Jean-Loup Dupret
Assistant Professor in Actuarial Science & Mathematical FinanceUniversity of Amsterdam · Amsterdam School of Economics
I am an Assistant Professor in the Quantitative Economics section at the University of Amsterdam, which I joined in September 2026.
My research lies at the intersection of machine learning, stochastic control and mathematical finance. I develop methods for high-dimensional problems in finance and insurance, with interests ranging from optimal trading and hedging to mortality risk and variable annuities.
Previously, I was a RiskLab postdoctoral researcher at ETH Zürich, working with Patrick Cheridito. I obtained my PhD in Financial and Insurance Mathematics at UCLouvain (ISBA), supervised by Donatien Hainaut.
Besides research, I’m also quite into running, so feel free to reach out for a chat, a run, or both!
News
- 20 Oct 2026
- New preprint: Deep Pontryagin Learning for Continuous-Time Stochastic Control with Jumps, with Patrick Cheridito.
- Sep 2026
- Our paper INEUS: Iterative Neural Solver for High-Dimensional PIDEs, with Davide Gallon and Patrick Cheridito, has been accepted at NeurIPS 2026.
- 28 Sep 2026
- New preprint: Deep kernel hedging, with Donatien Hainaut and Edouard Motte.
- 1 Sep 2026
- I joined the University of Amsterdam as an Assistant Professor of Actuarial Science and Mathematical Finance.
Publications
Google ScholarJournal & conference papers
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Optimal control by policy iterations and constrained Gaussian process regressions
European Journal of Operational Research, 330(2), 525–539
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Deep learning for high-dimensional continuous-time stochastic optimal control without explicit solution
Operations Research, 74(3), 1241–1262
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Deep learning for continuous-time stochastic control with jumps
Advances in Neural Information Processing Systems, 38 (NeurIPS 2025)
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A fractional Hawkes process for illiquidity modeling
Mathematics and Financial Economics, 19(1), 143–181
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Optimal liquidation under indirect price impact with propagator
Quantitative Finance, 25(3), 359–381
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Impact of rough stochastic volatility models on long-term life insurance pricing
European Actuarial Journal, 13(1), 235–275
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Portfolio insurance under rough volatility and Volterra processes
International Journal of Theoretical and Applied Finance, 24(06–07), 2150036
Preprints
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Deep Pontryagin Learning for Continuous-Time Stochastic Control with Jumps
Preprint · arXiv:2610.26718
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ABIDES-MARL: A Multi-Agent Reinforcement Learning Environment for Optimal Execution with Endogenous Liquidity
Preprint · arXiv:2511.02016 · Revised August 2026
Teaching
University of Amsterdam
Machine Learning for Finance
Lecturer
Introduction to Data Science
Lecturer
ETH Zürich
Machine Learning for Finance & Complex Systems
Teaching assistant
UCLouvain
Teaching assistant in statistics and actuarial science
Courses: Probability, data analysis, statistical programming, statistical inference, multivariate statistics, and life insurance.
Academic background
- Assistant Professor · University of Amsterdam
Actuarial Science & Mathematical Finance, Quantitative Economics.
- Postdoctoral Researcher · ETH Zürich
Department of Mathematics, RiskLab. Supervisor: Patrick Cheridito.
- PhD in Financial and Insurance Mathematics · UCLouvain
Institute of Statistics, Biostatistics and Actuarial Sciences. Supervisor: Donatien Hainaut.
Thesis: A Random Walk in Illiquidity Modeling - MSc in Actuarial Sciences · UCLouvain
- BSc in Quantitative Economics · UCLouvain
Grants & awards
Swiss National Science Foundation (SNSF) Grant, 2024-2026 — Deep learning algorithms for high-dimensional jump-diffusion models.
F.R.S.–FNRS Research Fellow, 2021–2024 — Fractional Lévy processes and applications in financial and insurance mathematics.
IA|BE Prize, 2021 — Best Belgian master’s thesis in Actuarial Sciences for my work on rough stochastic volatility modeling in insurance.
Contact
University of Amsterdam
Amsterdam School of Economics
Quantitative Economics
Office: E4.22
Amsterdam, the Netherlands
UvA staff profile