Research


Publications and Preprints

  1. "Resolving a Clearing Member's Default, A Radner Equilibrium Approach"
    Authors: Dorinel Bastide, Stéphane Crépey, Samuel Drapeau and Mekonnen Tadese
    Journal: Preprint, 2023.
  2. "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.
  3. "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.
  4. "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.
  5. "$q$-Moment Estimates for the Singular $p$-Laplace Equation and Applications"
    Authors: Liming Yin and Samuel Drapeau
    Journal: Nonlinear Analysis, 211, 2021.
  6. "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.
  7. "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.
  8. "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.
  9. "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.
  10. "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.
  11. "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.
  12. "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.
  13. "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.
  14. "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.
  15. "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.
  16. "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).
  17. "Numerical Representation of Convex Preferences on Anscombe–Aumann Acts"
    Authors: Patrick Cheridito, Freddy Delbaen, Samuel Drapeau and Michael Kupper
    Journal: Preprint, 2015.
  18. "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.
  19. "Conditional Preferences and their Numerical Representations"
    Authors: Samuel Drapeau and Asgar Jamneshan
    Journal: Journal of Mathematical Economics, 63:106--118, 2016.
  20. "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.
  21. "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.
  22. "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.
  23. "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.
  24. "Dynamic Assessment Indices"
    Authors: Tomasz Bielecki, Igor Cialenco, Samuel Drapeau and Martin Karliczek
    Journal: Stochastics, 88(1):1-44, 2016.
  25. "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.
  26. "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.
  27. "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.
  28. "Minimal Supersolutions of Convex BSDEs"
    Authors: Samuel Drapeau, Gregor Heyne and Michael Kupper
    Journal: Annals of Probability, 41(6):3973-4001, 2013.
  29. "Risk Preferences and their Robust Representation"
    Authors: Samuel Drapeau and Michael Kupper
    Journal: Mathematics of Operations Research, 28(1):28-62, 2013.
  30. "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.
  31. "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

Thesis

Talks