| Joint modeling and calibration of SPX and VIX by optimal transport I Guo, G Loeper, J Obłój, S Wang SIAM Journal on Financial Mathematics 13 (1), 1-31, 2022 | 29 | 2022 |
| Calibration of local‐stochastic volatility models by optimal transport I Guo, G Loeper, S Wang Mathematical Finance 32 (1), 46-77, 2022 | 29 | 2022 |
| Path dependent optimal transport and model calibration on exotic derivatives I Guo, G Loeper The Annals of Applied Probability 31 (3), 1232-1263, 2021 | 29 | 2021 |
| Equal risk pricing under convex trading constraints I Guo, SP Zhu Journal of Economic Dynamics and Control 76, 136-151, 2017 | 21 | 2017 |
| Robust utility maximization under model uncertainty via a penalization approach I Guo, N Langrené, G Loeper, W Ning Mathematics and Financial Economics 16 (1), 51-88, 2022 | 20 | 2022 |
| Optimal execution with regime-switching market resilience CC Siu, I Guo, SP Zhu, RJ Elliott Journal of Economic Dynamics and Control 101, 17-40, 2019 | 19 | 2019 |
| Effective and simple VWAP options pricing model A Buryak, I Guo International Journal of Theoretical and Applied Finance 17 (06), 1450036, 2014 | 17 | 2014 |
| Portfolio optimization with a prescribed terminal wealth distribution I Guo, N Langrené, G Loeper, W Ning Quantitative Finance 22 (2), 333-347, 2022 | 11 | 2022 |
| Pricing bounds for volatility derivatives via duality and least squares Monte Carlo I Guo, G Loeper Journal of Optimization Theory and Applications 179 (2), 598-617, 2018 | 10 | 2018 |
| A zero-sum competitive multi-player game I Guo, M Rutkowski Demonstratio Mathematica 45 (2), 415-433, 2012 | 10 | 2012 |
| Local volatility calibration by optimal transport I Guo, G Loeper, S Wang arXiv preprint arXiv:1709.08075, 2017 | 9 | 2017 |
| Optimal transport for model calibration I Guo, G Loeper, J Obloj, S Wang arXiv preprint arXiv:2107.01978, 2021 | 8 | 2021 |
| Pricing European options on regime-switching assets: a comparative study of Monte Carlo and finite-difference approaches XC Zeng, I Guo, SP Zhu The ANZIAM Journal 59 (2), 183-199, 2017 | 7 | 2017 |
| Discrete-time multi-player stopping and quitting games with redistribution of payoffs I Guo, M Rutkowski Arbitrage, Credit and Informational Risks, 171-206, 2014 | 7 | 2014 |
| Local volatility calibration by optimal transport I Guo, G Loeper, S Wang 2017 MATRIX Annals, 51-64, 2019 | 6 | 2019 |
| Discrete time stochastic multi-player competitive games with affine payoffs I Guo, M Rutkowski Stochastic Processes and their Applications 126 (1), 1-32, 2016 | 6* | 2016 |
| Competitive multi-player stochastic games with applications to multi-person financial contracts I Guo University of Sydney, 2013 | 6 | 2013 |
| The volatility risk premium: an empirical study on the s&p 500 index I Guo, G Loeper Available at SSRN 3739933, 2020 | 5 | 2020 |
| Arbitrage pricing of multi-person game contingent claims I Guo, M Rutkowski arXiv preprint arXiv:1405.2718, 2014 | 5 | 2014 |
| New analytic approach to address put–call parity violation due to discrete dividends A Buryak, I Guo Applied Mathematical Finance 19 (1), 37-58, 2012 | 5 | 2012 |
Gregoire LoeperBNP Paribas Global Markets, Parisยืนยันอีเมลแล้วที่ monash.edu