Research

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Publications and Preprints

1. "Evolution of Chinese Futures Markets from a High Frequency Perspective"
   Authors: Zhengqiang Li, Tao Wang, Samuel Drapeau and Xuan Tao
   Journal: Preprint, 2024.
2. "Resolving a Clearing Member's Default, A Radner Equilibrium Approach"
   Authors: Dorinel Bastide, Stéphane Crépey, Samuel Drapeau and Mekonnen Tadese
   Journal: Preprint, 2023.
3. "Derivatives Risks as Costs in a One-Period Network Model"
   Authors: Dorinel Bastide, Stéphane Crépey, Samuel Drapeau and Mekonnen Tadese
   Journal: Forthcoming in Frontiers of Mathematical Finance, 2022.
4. "Extremal of Log-Sobolev Functionals and Li-Yau Estimate on $\text{RCD}^*(K,N)$ Spaces"
   Authors: Liming Yin and Samuel Drapeau
   Journal: Forthcoming in Potential Analysis, 2023.
5. "On Model Robustness of the Regime Switching Approach for Pegged Foreign Exchange Markets"
   Authors: Samuel Drapeau and Yunbo Zhang
   Journal: Quantitative Finance, 21(2):305-322, 2022.
6. "$q$-Moment Estimates for the Singular $p$-Laplace Equation and Applications"
   Authors: Liming Yin and Samuel Drapeau
   Journal: Nonlinear Analysis, 211, 2021.
7. "On Detecting Spoofing Strategies in High Frequency Trading"
   Authors: Xuan Tao, Andrew Day, Lan Ling and Samuel Drapeau
   Journal: Quantitative Finance, 22(8):1405-1425, 2022.
8. "Sensitivity Analysis of Wasserstein Distributionally Robust Optimization Problems"
   Authors: Daniel Bartl, Samuel Drapeau, Jan Obloj and Johannes Wiesel
   Journal: Proceedings of the Royal Society A 477:20210176, 2021.
9. "An FBSDE Approach to Market Impact Games with Stochastic Parameters"
   Authors: Samuel Drapeau, Peng Luo, Alexander Schied and Dewen Xiong
   Journal: Probability, Uncertainty and Quantitative Risk, 6(3):237-260, 2021.
10. "Dual Representation of Expectile Based Expected Shortfall and its Properties"
    Authors: Samuel Drapeau and Mekonnen Tadese
    Journal: Probability, Uncertainty and Quantitative Risk, 6(2):99-116, 2021.
11. "Pricing and Hedging Performance on Pegged Markets Based on a Regime Switching Model"
    Authors: Samuel Drapeau and Yunbo Zhang
    Journal: Quantitative Finance, 21(2):305-322, 2021.
12. "How Rational Are the Option Prices of Hong Kong Dollar Exchange Rate"
    Authors: Samuel Drapeau, Tan Wang and Tao Wang
    Journal: The Journal of Derivatives, 2020.
13. "Relative Bound and Asymptotic Comparison of Expectile with Respect to Expected Shortfall"
    Authors: Samuel Drapeau and Mekonnen Tadese
    Journal: Insurance: Mathematics and Economics, 93:387-399, 2020.
14. "Computational Aspects of Robust Optimized Certainty Equivalents and Option Pricing"
    Authors: Daniel Bartl, Samuel Drapeau and Ludovic Tangpi
    Journal: Mathematical Finance, 30(1):287-309, 2020.
15. "Characterization of Fully Coupled FBSDE in Terms of Portfolio Optimization"
    Authors: Samuel Drapeau, Peng Luo and Dewen Xiong
    Journal: Electronic Journal of Probability, 25, 2020.
16. "A Fenchel-Moreau Theorem for L0-Valued Functions"
    Authors: Samuel Drapeau, Asgar Jamneshan and Michael Kupper
    Journal: Journal of Convex Analysis, 26(2):593-603, 2019.
