Samuel Drapeau

China Academy of Financial Research (SAIF) and School of Mathematical Sciences

Shanghai Jiao Tong University

211 West Huaihai Road

Shanghai, 200030

China

http://www.samuel-drapeau.info

SCHOLARLY PAPERS

9

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SSRN CITATIONS
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Top 44,069

in Total Papers Citations

13

CROSSREF CITATIONS

3

Scholarly Papers (9)

1.

Risk Preferences and their Robust Representation

Number of pages: 49 Posted: 23 Feb 2010 Last Revised: 26 Dec 2010
Michael Kupper and Samuel Drapeau
Vienna Institute of Finance and China Academy of Financial Research (SAIF) and School of Mathematical Sciences
Downloads 535 (67,872)
Citation 13

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Risk Preferences, Risk Measures, Robust Representation

2.

Stochastic Order-Monotone Uncertainty-Averse Preferences

Number of pages: 23 Posted: 04 Mar 2015 Last Revised: 27 Aug 2015
ETH Zurich, Swiss Federal Institute of Technology at Zurich, China Academy of Financial Research (SAIF) and School of Mathematical Sciences and Humboldt University of Berlin - Department of Mathematics
Downloads 246 (161,629)
Citation 1

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Uncertainty-aversion, stochastic orders, Allais paradox, Ellsberg paradox

3.

How Rational Are the Option Prices of Hong Kong Dollar Exchange Rate?

Number of pages: 28 Posted: 08 Nov 2019
Samuel Drapeau, Tan Wang and Tao Wang
China Academy of Financial Research (SAIF) and School of Mathematical Sciences, Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF) and Shanghai Advanced Institute of Finance, Shanghai Jiao Tong University
Downloads 173 (223,297)
Citation 2

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Fixed Exchange Rate, Hong Kong Dollar

4.

A Von Neumann-Morgenstern Representation Result Without Weak Continuity Assumption

Number of pages: 14 Posted: 12 Mar 2010 Last Revised: 11 Mar 2021
Michael Kupper, Freddy Delbaen and Samuel Drapeau
Vienna Institute of Finance, Swiss Federal Institute of Technology at Zurich and China Academy of Financial Research (SAIF) and School of Mathematical Sciences
Downloads 162 (236,029)

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von Neumann and Morgenstern representation, affine preference orders, automatic continuity, first stochastic order

5.

On Detecting Spoofing Strategies in High Frequency Trading

Number of pages: 30 Posted: 06 Jan 2021
Xuan Tao, Andrew Day, Lan Ling and Samuel Drapeau
Shanghai Jiao Tong University (SJTU) - School of Mathematical Sciences, Western University, affiliation not provided to SSRN and China Academy of Financial Research (SAIF) and School of Mathematical Sciences
Downloads 147 (255,809)

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Spoofing, High Frequency Trading, Imbalance, Limit Order Book

6.

On Model Robustness of the Regime Switching Approach for Pegged Foreign Exchange Markets

Number of pages: 25 Posted: 17 Mar 2021 Last Revised: 08 Sep 2021
Yunbo Zhang and Samuel Drapeau
Shanghai Jiao Tong University (SJTU) - School of Mathematical Sciences and China Academy of Financial Research (SAIF) and School of Mathematical Sciences
Downloads 110 (317,490)

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FX Markets, Pegged Exchange Rate, USD-HKD, EUR-CHF, Regime Switching, Option Pricing, Calibration

7.

Conditional Preference Orders and Their Numerical Representations

Number of pages: 18 Posted: 22 Oct 2014 Last Revised: 11 May 2015
Samuel Drapeau and Asgar Jamneshan
China Academy of Financial Research (SAIF) and School of Mathematical Sciences and University of Konstanz
Downloads 29 (596,869)

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Conditional Preferences, Utility Theory, Gap Lemma, von Neumann and Morgenstern

8.

Computational Aspects of Robust Optimized Certainty Equivalents and Option Pricing

Mathematical Finance, Vol. 30, Issue 1, pp. 287-309, 2020
Number of pages: 23 Posted: 29 May 2020
Daniel Bartl, Samuel Drapeau and Ludovic Tangpi
University of Konstanz, China Academy of Financial Research (SAIF) and School of Mathematical Sciences and Princeton University
Downloads 0 (829,320)
Citation 2
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average value‐at‐risk, convex duality, distribution uncertainty, optimized certainty equivalent, optimal transport, penalization, robust option pricing, Wasserstein distance

9.

A Fourier Approach to the Computation of Conditional Value-at-Risk and Optimized Certainty Equivalents

Journal of Risk, Vol. 16, No. 6, 2014
Number of pages: 28 Posted: 09 Jun 2016
China Academy of Financial Research (SAIF) and School of Mathematical Sciences, University of Konstanz and Technische Universität Berlin (TU Berlin)
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Citation 3
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conditional value-at-risk, Fourier approach, optimized certainty equivalents