Samuel Drapeau

Shanghai University of Finance and Economics — China

Decision Sciences · Social Sciences

10h-index436citations72works0.32yr avg
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Research Topics

Risk and Portfolio Optimization(30), Stochastic processes and financial applications(27), Financial Risk and Volatility Modeling(16), Economic theories and models(11), Monetary Policy and Economic Impact(10)

Publications72 total

Comparison of Tax and Cap-and-Trade Carbon Pricing Schemes
arXiv (Cornell University)·2025Open Access
Resolving a clearing member’s default a Radner equilibrium approach
Mathematics and Financial Economics·2025Open Access
Évaluation d’un dispositif de pharmacie clinique territorial commun ville–hôpital par les pharmaciens d’officine
Le Pharmacien Clinicien·2024Open Access
Evolution of Chinese futures markets from a high frequency perspective
Economics and Politics·2024· 1 cited
Derivatives’ Risks as Costs in a One-Period Network Model
WORLD SCIENTIFIC eBooks·2023· 3 cited
Resolving a Clearing Member's Default, A Radner Equilibrium Approach
arXiv (Cornell University)·2023Open Access
Extremal of Log-Sobolev Functionals and Li-Yau Estimate on $$\textrm{RCD}^*(K,N)$$ Spaces
Potential Analysis·2023· 1 cited
[Monumentum] La Flèche Saint-Michel
SPIRE - Sciences Po Institutional REpository·2023
Derivatives risks as costs in a one-period network model
Frontiers of Mathematical Finance·2023· 2 citedOpen Access
Extremal of Log-Sobolev Functionals and Li-Yau Estimate on $\text{RCD}^*(K,N)$ Spaces
arXiv (Cornell University)·2022Open Access
On detecting spoofing strategies in high-frequency trading
Quantitative Finance·2022· 14 cited
On model robustness of the regime switching approach for pegged foreign exchange markets
Quantitative Finance·2022· 3 cited
Sensitivity analysis of Wasserstein distributionally robust optimization problems
Proceedings of the Royal Society A Mathematical Physical and Engineering Sciences·2021· 21 citedOpen Access
<mml:math xmlns:mml="http://www.w3.org/1998/Math/MathML" display="inline" id="d1e38" altimg="si9.svg"><mml:mi>q</mml:mi></mml:math>-moment estimates for the singular <mml:math xmlns:mml="http://www.w3.org/1998/Math/MathML" display="inline" id="d1e43" altimg="si10.svg"><mml:mi>p</mml:mi></mml:math>-Laplace equation and applications
Nonlinear Analysis·2021
$q$-Moment Estimates for the Singular $p$-Laplace Equation and Applications
arXiv (Cornell University)·2021Open Access
An FBSDE approach to market impact games with stochastic parameters
Probability Uncertainty and Quantitative Risk·2021· 5 citedOpen Access
Dual representation of expectile-based expected shortfall and its properties
Probability Uncertainty and Quantitative Risk·2021· 1 cited
Model Robustness of the Regime Switching Approach for the Usd-Hkd Pegged Foreign Exchange Market
SSRN Electronic Journal·2021Open Access
How Rational Are the Option Prices of the Hong Kong Dollar Exchange Rate?
The Journal of Derivatives·2020· 6 cited
On Detecting Spoofing Strategies in High Frequency Trading
arXiv (Cornell University)·2020Open Access
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Frequent Co-authors

Michael Kupper(19), Mekonnen Tadese(9), Stéphane Crépey(7), Asgar Jamneshan(4), Martin Karliczek(4), Ludovic Tangpi(4), Daniel Bartl(4), Antonis Papapantoleon(4), Dorinel Bastide(4), Tao Xuan(3), Freddy Delbaen(3), Tomasz R. Bielecki(2), Igor Cialenco(2), Emanuela Rosazza Gianin(2), Jan Obłój(2), Johannes Wiesel(2), Andrew Day(2), Ling Lan(2), Tao Wang(2), Yannick Armenti(2)