Dr. J.L. (Jean-Loup) Dupret
Faculteit Economie en Bedrijfskunde
Sectie Quantitative Economics
Expertisegebied: Machine Learning for High-Dimensional Problems in Finance and Insurance,
Fractional Stochastic Processes and Memory Effects in Finance and Insurance
Bezoekadres
- Roetersstraat 11
- Kamernummer: E 4.22
Postadres
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Postbus 15867
1001 NJ Amsterdam
Contactgegevens
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Publicaties
2026
- Dupret, J. L., & Hainaut, D. (2026). Deep Learning for High-Dimensional Continuous-Time Stochastic Optimal Control Without Explicit Solution. Operations Research, 74(3), 1241-1262. https://doi.org/10.1287/opre.2024.1102
- Hainaut, D., & Dupret, J. L. (2026). Optimal control by policy iterations and constrained Gaussian process regressions. European Journal of Operational Research, 330(2), 525-539. https://doi.org/10.1016/j.ejor.2025.12.001
2025
- Cheridito, P., Dupret, J. L., & Hainaut, D. (2025). Deep Learning for Continuous-Time Stochastic Control with Jumps. In 39th Conference on Neural Information Processing Systems, NeurIPS 2025 (pp. 148977-149006). (Advances in Neural Information Processing Systems; Vol. 38). Neural Information Processing Systems Foundation.
- Dupret, J. L., & Hainaut, D. (2025). A fractional Hawkes process for illiquidity modeling. Mathematics and Financial Economics, 19(1), 143-181. Article 124330. https://doi.org/10.1007/s11579-024-00379-7
- Dupret, J. L., & Hainaut, D. (2025). Optimal liquidation under indirect price impact with propagator. Quantitative Finance, 25(3), 359-381. https://doi.org/10.1080/14697688.2025.2463368
2023
- Dupret, J. L., & Hainaut, D. (2023). A subdiffusive stochastic volatility jump model. Quantitative Finance, 23(6), 979-1002. https://doi.org/10.1080/14697688.2023.2199959
- Dupret, J. L., Barbarin, J., & Hainaut, D. (2023). Impact of rough stochastic volatility models on long-term life insurance pricing. European Actuarial Journal, 13(1), 235-275. https://doi.org/10.1007/s13385-022-00317-1
2021
- Dupret, J. L., & Hainaut, D. (2021). PORTFOLIO INSURANCE under ROUGH VOLATILITY and VOLTERRA PROCESSES. International Journal of Theoretical and Applied Finance, 24(6-7), Article 2150036. https://doi.org/10.1142/S0219024921500369
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