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Samuel Drapeau
Samuel Drapeau
Verified email at saif.sjtu.edu.cn
Title
Cited by
Cited by
Year
Risk preferences and their robust representation
S Drapeau, M Kupper
Mathematics of Operations Research 38 (1), 28-62, 2013
1642013
Multivariate shortfall risk allocation and systemic risk
Y Armenti, S Crépey, S Drapeau, A Papapantoleon
SIAM Journal on Financial Mathematics 9 (1), 90-126, 2018
812018
Computational aspects of robust optimized certainty equivalents and option pricing
D Bartl, S Drapeau, L Tangpi
Mathematical Finance 30 (1), 287-309, 2020
552020
The algebra of conditional sets and the concepts of conditional topology and compactness
S Drapeau, A Jamneshan, M Karliczek, M Kupper
Journal of Mathematical Analysis and Applications 437 (1), 561-589, 2016
502016
Minimal supersolutions of convex BSDEs
S Drapeau, G Heyne, M Kupper
382013
Sensitivity analysis of Wasserstein distributionally robust optimization problems
D Bartl, S Drapeau, J Obłój, J Wiesel
Proceedings of the Royal Society A 477 (2256), 20210176, 2021
37*2021
Dynamic assessment indices
TR Bielecki, I Cialenco, S Drapeau, M Karliczek
Stochastics 88 (1), 1-44, 2016
302016
Dual representation of minimal supersolutions of convex BSDEs
S Drapeau, M Kupper, E Rosazza Gianin, L Tangpi
292016
A fourier approach to the computation of cv@ r and optimized certainty equivalents
S Drapeau, M Kupper, A Papapantoleon
arXiv preprint arXiv:1212.6732, 2012
262012
Brouwer fixed point theorem in
S Drapeau, M Karliczek, M Kupper, M Streckfuß
Fixed Point Theory and Applications 2013, 1-14, 2013
182013
A von Neumann–Morgenstern representation result without weak continuity assumption
F Delbaen, S Drapeau, M Kupper
Journal of Mathematical Economics 47 (4-5), 401-408, 2011
152011
On detecting spoofing strategies in high-frequency trading
X Tao, A Day, L Ling, S Drapeau
Quantitative Finance 22 (8), 1405-1425, 2022
112022
A Fenchel-Moreau theorem for -valued functions
S Drapeau, A Jamneshan, M Kupper
arXiv preprint arXiv:1708.03127, 2017
11*2017
Conditional preference orders and their numerical representations
S Drapeau, A Jamneshan
Journal of Mathematical Economics 63, 106-118, 2016
112016
Relative bound and asymptotic comparison of expectile with respect to expected shortfall
M Tadese, S Drapeau
Insurance: Mathematics and Economics 93, 387-399, 2020
8*2020
An FBSDE approach to market impact games with stochastic parameters
S Drapeau, P Luo, A Schied, D Xiong
arXiv preprint arXiv:2001.00622, 2019
82019
Complete duality for quasiconvex and convex set-valued functions
S Drapeau, AH Hamel, M Kupper
Set-Valued and Variational Analysis 24, 253-275, 2016
82016
Stability and Markov property of forward backward minimal supersolutions
S Drapeau, C Mainberger
72016
Stochastic order-monotone uncertainty-averse preferences
P Cheridito, F Delbaen, S Drapeau, M Kupper
Available at SSRN 2572745, 2015
7*2015
A note on robust representations of law-invariant quasiconvex functions
S Drapeau, M Kupper, R Reda
Advances in Mathematical Economics, 27-39, 2011
52011
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