17. "Multivariate Shortfall Risk Allocation and Systemic Risk"
    Authors: Yannick Armenti, Stéphane Crépey, Samuel Drapeau and Antonis Papapantoleon
    Journal: SIAM Journal on Financial Mathematics, 9(1):90-126, 2018 (Preprint version June 2015).
18. "Numerical Representation of Convex Preferences on Anscombe–Aumann Acts"
    Authors: Patrick Cheridito, Freddy Delbaen, Samuel Drapeau and Michael Kupper
    Journal: Preprint, 2015.
19. "Stability and Markov Property of Forward Backward Minimal Supersolutions"
    Authors: Samuel Drapeau and Christoph Mainberger
    Journal: Electronic Journal of Probability, 21(41):1--15, 2016.
20. "Conditional Preferences and their Numerical Representations"
    Authors: Samuel Drapeau and Asgar Jamneshan
    Journal: Journal of Mathematical Economics, 63:106--118, 2016.
21. "Complete Duality for Convex and Quasiconvex Set-Valued Functions"
    Authors: Samuel Drapeau, Andreas H. Hamel and Michael Kupper
    Journal: Set-Valued and Variational Analysis, 24(2):253--275, 2016.
22. "The Algebra of Conditional Sets and the Concepts of Conditional Topology and Compactness"
    Authors: Samuel Drapeau, Asgar Jamneshan, Martin Karliczek and Michael Kupper
    Journal: Journal of Mathematical Analysis and Applications, 437(1):561-589, 2016.
23. "Dual Representation of Minimal Supersolutions of Convex BSDEs"
    Authors: Samuel Drapeau, Emmanuela R. Gianin, Michael Kupper and Ludovic Tangpi
    Journal: Annales de l’Institut Henri Poincaré, 52(2):868-887, 2016.
24. "Minimal Supersolutions of BSDEs under Volatility Uncertainty"
    Authors: Samuel Drapeau, Gregor Heyne and Michael Kupper
    Journal: Stochastic Processes and Applications, 125(8):2895--2909, 2015.
25. "Dynamic Assessment Indices"
    Authors: Tomasz Bielecki, Igor Cialenco, Samuel Drapeau and Martin Karliczek
    Journal: Stochastics, 88(1):1-44, 2016.
26. "Brouwer Fixed Point Theorem in $(L^0)^d$"
    Authors: Samuel Drapeau, Michael Kupper, Martin Karliczek and Martin Streckfuß
    Journal: Fixed Point Theory and Applications:2013:301, 2013.
27. "A Fourier Approach to the Computation of CV@R and Optimized Certainty Equivalents"
    Authors: Samuel Drapeau, Michael Kupper and Antonis Papapantoleon
    Journal: Journal of Risk, 16(6):3-29, 2014.
28. "Weak Closedness of Monotone Sets of Lotteries and Robust Representation of Risk Preferences"
    Authors: Patrick Cheridito, Samuel Drapeau and Michael Kupper
    Journal: Risk Measures and Attitudes:3-9, 2013.
29. "Minimal Supersolutions of Convex BSDEs"
    Authors: Samuel Drapeau, Gregor Heyne and Michael Kupper
    Journal: Annals of Probability, 41(6):3973-4001, 2013.
30. "Risk Preferences and their Robust Representation"
    Authors: Samuel Drapeau and Michael Kupper
    Journal: Mathematics of Operations Research, 28(1):28-62, 2013.
31. "A von Neumann–Morgenstern Representation Result without Weak Continuity Assumption"
    Authors: Freddy Delbaen, Samuel Drapeau and Michael Kupper
    Journal: Journal of Mathematical Economics, 47:401-408, 2011.
32. "A Note on Robust Representations of Law-Invariant Quasiconvex Functions"
    Authors: Samuel Drapeau, Michael Kupper and Ranja Reda
    Journal: Advances in Mathematical Economics, 15:27-39, 2011.

