CV


Personal Details

China Academy of Finance Research and School of Mathematical Sciences
Shanghai Jiao Tong University
800 Dongchuan Road
Shanghai, 200240 China

Mail: sdrapeau@saif.sjtu.edu.cn
Tel: +86-21-6293-3586


Education

Oct 2006 — April 2010
Doctor in Mathematics at the Humboldt University Berlin
Thesis: Risk Preferences and their Robust Representation
Supervisors: Hans Föllmer and Michael Kupper
Member of the IRTG “SMCP” (funded student) and the Berlin Mathematical School
Apr 2004 — May 2006
Diplom Mathematics at the Humboldt University Berlin
Major: Stochastic and financial mathematics
Minor: Economics
Sep 1999 — June 2000
Preparatory Class Agrégation Math, Université de Rennes I, France.
Sep 1998 — Sep 1999
Maîtrise de Mathématique at Magistère MMMI, Université de Rennes I, France.
Sep 1997 — Sep 1998
License de Mathématique, Université de Rennes I, France.
Sep 1995 — Sep 1997
Preparatory School (Advanced Mathematics), Lycée Alain René Lesage, Vannes, France.

Employment and Academic Positions

Apr 2015 — Now
Associate Professor — (Distinguished Researcher Fellow) — at Shanghai Jiao Tong University
Nov 2013 — Mar 2015
Scientific Assistant at the Technical University Berlin, Germany.
Oct 2009 — Oct 2013
Scientific Assistant at the Humboldt University Berlin Germany DFG research center Matheon, Project E11 “ Beyond Value at Risk: Dynamic Risk Measures and Applications”
Jun 2001 — Apr 2004
IT Manager for the German subsidiary of Demathieu and Bard, Germany.

Teaching (Since 2013)

SS 2021
MQF - Advanced Computational and Programing Methods
Selected Topics in Fintech: Algo Trading and Blockchain Technology
Stochastic Processes
WS 2020
MQF - Basic Math for Finance
Financial Mathematics
SS 2020
MQF - Selected Topics in Fintech: Algo Trading and Blockchain Technology
Financial Statistics
Selected Topics in Fintech: Algo Trading and Blockchain Technology
WS 2019
MQF - Basic Math for Finance
Financial Mathematics
SS 2019
Backward Stochastic Differential Equations
MQF - Python and Data Analysis
Financial Mathematics
Financial Statistics
Stochastic Processes
SS 2018
Stochastic Processes
Risk Management and Actuarial Sciences
Financial Mathematics
SS 2017
Risk Management and Actuarial Sciences
Stochastic Processes
Foreign Exchange Derivatives: A Theoretical and Computational Introduction
WS 2016/2017
Financial Mathematics
Measure, Integration and Probability Theory
SS 2016
Backward Stochastic Differential Equations
Risk Management
Seminar Financial Mathematics
WS 2015/2016
Financial Mathematics
Stochastic Processes
SS 2014
(Super)Solutions of Backward Stochastic Differential Equations
WS 2013/2014
Risk Preferences: Quantification — Robustness — Dynamic

Military Service

Oct 2000 – May 2001
Military Service, Brettville sur Odon, France.

Stay Abroad

Apr 2012 — Jun 2012
Visiting Scholar at Bocconi University Milan, Italy.
Sep 2007 — Jan 2008
Visiting PhD Student at the ETH Zürich, Switzerland

Publications and Preprints

  1. "Model Robustness of the Regime Switching Approach for the Usd-Hkd Pegged Foreign Exchange Market"
    Authors: Samuel Drapeau and Yunbo Zhang
    Journal: Preprint 03/2021, 2021.
  2. "$q$-Moment Estimates for the Singular $p$-Laplace Equation and Applications"
    Authors: Liming Ying and Samuel Drapeau
    Journal: Preprint 03/2021, 2021.
  3. "On Detecting Spoofing Strategies in High Frequency Trading"
    Authors: Xuan Tao, Andrew Day, Lan Ling and Samuel Drapeau
    Journal: Preprint 09/2020, 2020.
  4. "Robust Uncertainty Sensitivity Analysis"
    Authors: Daniel Bartl, Samuel Drapeau, Jan Obloj and Johannes Wiesel
    Journal: Preprint 06/2020, 2020.
  5. "An FBSDE Approach to Market Impact Games with Stochastic Parameters"
    Authors: Samuel Drapeau, Peng Luo, Alexander Schied and Dewen Xiong
    Journal: Preprint 01/2020, 2020.
  6. "Dual Representation of Expectile Based Expected Shortfall and its Properties"
    Authors: Samuel Drapeau and Mekonnen Tadese
    Journal: Preprint 11/2019, 2019.
  7. "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.
  8. "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.
  9. "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.
  10. "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.
  11. "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.
  12. "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.
  13. "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).
  14. "Numerical Representation of Convex Preferences on Anscombe–Aumann Acts"
    Authors: Patrick Cheridito, Freddy Delbaen, Samuel Drapeau and Michael Kupper
    Journal: Preprint, 2015.
  15. "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.
  16. "Conditional Preferences and their Numerical Representations"
    Authors: Samuel Drapeau and Asgar Jamneshan
    Journal: Journal of Mathematical Economics, 63:106--118, 2016.
  17. "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.
  18. "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.
  19. "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.
  20. "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.
  21. "Dynamic Assessment Indices"
    Authors: Tomasz Bielecki, Igor Cialenco, Samuel Drapeau and Martin Karliczek
    Journal: Stochastics, 88(1):1-44, 2016.
  22. "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.
  23. "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.
  24. "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.
  25. "Minimal Supersolutions of Convex BSDEs"
    Authors: Samuel Drapeau, Gregor Heyne and Michael Kupper
    Journal: Annals of Probability, 41(6):3973-4001, 2013.
  26. "Risk Preferences and their Robust Representation"
    Authors: Samuel Drapeau and Michael Kupper
    Journal: Mathematics of Operations Research, 28(1):28-62, 2013.
  27. "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.
  28. "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.

Thesis


Talks