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Drapeau, Samuel
102  results:
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1

Evolution of Chinese futures markets from a high frequency ..:

Li, Zhengqiang ; Wang, Tao ; Drapeau, Samuel.
Economics & Politics.  , 2024
Link: https://doi.org/10.1111/..
 
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2

Extremal of Log-Sobolev Functionals and Li-Yau Estimate on ..:

Drapeau, Samuel ; Yin, Liming
Potential Analysis.  60 (2023)  3 - p. 935-964 , 2023
Link: https://doi.org/10.1007/..
 
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3

On detecting spoofing strategies in high-frequency trading:

Tao, Xuan ; Day, Andrew ; Ling, Lan.
Quantitative Finance.  22 (2022)  8 - p. 1405-1425 , 2022
Link: https://doi.org/10.1080/..
 
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4

On model robustness of the regime switching approach for pe..:

Zhang, Yunbo ; Drapeau, Samuel
Quantitative Finance.  22 (2022)  7 - p. 1371-1390 , 2022
Link: https://doi.org/10.1080/..
 
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5

q-moment estimates for the singular p-Laplace equation and ..:

Drapeau, Samuel ; Yin, Liming
Nonlinear Analysis.  211 (2021)  - p. 112407 , 2021
Link: https://doi.org/10.1016/..
 
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6

Pricing and hedging performance on pegged FX markets based ..:

Zhang, Yunbo ; Drapeau, Samuel
Quantitative Finance.  21 (2020)  2 - p. 305-322 , 2020
Link: https://doi.org/10.1080/..
 
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7

Relative bound and asymptotic comparison of expectile with ..:

Tadese, Mekonnen ; Drapeau, Samuel
Insurance: Mathematics and Economics.  93 (2020)  - p. 387-399 , 2020
Link: https://doi.org/10.1016/..
 
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8

Computational aspects of robust optimized certainty equival..:

Bartl, Daniel ; Drapeau, Samuel ; Tangpi, Ludovic
Mathematical Finance.  30 (2019)  1 - p. 287-309 , 2019
Link: https://doi.org/10.1111/..
 
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9

Multivariate Shortfall Risk Allocation and Systemic Risk:

Armenti, Yannick ; Crépey, Stéphane ; Drapeau, Samuel.
SIAM Journal on Financial Mathematics.  9 (2018)  1 - p. 90-126 , 2018
Link: https://doi.org/10.1137/..
 
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10

The algebra of conditional sets and the concepts of conditi..:

Drapeau, Samuel ; Jamneshan, Asgar ; Karliczek, Martin.
Journal of Mathematical Analysis and Applications.  437 (2016)  1 - p. 561-589 , 2016
Link: https://doi.org/10.1016/..
 
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11

Conditional preference orders and their numerical represent..:

Drapeau, Samuel ; Jamneshan, Asgar
Journal of Mathematical Economics.  63 (2016)  - p. 106-118 , 2016
Link: https://doi.org/10.1016/..
 
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12

Minimal supersolutions of BSDEs under volatility uncertaint:

Drapeau, Samuel ; Heyne, Gregor ; Kupper, Michael
Stochastic Processes and their Applications.  125 (2015)  8 - p. 2895-2909 , 2015
Link: https://doi.org/10.1016/..
 
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13

Dynamic assessment indices:

Bielecki, Tomasz R. ; Cialenco, Igor ; Drapeau, Samuel.
Stochastics.  88 (2015)  1 - p. 1-44 , 2015
Link: https://doi.org/10.1080/..
 
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14

Complete Duality for Quasiconvex and Convex Set-Valued Func..:

Drapeau, Samuel ; Hamel, Andreas H. ; Kupper, Michael
Set-Valued and Variational Analysis.  24 (2015)  2 - p. 253-275 , 2015
Link: https://doi.org/10.1007/..
 
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15

Risk Preferences and Their Robust Representation:

Drapeau, Samuel ; Kupper, Michael
Mathematics of Operations Research.  38 (2013)  1 - p. 28-62 , 2013
Link: https://www.jstor.org/st..
 
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