Special Editions and Others

• "Thematic Series on Risk Measures, XVA Analysis, Capital Allocation and Central Counterparties"
  Special Issue, guest editor
  Publisher: Probability Uncertainty and Quantitative Risk, Springer, 2017

Thesis

• "Risk Preferences and their Robust Representation"
  PhD thesis, 2010
• "Dynamics of Optimized Certainty Equivalent and $\varphi$-Divergence"
  Master’s thesis, 2006

Talks

• Aug 2023: ICIAM, Tokyo, China: "On/Off Shore Currency Rate Discrepancy"
• Dec 2021: Research Seminar in Mathematics, UIC, China: "Robust Uncertainty Analysis"
• Dec 2021: Forschungsseminar: Stochastische Analysis und Stochastik der Finanzmaerkte, Humbold und TU Berlin, Germany: "Robust Uncertainty Analysis"
• Nov 2021: Workshop on Recent Advances in Financial Mathematics, University of Eonomics, Ho Chi Minh City, Vietnam: "Puzzeling Option Prices of Pegged Exchange Markets"
• Jun 2021: Joint Workshop on Mathematical Finance, Machine Learning and Statistics, NUS SJTU, NUS, Singapore: "On Detecting Spoofing Strategies in High Frequency Trading"
• Apr 2021: Mathematical Finance Seminar, Columbia University, Columbia University, New York City, USA: "On Detecting Spoofing Strategies in High Frequency Trading"
• Dec 2020: Mathematical and Finance Seminar, Fudan University, Fudan University, Shanghai, China: "On Detecting Spoofing Strategies in High Frequency Trading"
• Nov 2020: Mathematical and Computational Finance Seminar, Oxford University, Oxford University, UK, Online: "On Detecting Spoofing Strategies in High Frequency Trading"
• Nov 2020: Financial Seminar and Mini Lecture Series, Zhongnan University of Economics and Law, Wuhan: "On Detecting Spoofing Strategies in High Frequency Trading"
• Oct 2020: SIAM Activity Group on Financial Mathematics and Engineering, Virtual Seminars Series, Online: "On Detecting Spoofing Strategies in High Frequency Trading"
• Aug 2020: Probability Seminar, Suzhou University, China: "Robust Uncertainty Analysis"
• Jul 2020: Stochastic and Finance Seminar, Sydney University, Australia: "Robust Uncertainty Analysis"
• Dec 2019: Quantitative Methods in Finance, International Conference, Sydney, Australia: "Spatially Determined Optimal Price Design in a Ride Sharing Economy"
• Oct 2019: Advances in Stochastic Analysis for Handling Risks in Finance and Insurance, Centre International de Rencontres Mathematiques (CIRM), Marseille: "Computational Aspects and Sensitivity of Robust Optimization Problems"
• Jul 2019: Probability, Uncertainty and Quantitative Finance workshop, Shandong University, Weihai, China: "On Detecting Spoofing Strategies in High Frequency Trading"
• Jul 2019: 7th Asian Quantitative Finance Conference, Hanoi, Vietnam: "On Detecting Spoofing Strategies in High Frequency Trading"
• Jun 2019: Finance Seminar, NTU, NTU, Singapore: "Spatially Determined Optimal Price Design in a Ride Sharing Economy"
• Jun 2019: SIAM International Conference on Financial Engineering, Toronto, Canada: "Spatially Determined Optimal Price Design in a Ride Sharing Economy"
• Fev 2019: Conference Data Science and Finance, Siem Reap, Cambodia: "Option Prices of Pegged Exchange Rates: The HKD-USD Puzzle"
• Dec 2018: Seminar in Finance, Shandong University, Jinan, China: "Option Prices of Pegged Exchange Rates: The HKD-USD Puzzle"
• Nov 2018: Department Seminar in Statistics and Actuarial Sciences, Waterloo University, Waterloo, Canada: "Computational Aspects of Robust Optimized Certainty Equivalent and Option Pricing"
• Nov 2018: Forum: Mathematics for Industry, Fudan University, Shanghai, China: "Option Prices of Pegged Exchange Rates: The HKD-USD Puzzle"
• Jul 2018: Insurance Mathematics and Stochastic Finance Seminar, ETH University, Zurich, Switzerland: "Computational Aspects of Robust Optimized Certainty Equivalent and Option Pricing"
