• DRAPEAU, Samuel

    Affiliate Professor

  • Email:

    sdrapeau@saif.sjtu.edu.cn

  • 　　

    　　

  • Support Staff:

    Yaqian Ding

  • Support Staff Email:

    yqding@saif.sjtu.edu.cn

  • Research Interests

    Stochastic and Convex Analysis, Decision Theory, Risk and Uncertainty, Data Analysis.

Samuel Drapeau is an Affiliate Professor at Shanghai Advanced Institute of Finance (SAIF), and an Associate Professor at School of Mathematical Sciences, Shanghai Jiao Tong University in China.

After graduation in pure Mathematics at Rennes I University France, he worked several years in Germany as an IT Manager. He came back to the Academic by completing a PhD in Mathematics (Stochastics and Financial Mathematics) at Humboldt University in Berlin where he subsequently was a research fellow in the excellence cluster Matheon working on Risk Quantification from a conceptual and regulatory viewpoint.

His research interests range from systemic risk quantification in clearing houses, stochastic analysis and optimal transport applied to finance, to high frequency trading. He collaborated with the international clearing house LCH Clearnet on systemic risk as well as with the Toronto stock exchange TMX for fraud detection in high frequency trading. He recently engages in new topics related to Asia market specificities such as HKD/USD pegged Foreign Exchanges or On-Offshore RMB.

He published his work in numerous leading Journals in his field (Mathematical Finance, Mathematics of Operations Research, Quantitative Finance, and Proceedings of the Royal Society A…).


Journal Publications

1. Bastide, Dorinel, Stéphane Crépey, Samuel Drapeau, and Mekonnen Tadese, 2025, Resolving a clearing member’s default a Radner equilibrium approach, Mathematics and Financial Economics.

2. Li, Zhengqiang, Tao Wang, Samuel Drapeau, and Xuan Tao, 2024, Evolution of Chinese futures markets from a high frequency perspective, Economics and Politics.

3. Drapeau, Samuel, and Liming Yin, 2023, Extremal of Log-Sobolev Functionals and Li-Yau Estimate on RCD ∗(K, N) Spaces, Potential Analysis.

4. Bastide, Dorinel, Stéphane Crépey, Samuel Drapeau, and Mekonnen Tadese, 2023, DERIVATIVES RISKS AS COSTS IN A ONE-PERIOD NETWORK MODEL, Frontiers of Mathematical Finance.

5. 陶璇, 王天祥, DrapeauSamuel, 林一青, 2023, 高频金融市场应用人工智能的挑战, 人工智能.

6. Tao, Xuan, Andrew Day, Lan Ling, and Samuel Drapeau, 2022, On detecting spoofing strategies in high-frequency trading, Quantitative Finance.

7. Zhang, Yunbo, and Samuel Drapeau, 2022, On model robustness of the regime switching approach for pegged foreign exchange markets, Quantitative Finance.

8. Drapeau, Samuel, Tan Wang, and Tao Wang, 2021, How rational are the option prices of the Hong Kong dollar exchange rate?, Journal of Derivatives.

9. Zhang, Yunbo, and Samuel Drapeau, 2021, Pricing and hedging performance on pegged FX markets based on a regime switching model, Quantitative Finance.

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

11. Tadese, Mekonnen, and Samuel Drapeau, 2021, Dual representation of expectile-based expected shortfall and its properties, Probability, Uncertainty and Quantitative Risk.

12. Drapeau, Samuel, and Liming Yin, 2021, q-moment estimates for the singular p-Laplace equation and applications, Nonlinear Analysis, Theory, Methods and Applications.

13. 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.

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

15. Tadese, Mekonnen, and Samuel Drapeau, 2020, Relative bound and asymptotic comparison of expectile with respect to expected shortfall, Insurance: Mathematics and Economics.

16. Bartl, Daniel, Samuel Drapeau, and Ludovic Tangpi, 2020, Computational aspects of robust optimized certainty equivalents and option pricing, Mathematical Finance.

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

18. Armenti, Yannick, Stéphane Crépey, Samuel Drapeau, and Antonis Papapantoleon, 2018, Multivariate shortfall risk allocation and systemic risk, SIAM Journal on Financial Mathematics.

19. Drapeau, Samuel, and Christoph Mainberger, 2016, Stability and Markov property of forward backward minimal supersolutions, Electronic Journal of Probability.

20. Drapeau, Samuel, Andreas H. Hamel, and Michael Kupper, 2016, Complete Duality for Quasiconvex and Convex Set-Valued Functions, Set-Valued and Variational Analysis.

21. Drapeau, Samuel, Michael Kupper, Emanuela Rosazza Gianin, and Ludovic Tangpi, 2016, Dual representation of minimal supersolutions of convex BSDEs, Annales de l'institut Henri Poincare (B) Probability and Statistics.

22. Bielecki, Tomasz R., Igor Cialenco, Samuel Drapeau, and Martin Karliczek, 2016, Dynamic assessment indices, Stochastics.

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

24. 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.

25. Drapeau, Samuel, Gregor Heyne, and Michael Kupper, 2015, Minimal supersolutions of BSDEs under volatility uncertainty, Stochastic Processes and their Applications.

26. Drapeau, Samuel, Michael Kupper, and Antonis Papapantoleon, 2014, A Fourier approach to the computation of conditional value-at-risk and optimized certainty equivalents, Journal of Risk.

27. Drapeau, Samuel, Gregor Heyne, and Michael Kupper, 2013, Minimal supersolutions of convex bsdes, Annals of Probability.

28. Drapeau, Samuel, Martin Karliczek, Michael Kupper, and Martin Streckfuß, 2013, Brouwer fixed point theorem in (L0)d, Fixed Point Theory and Algorithms for Sciences and Engineering.

29. Drapeau, Samuel, and Michael Kupper, 2013, Risk preferences and their robust representation, Mathematics of Operations Research.

30. Delbaen, Freddy, Samuel Drapeau, and Michael Kupper, 2011, A von Neumann-Morgenstern representation result without weak continuity assumption, Journal of Mathematical Economics.

Working Papers

1. DORINEL BASTIDE, STÉPHANE CRÉPEY, SAMUEL DRAPEAU, MEKONNEN TADESE, 2024, Resolving a clearing members’default: A Radner equilibrium approach.

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