Drapeau Samuel，上海交通大學數學科學學院副教授，上海交通大學上海高級金融學院兼聘教授，上海交通大學數學科學學院量化金融研究中主任。
基本介紹
- 畢業院校：柏林洪堡大學數學
- 學位/學歷：博士
- 專業方向：隨機學和金融數學
- 外文名：Drapeau Samuel
人物簡介,人物經歷,研究領域,期刊論文,所授課程,
人物簡介
Samuel Drapeau 是上海交通大學上海高級金融學院兼聘教授，並擔任上海交通大學數學科學學院副教授。
Drapeau 教授從法國雷恩第一大學數學專業畢業後在德國擔任數年IT經理。在柏林洪堡大學獲得數學（隨機學與金融數學）博士學位後回到學術界，隨後成為柏林關鍵技術數學研究中心的研究員，從概念和監管的角度研究風險量化。
Drapeau 教授的研究興趣包含從清算所的系統性風險量化，套用於金融的隨機分析和最優運輸，到高頻交易領域。在系統風險研究方面與國際清算所 LCH Clearnet 合作，並與多倫多證券交易所TMX合作從事高頻交易欺詐檢測方面的研究。
Drapeau 教授的研究成果發表於諸多一流期刊，如《數學金融學》、《運籌學數學》、《計量金融學》和《英國皇家學會會刊》等。
人物經歷
博士學位：柏林洪堡大學數學（隨機學和金融數學），2006~2010
碩士學位：柏林洪堡大學數學（隨機學和金融數學），2004~2006
碩士學位：雷恩第一大學數學，1998~1999
學士學位：雷恩第一大學數學，1997~1998
研究領域
隨機凸分析、決策理論、風險與不確定性、數據分析。
期刊論文
1. Delbaen, Fredd, Samuel Drapeau, and Michael Kupper. 2011. A von Neumann–Morgenstern Representation Result without Weak Continuity Assumption, Journal of Mathematical Economics.
2. Drapeau, Samuel, Michael Kupper, Martin Karliczek, and Martin Streckfuß. 2013. Brouwer Fixed Point Theorem in (L0)d, Journal of Fixed Point Theory and Applications.
3. Drapeau, Samuel, and Michael Kupper. 2013. Risk Preferences and their Robust Representation, Mathematics of Operations Research.
4. Drapeau, Samuel, Gregor Heyne, and Michael Kupper. 2013. Minimal Supersolutions of Convex BSDEs, Annals of Probability.
5. Drapeau, Samuel, Michael Kupper, and Antonis Papapantoleon. 2014. A Fourier Approach to the Computation of CV@R and Optimized Certainty Equivalents, Journal of Risk.
6. Cheridito, Patrick, Freddy Delbaen, Samuel Drapeau, and Michael Kupper. 2015. Numerical Representation of Convex Preferences Over Anscombe-Aumann Acts, Ssrn Electronic Journal.
7. Bielecki, Tomasz, Igor Cialenco, Samuel Drapeau, and Martin Karliczek. 2015. Dynamic Assessment Indices, Stochastics-An International Journal of Probability and Stochastic Processes.
8. Drapeau, Samuel, Gregor Heyne, and Michael Kupper. 2015. Minimal Supersolutions of BSDEs under Volatility Uncertainty, Stochastic Processes and Their Applications.
9. Drapeau, Samuel, Andreas H. Hamel, and Michael Kupper. 2015. Complete Duality for Convex and Quasiconvex Set-Valued Functions, Set-Valued and Variational Analysis.
10. Drapeau, Samuel, and Asgar Jamneshan. 2016. Conditional preference orders and their numerical representations, Journal of Mathematical Economics.
11. Drapeau, Samuel, and Christoph Mainberger. 2016. Stability and Markov Property of Forward Backward Minimal Supersolutions, Electronic Journal of Probability.
12. 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.
13. 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.
14. Armenti, Yannick, Stéphane Crépey, Samuel Drapeau, and Antonis Papapantoleon. 2018. Multivariate Shortfall Risk Allocation and Systemic Risk, Siam Journal on Financial Mathematics.
15. Drapeau, Samuel, Asgar Jamneshan, and Michael Kupper. 2019. A Fenchel-Moreau theorem for L¯0-valued functions, Journal of Convex Analysis.
16. Drapeau, Samuel, Peng Luo, and Dewen Xiong. 2020. Characterization of fully coupled FBSDE in terms of portfolio optimization, Electronic Journal of Probability.
17. Bartl, Daniel, Samuel Drapeau, and Ludovic Tangpi. 2020. Computational Aspects of Robust Optimized Certainty Equivalents and Option Pricing, Mathematical Finance.
18. Tadese, Mekonnen, and Samuel Drapeau. 2020. Relative Bound and Asymptotic Comparison of Expectile with Respect to Expected Shortfall, Insurance Mathematics & Economics.
19. Yin, Liming, and Samuel Drapeau. 2021. q-Moment Estimates for the Singular p-Laplace Equation and Applications, Nonlinear Analysis-Theory Methods & Applications.
20. Drapeau, Samuel, Tan Wang, and Tao Wang. 2021. How Rational Are the Option Prices of the Hong Kong Dollar Exchange Rate?, Journal of Derivatives.
21. Tadese, Mekonnen, and Samuel Drapeau. 2021. Dual Representation of Expectile-Based Expected Shortfall and its Properties, Probability, Uncertainty and Quantitative Risk.
22. 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.
23. Drapeau, Samuel, and Yunbo Zhang. 2021. Pricing and Hedging Performance on Pegged FX Markets Based on a Regime Switching Model, Quantitative Finance.
24. 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.
25. Tao, Xuan, Andrew Day, Lan Ling, and Samuel Drapeau. 2022. On Detecting Spoofing Strategies in High Frequency Trading, Quantitative Finance.
26. 陶璇，王天祥，Samuel Drapeau，林一青. 2023. 高頻金融市場套用人工智慧的挑戰, 人工智慧.
27. Bastide, Dorinel, Stéphane Crépey, Samuel Drapeau, and Mekonnen Tadese. Derivatives Risks as Costs in a One-Period Network Model, Frontiers of Mathematical Finance.
28. Drapeau, Samuel, and Liming Yin. Extremal of Log-Sobolev Functionals and Li-Yau Estimate on RCD∗(K,N) Spaces, Potential Analysis.
29. Zhang, Yunbo, and Samuel Drapeau. 2022. On Model Robustness of the Regime Switching Approach for Pegged Foreign Exchange Markets, Quantitative Finance.
所授課程
高級計算和編程方法、金融科技：算法交易和區塊鏈技術、隨機過程、金融數學。
