DRAPEAU, Samuel

联系方式:sdrapeau@saif.sjtu.edu.cn
秘书:丁雅倩
邮箱:yqding@saif.sjtu.edu.cn

教育背景:
博士学位:柏林洪堡大学数学(随机学和金融数学),2006~2010
硕士学位:柏林洪堡大学数学(随机学和金融数学),2004~2006
硕士学位:雷恩第一大学数学,1998~1999
学士学位:雷恩第一大学数学,1997~1998
教授介绍:

Samuel Drapeau 是上海交通大学上海高级金融学院兼聘教授,并担任上海交通大学数学科学学院副教授。

Drapeau 教授从法国雷恩第二大学数学专业毕业后在德国担任数年IT经理。他在柏林洪堡大学获得数学(随机学与金融数学)博士学位后回到学术界,随后成为柏林关键技术数学研究中心的研究员,从概念和监管的角度研究风险量化。

Drapeau 教授的研究兴趣包含从清算所的系统性风险量化,应用于金融的随机分析和最优运输,到高频交易领域。他在系统风险研究方面与国际清算所 LCH Clearnet 合作,并与多伦多证券交易所TMX合作从事高频交易欺诈检测方面的研究。他最近涉足与亚洲市场息息相关的新话题,如港元/美元挂钩外汇或离岸人民币。

Drapeau 教授的研究成果发表于诸多一流期刊,如《数学金融学》、《运筹学数学》、《计量金融学》和《英国皇家学会会刊》等。

随机凸分析、决策理论、风险与不确定性、数据分析。
1. Zhang, Yunbo, and Samuel Drapeau, 2022, On Model Robustness of the Regime Switching Approach for Pegged Foreign Exchange Markets, Quantitative Finance.

2. Tao, Xuan, Andrew Day, Lan Ling, and Samuel Drapeau, 2022, On Detecting Spoofing Strategies in High Frequency Trading, Quantitative Finance.

3. Bartl, Daniel, Samuel Drapeau, Jan Obloj, and Johannes Wiesel, 2021, Sensitivity Analysis of Wasserstein Distributionally Robust Optimization Problems, Proceedings of the Royal Society A-Mathematical Physical and Engineering Sciences.

4. Drapeau, Samuel, and Yunbo Zhang, 2021, Pricing and Hedging Performance on Pegged FX Markets Based on a Regime Switching Model, Quantitative Finance.

5. Drapeau, Samuel, Peng Luo, Alexander Schied and Dewen Xiong, 2021, An FBSDE approach to market impact games with stochastic parameters, Probability, Uncertainty and Quantitative Risk.

6. Tadese, Mekonnen, and Samuel Drapeau, 2021, Dual Representation of Expectile-Based Expected Shortfall and its Properties, Probability, Uncertainty and Quantitative Risk.

7. Drapeau, Samuel, Tan Wang, and Tao Wang, 2021, How Rational Are the Option Prices of the Hong Kong Dollar Exchange Rate?, Journal of Derivatives.

8. Yin, Liming, and Samuel Drapeau, 2021, q-Moment Estimates for the Singular p-Laplace Equation and Applications, Nonlinear Analysis-Theory Methods & Applications.

9. Tadese, Mekonnen, and Samuel Drapeau, 2020, Relative Bound and Asymptotic Comparison of Expectile with Respect to Expected Shortfall, Insurance Mathematics & Economics.

10. Bartl, Daniel, Samuel Drapeau, and Ludovic Tangpi, 2020, Computational Aspects of Robust Optimized Certainty Equivalents and Option Pricing, Mathematical Finance.

11. Drapeau, Samuel, Peng Luo, and Dewen Xiong, 2020, Characterization of fully coupled FBSDE in terms of portfolio optimization, Electronic Journal of Probability.

12. Drapeau, Samuel, Asgar Jamneshan, and Michael Kupper, 2019, A Fenchel-Moreau theorem for L¯0-valued functions, Journal of Convex Analysis.

13. Armenti, Yannick, Stéphane Crépey, Samuel Drapeau, and Antonis Papapantoleon, 2018, Multivariate Shortfall Risk Allocation and Systemic Risk, Siam Journal on Financial Mathematics.

14. Drapeau, Samuel, and Christoph Mainberger, 2016, Stability and Markov Property of Forward Backward Minimal Supersolutions, Electronic Journal of Probability.

15. Drapeau, Samuel, and Asgar Jamneshan, 2016, Conditional preference orders and their numerical representations, Journal of Mathematical Economics.

16. Drapeau, Samuel, Asgar Jamneshan, Martin Karliczek, and Michael Kupper, 2016, The Algebra of Conditional Sets and the Concepts of Conditional Topology and Compactness, Journal of Mathematical Analysis and Applications.

17. Drapeau, Samuel, Emmanuela R. Gianin, Michael Kupper, and Ludovic Tangpi, 2016, Dual Representation of Minimal Supersolutions of Convex BSDEs, Annales De L Institut Henri Poincare-Probabilites Et Statistiques.

18. Drapeau, Samuel, Gregor Heyne, and Michael Kupper, 2015, Minimal Supersolutions of BSDEs under Volatility Uncertainty, Stochastic Processes and Their Applications.

19. Bielecki, Tomasz, Igor Cialenco, Samuel Drapeau, and Martin Karliczek, 2015, Dynamic Assessment Indices, Stochastics-An International Journal of Probability and Stochastic Processes.

20. Drapeau, Samuel, Andreas H. Hamel, and Michael Kupper, 2015, Complete Duality for Convex and Quasiconvex Set-Valued Functions, Set-Valued and Variational Analysis.

21. Cheridito, Patrick, Freddy Delbaen, Samuel Drapeau, and Michael Kupper, 2015, Numerical Representation of Convex Preferences Over Anscombe-Aumann Acts, Ssrn Electronic Journal.

22. Drapeau, Samuel, Michael Kupper, and Antonis Papapantoleon, 2014, A Fourier Approach to the Computation of CV@R and Optimized Certainty Equivalents, Journal of Risk.

23. Drapeau, Samuel, Gregor Heyne, and Michael Kupper, 2013, Minimal Supersolutions of Convex BSDEs, Annals of Probability.

24. Drapeau, Samuel, and Michael Kupper, 2013, Risk Preferences and their Robust Representation, Mathematics of Operations Research.

25. Drapeau, Samuel, Michael Kupper, Martin Karliczek, and Martin Streckfuß, 2013, Brouwer Fixed Point Theorem in (L0)d, Journal of Fixed Point Theory and Applications.

26. Delbaen, Fredd, Samuel Drapeau, and Michael Kupper, 2011, A von Neumann–Morgenstern Representation Result without Weak Continuity Assumption, Journal of Mathematical Economics.

高级计算和编程方法、金融科技:算法交易和区块链技术、随机过程、金融数学。