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
-
"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.
-
"$q$-Moment Estimates for the Singular $p$-Laplace Equation and Applications"
Authors:
Liming Ying and
Samuel Drapeau
Journal: Preprint 03/2021, 2021.
-
"On Detecting Spoofing Strategies in High Frequency Trading"
Authors:
Xuan Tao,
Andrew Day,
Lan Ling and
Samuel Drapeau
Journal: Preprint 09/2020, 2020.
-
"Robust Uncertainty Sensitivity Analysis"
Authors:
Daniel Bartl,
Samuel Drapeau,
Jan Obloj and
Johannes Wiesel
Journal: Preprint 06/2020, 2020.
-
"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.
-
"Dual Representation of Expectile Based Expected Shortfall and its Properties"
Authors:
Samuel Drapeau and
Mekonnen Tadese
Journal: Preprint 11/2019, 2019.
-
"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.
-
"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.
-
"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.
-
"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.
-
"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.
-
"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.
-
"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).
-
"Numerical Representation of Convex Preferences on Anscombe–Aumann Acts"
Authors:
Patrick Cheridito,
Freddy Delbaen,
Samuel Drapeau and
Michael Kupper
Journal: Preprint, 2015.
-
"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.
-
"Conditional Preferences and their Numerical Representations"
Authors:
Samuel Drapeau and
Asgar Jamneshan
Journal: Journal of Mathematical Economics, 63:106--118, 2016.
-
"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.
-
"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.
-
"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.
-
"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.
-
"Dynamic Assessment Indices"
Authors:
Tomasz Bielecki,
Igor Cialenco,
Samuel Drapeau and
Martin Karliczek
Journal: Stochastics, 88(1):1-44, 2016.
-
"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.
-
"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.
-
"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.
-
"Minimal Supersolutions of Convex BSDEs"
Authors:
Samuel Drapeau,
Gregor Heyne and
Michael Kupper
Journal: Annals of Probability, 41(6):3973-4001, 2013.
-
"Risk Preferences and their Robust Representation"
Authors:
Samuel Drapeau and
Michael Kupper
Journal: Mathematics of Operations Research, 28(1):28-62, 2013.
-
"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.
-
"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
-
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"