List of publications

Publications

• Cheridito, P., Dupret, J. L., Hainaut, D. (2025). Deep learning for continuous-time stochastic control with jumps. Accepted in NeurIPS 2025.

• Dupret, J. L., Hainaut, D. (2025). Deep learning for high-dimensional continuous-time stochastic optimal control without explicit solution. Accepted in Operations Research.

• Dupret, J. L., & Hainaut, D. (2025). A fractional Hawkes process for illiquidity modeling. Mathematics and Financial Economics, 19(1), 1-39.

• Dupret, J. L., & Hainaut, D. (2025). Optimal liquidation under indirect price impact with propagator. Quantitative Finance, 25(3), 359-381.

• Dupret, J. L., & Hainaut, D. (2023). A subdiffusive stochastic volatility jump model. Quantitative Finance, 23(6), 979-1002.

• 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.

• Dupret, J. L., & Hainaut, D. (2021). Portfolio insurance under rough volatility and Volterra processes. International Journal of Theoretical and Applied Finance, 24(06n07), 2150036.

Preprints

• Cheridito, P., Dupret, J. L., & Wu, Z. (2025). ABIDES-MARL: A multi-agent reinforcement learning environment for market microstructure simulation and optimal execution.

• Hainaut, D., & Dupret, J. L. (2025). Optimal control by policy improvements and constrained Gaussian process regressions. Under review in European Journal of Operational Research.

Awards

• IA|BE Prize Winner 2021 - Best Belgian Master's thesis in Actuarial Sciences titled "Rough stochastic volatility modeling" under the supervision of Dr. Jérôme Barbarin.

PhD Thesis

• Dupret, J. L. (2024). A Random Walk in Illiquidity Modeling (Doctoral dissertation, Catholic University of Louvain).