160 citations · 241 across the 28 of their papers we have counts for
3 papers · 1 filter
Robust utility maximization under model uncertainty via a penalization approach
Ivan Guo, Nicolas Langrené, Grégoire Loeper +1
This paper addresses the problem of utility maximization under uncertain parameters. In contrast with the classical approach, where the parameters of the model evolve freely within…
Calibration of Local-Stochastic Volatility Models by Optimal Transport
Ivan Guo, Gregoire Loeper, Shiyi Wang
In this paper, we study a semi-martingale optimal transport problem and its application to the calibration of Local-Stochastic Volatility (LSV) models. Rather than considering the…
Optimal FX Hedge Tenor with Liquidity Risk
Rongju Zhang, Mark Aarons, Gregoire Loeper
We develop an optimal currency hedging strategy for fund managers who own foreign assets to choose the hedge tenors that maximize their FX carry returns within a liquidity risk con…