• Jul 2018: Stochastic Finance Seminar, Konstanz University, Konstanz, Germany: "Computational Aspects of Robust Optimized Certainty Equivalent and Option Pricing"
• Feb 2018: Stochastic Finance Seminar, Warwick University, Warwick, UK: "Computational Aspects of Robust Optimized Certainty Equivalent"
• Feb 2018: Mathematical and Computational Finance Seminar, Oxford University, Oxford, UK: "Computational Aspects of Robust Optimized Certainty Equivalent"
• Dec 2017: Quantitative Methods in Finance, International Conference, Sydney, Australia: "Computational Aspects of Robust Optimized Certainty Equivalent"
• Jul 2017: 2017 Financial Mathematics and Financial Engineering Summer School, Weihai, China: "Computational Aspects of Robust Optimized Certainty Equivalent"
• May 2017: Second Paris-Asia Conference in Quantitative Finance, Suzhou, China: "Computational Aspects of Robust Optimized Certainty Equivalent"
• Dec 2016: Quantitative Methods in Finance, International Conference, Sydney, Australia: "Portfolio Optimization under Probability and Discounting Risk"
• Jul 2016: 9th World Congress of the Bachelier Finance Society, New York City, USA: "Multivariate Shortfall Risk Allocation and Systemic Risk"
• Jun 2016: Finance and Stochastic Seminar, Shandong University, China: "Systemic Risk"
• Feb 2016: Seminaire de probabilites et mathematiques financieres, Universite d'Evry, Paris, France: "Multivariate Shortfall Risk Allocation and Systemic Risk"
• Dec 2015: Quantitative Methods in Finance, International Conference, Sydney, Australia: "Multivariate Shortfall Risk Allocation and Systemic Risk"
• Nov 2015: Informs, Annual Meeting, Philadelphia, Philadelphia, USA: "Multivariate Shortfall Risk Allocation and Systemic Risk"
• Oct 2015: Seminar at the INS, Shanghai Jiao Tong University, Shanghai, China: "Multivariate Shortfall Risk Allocation and Systemic Risk"
• Aug 2015: International Congress on Industrial and Applied Mathematics, Beijing, China: "Multivariate Shortfall Risk Allocation"
• Jul 2015: Stochastics Methods in Finance and Physics Workshop, Heraklion, Greece: "Multivariate Shortfall Risk Allocation"
• Jul 2015: Center for Interdisciplinary Research (ZIF); Seminar, Bielefeld University, Bielefeld, Germany: "Numerical Representation of Convex Preferences on Anscombe–Aumann Acts"
• Jul 2015: Berlin-Princeton-Singapore Workshop on Quantitative Finance, National University of Singapore, Singapore: "Multivariate Shortfall Risk Allocation"
• Jun 2015: Probability, Uncertainty and Quantification of Risk Conference, Shandong University, Weihai, China: "Multivariate Shortfall Risk Allocation"
• Jun 2015: Risk, Uncertainty and Decision Conference, Bocconi, Mailand, Italy: "Numerical Representation of Convex Preferences on Anscombe–Aumann Acts"
• May 2015: Mathematical Finance Seminar, Fudan, Shanghai, China: "Stability and Markov Properties of Forward-Backward Stochastic Differential Equations"
• May 2015: Shanghai Advanced Institute for Finance, SJTU, Shanghai, China: "Multivariate Risk Assessment and Monetary Risk Allocation"
• Nov 2014: Risk & Stochastics and Financial Mathematics Seminar, LSE, London, England: "Numerical Representation of Convex Preferences on Anscombe–Aumann Acts"
• Oct 2014: Seminaire de probabilites et mathematiques financieres, Universite d'Evry, Paris, France: "Minimal Super Solutions of BSDE: Hedging, Duality, Markov Property"
• Jun 2014: 8th World Congress of the Bachelier Finance Society, Brussel, Belgium: "Preference for Diversification: Different but Intricate Dimensions of Uncertainty Aversion"
