ivan Guo, Gregoire Loeper
09. On Stochastic PDEs for the pricing of derivatives in a multi-dimensional diffusion framework. Kaustav Das, Ivan Guo, Gregoire Loeper
08. Optimal Transport for Model Calibration. Ivan Guo, Grégoire Loeper, Jan Obłój, Shiyi Wang
07. Deep Learning for Semi-Martingale Optimal Transport. Ivan Guo, Nicolas Langrené, Grégoire Loeper, Wei Ning
06. Forward-backward stochastic equations: a functional analytic approach. Kihun Nam, Yunxi Xu
https://doi.org/10.1080/07362994.2021.1988857
05. Locally Lipschitz BSDE driven by a continuous martingale a path-derivative approach. Kihun Nam
04. Data-driven robust mean-variance optimisation. Gregoire Loeper, Kihun Nam, Xin Hai
03. Coupled FBSDEs with measurable coefficients and its application to parabolic PDEs. Kihun Nam, Yunxi Xu
02. Approximate viscosity solutions of path-dependent PDEs and Dupire's vertical differentiability. B Bouchard, G Loeper, X Tan
arXiv preprint arXiv:2107.01956
01. A - C^{0,1} functional It\^o's formula and its applications in mathematical finance. B Bouchard, G Loeper, X Tan
arXiv preprint arXiv:2101.03759
