Samuel Drapeau

activity

20112026

most citedThe algebra of conditional sets and the concepts of conditional topology and compactness

42 citations · 108 across the 17 of their papers we have counts for

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Showing 2017Show all

3 papers · 1 filter

math.FA2017★ 2 cited

A Fenchel-Moreau theorem for $L ˉ^{0}$ -valued functions

Samuel Drapeau, Asgar Jamneshan, Michael Kupper

We establish a Fenchel-Moreau type theorem for proper convex functions $f : X \to L ˉ^{0}$ , where $(X, Y, ⟨ \cdot, \cdot ⟩)$ is a dual pair of Banach spaces and $\b…

q-fin.RM2017

Computational aspects of robust optimized certainty equivalents and option pricing

Daniel Bartl, Samuel Drapeau, Ludovic Tangpi

Accounting for model uncertainty in risk management and option pricing leads to infinite dimensional optimization problems which are both analytically and numerically intractable.…

q-fin.MF2017

Characterization of Fully Coupled FBSDE in Terms of Portfolio Optimization

Samuel Drapeau, Peng Luo, Dewen Xiong

We provide a verification and characterization result of optimal maximal sub-solutions of BSDEs in terms of fully coupled forward backward stochastic differential equations. We ill…

A Fenchel-Moreau theorem for Lˉ0-valued functions

Computational aspects of robust optimized certainty equivalents and option pricing

Characterization of Fully Coupled FBSDE in Terms of Portfolio Optimization

A Fenchel-Moreau theorem for $L ˉ^{0}$ -valued functions