• Mai 2014: Berlin-Singapore Workshop on Quantitative Finance, Berlin, Germany: "A Fourier Approach to the Computation of CV@R and Optimized Certainty Equivalents"
• Mar 2014: Workshop on Robust Techniques in Financial Economics, ETH Zurich, Switzerland: "Preference for Diversification: Different but Intricate Dimensions of Uncertainty Aversion"
• Jan 2014: Berliner Kolloquium Wahrscheinlichkeitstheorie, TU and Humboldt University Berlin, Germany: "Preference for Diversification: Different but Intricate Dimensions of Uncertainty Aversion"
• Jan 2014: De Finetti Risk Seminars, Università Bocconi - Università di Milano, Milan, Italy: "Preference for Diversification: Different but Intricate Dimensions of Uncertainty Aversion"
• Jul 2013: Workshop on Knightian Uncertainty and Risk Measures, National University of Singapore, Singapore: "Superhedging under Model Uncertainty"
• Jun 2013: International Conference on Computational Finance 2013 'Computation at the Frontiers of Science', Barcelona, Spain: "A Fourier Approach to the Computation of CV@R and Optimized Certainty Equivalents"
• Mar 2013: Workshop, Indices of Riskiness and New Risk Measures, ETH Zurich, Switzerland: "Dynamic Assessment Indices"
• Nov 2012: Workshop, Games, Model Uncertainty and Related Fields, Shandong University, Jinan, China: "Minimal Supersolutions of BSDEs, Duality and Robust Hedging"
• Aug 2012: International Symposium on Mathematical Programming, Berlin, Germany: "Complete Duality for Quasiconvex Set-Valued Functions"
• Aug 2012: Conference, Set Optimization Meets Finance, Martin-Luther University, Halle Wittenberg, Germany: "Complete Duality for Quasiconvex Set-Valued Functions"
• Jun 2012: Conference, BSDEs, Numerics and Finance, Oxford University, UK: "Minimal Supersolutions of Backwards Stochastics Differential Equations and Robust Hedging"
• Jun 2012: 7th World Congress of the Bachelier Finance Society, Sydney, Australia: "Minimal Supersolutions of Backwards Stochastics Differential Equations and Robust Hedging"
• Mai 2012: Mathematics Seminar, Biccoca University, Milan, Italy: "Incomplete Preferences and Set Valued Complete Duality"
• Jan 2012: Colloquium, Versicherungs- und Finanzmathematik, Leibniz University Hannover, Germany: "Minimal Supersolutions of Backwards Stochastics Differential Equations and Robust Hedging"
• Nov 2011: Colloquium, Illinois Institut of Technology Chicago, USA: "Minimal Supersolutions of Convex BSDEs and Robust Extensions"
• Jul 2011: International Conference on Mathematical Finance and Economics, Istanbul, Turkey: "Incomplete (Quasi)Convex Preferences and their Robust Representation"
• Feb 2011: Berlin Mathematical School Days 2011, Berlin, Germany: "Risk Preferences and their Robust Representation"
• Dec 2010: Colloquium, Illinois Institut of Technology Chicago, USA: "Risk Preferences and their Robust Representation"
• Dec 2010: SIAM Conference on Financial Mathematics and Engineering, San Francisco, USA: "Risk Preferences and their Robust Representation"
• Jul 2010: Conference, Risk, Uncertainty and Decision, Paris, France: "Risk Preferences and their Robust Representation"
• Jun 2010: 6th World Congress of the Bachelier finance society, Toronto, Canada: "Risk Preferences and their Robust Representation"
• Mai 2010: Mathematic and Economic Seminar, Hausdorff Center for Mathematics, Bonn University, Germany: "Risk Preferences and their Robust Representation"
• Mai 2010: The Fifth General Conference on Advanced Mathematical Methods in Finance, Bled, Slovenia: "Risk Preferences and their Robust Representation"
• Dec 2009: Conference, Quantitative Methods in Finance Conference, Sydney, Australia: "Risk Preferences and their Robust Representation"
• Mar 2009: Workshop, Finance and Insurance ITN, Jena, Germany: "Conditional and Dynamic Preferences"