42 citations · 108 across the 17 of their papers we have counts for
4 papers · 1 filter
An FBSDE approach to market impact games with stochastic parameters
Samuel Drapeau, Peng Luo, Alexander Schied +1
We analyze a market impact game between risk averse agents who compete for liquidity in a market impact model with permanent price impact and additional slippage. Most market p…
Dual Representation of Expectile based Expected Shortfall and Its Properties
Samuel Drapeau, Mekonnen Tadese
The expectile can be considered as a generalization of quantile. While expected shortfall is a quantile based risk measure, we study its counterpart -- the expectile based expected…
Pricing and Hedging Performance on Pegged FX Markets Based on a Regime Switching Model
Samuel Drapeau, Yunbo Zhang
This paper investigates the hedging performance of pegged foreign exchange market in a regime switching (RS) model introduced in a recent paper by Drapeau, Wang and Wang (2019). We…
Relative Bound and Asymptotic Comparison of Expectile with Respect to Expected Shortfall
Samuel Drapeau, Mekonnen Tadese
Expectile bears some interesting properties in comparison to the industry wide expected shortfall in terms of assessment of tail risk. We study the relationship between expectile a…