Samuel Drapeau

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Person:245084

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zbMath Open drapeau.samuelMaRDI QIDQ245084

List of research outcomes

PublicationDate of PublicationType
Extremal of log-Sobolev functionals and Li-Yau estimate on \(\mathrm{RCD}^* (K,N)\) spaces2024-03-11Paper
Derivatives risks as costs in a one-period network model2023-09-27Paper
On model robustness of the regime switching approach for pegged foreign exchange markets2022-07-22Paper
On detecting spoofing strategies in high-frequency trading2022-07-22Paper
An FBSDE approach to market impact games with stochastic parameters2022-06-03Paper
Dual representation of expectile-based expected shortfall and its properties2021-11-09Paper
\(q\)-moment estimates for the singular \(p\)-Laplace equation and applications2021-08-05Paper
Pricing and hedging performance on pegged FX markets based on a regime switching model2021-06-02Paper
Relative bound and asymptotic comparison of expectile with respect to expected shortfall2020-08-03Paper
Characterization of fully coupled FBSDE in terms of portfolio optimization2020-05-29Paper
Computational aspects of robust optimized certainty equivalents and option pricing2020-05-14Paper
A Fenchel-Moreau theorem for $\bar L^0$-valued functions2019-07-11Paper
Multivariate Shortfall Risk Allocation and Systemic Risk2018-04-16Paper
Vector duality via conditional extension of dual pairs2016-08-30Paper
Stability and Markov property of forward backward minimal supersolutions2016-08-22Paper
A note on robust representations of law-invariant quasiconvex functions2016-07-12Paper
Dual representation of minimal supersolutions of convex BSDEs2016-06-27Paper
Complete duality for quasiconvex and convex set-valued functions2016-05-25Paper
Dynamic assessment indices2016-05-04Paper
Conditional preference orders and their numerical representations2016-04-15Paper
The algebra of conditional sets and the concepts of conditional topology and compactness2016-02-12Paper
Minimal supersolutions of BSDEs under volatility uncertainty2015-05-27Paper
Brouwer fixed point theorem in \((L^0)^d\)2014-08-27Paper
Risk Preferences and Their Robust Representation2014-07-11Paper
Minimal supersolutions of convex BSDEs2014-01-31Paper
Weak Closedness of Monotone Sets of Lotteries and Robust Representation of Risk Preferences2013-07-30Paper
A Fourier Approach to the Computation of CV@R and Optimized Certainty Equivalents2012-12-30Paper
A von Neumann-Morgenstern representation result without weak continuity assumption2012-04-18Paper

Research outcomes over time


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