Reconstruction of missing data by optimal transport: applications in finance

Optimal Transport is an old optimisation problem that goes back to Gaspard Monge in 1781. Following the seminal work by Benamou and Brenier in 2000 on the time continuous formulation of the Optimal Transport problem, we show how similar techniques can be used to address a problem of model calibration in finance.

Professor Gregoire Loeper

Professor Gregoire Loeper

Director, Centre for Quantitative Finance and Investment Strategies
Professor, School of Mathematical Sciences, Monash University

Gregoire Loeper is a Professor of Mathematics at Monash University since September 2015. He completed his PhD in mathematics in 2003, then was appointed Assistant Professor at Claude Bernard Lyon 1 University. He then moved to the finance industry where he worked during 9 years for Global Equity and Commodity Derivatives within BNP Paribas. He occupied there several positions, as a quantitative analyst, then as head of Structured Products Pricing in London, and finally head of Systematic Strategies and Hybrids Quantitative Research. Since his arrival at Monash, he is the director of the Master of Financial Mathematics, and the director of the Centre for Quantitative Finance and Investment Strategies.

His areas of research are: Non Linear PDE’s, Stochastic Control, Mathematical Finance, Fluid Mechanics, Optimal Transport.