160 citations · 241 across the 28 of their papers we have counts for
36 papers
Joint Calibration of Local Volatility Models with Stochastic Interest Rates using Semimartingale Optimal Transport
Benjamin Joseph, Gregoire Loeper, Jan Obloj
We develop and implement a non-parametric method for joint exact calibration of a local volatility model and a correlated stochastic short rate model using semimartingale optimal t…
Calibration of Local Volatility Models with Stochastic Interest Rates using Optimal Transport
Benjamin Joseph, Gregoire Loeper, Jan Obloj
We develop a non-parametric, semimartingale optimal transport, calibration methodology for local volatility models with stochastic interest rate. The method finds a fully calibrate…
Differential learning methods for solving fully nonlinear PDEs
William Lefebvre, Grégoire Loeper, Huyên Pham
We propose machine learning methods for solving fully nonlinear partial differential equations (PDEs) with convex Hamiltonian. Our algorithms are conducted in two steps. First the…
Cleaning the covariance matrix of strongly nonstationary systems with time-independent eigenvalues
Christian Bongiorno, Damien Challet, Grégoire Loeper
We propose a data-driven way to reduce the noise of covariance matrices of nonstationary systems. In the case of stationary systems, asymptotic approaches were proved to converge t…
On the convexity theory of generating functions
Gregoire Loeper, Neil S Trudinger
In this paper, we extend our convexity theory for cost functions in optimal transportation to more general generating functions, which were originally introduced by the secon…
Optimal transport for model calibration
Ivan Guo, Gregoire Loeper, Jan Obloj +1
We provide a survey of recent results on model calibration by Optimal Transport. We present the general framework and then discuss the calibration of local, and local-stochastic, v…