Assistant Professor

Research Interests

Applied Probability; Financial Mathematics; Stochastic Optimal Control

Teaching

• MATH4513  Life Contingencies Models and Insurance Risk
• MATH4514  Financial Economics in Actuarial Science

Selected Publications

  Article

1. Supermartingale shadow couplings: The decreasing case
   • Author(s): Bayraktar, Erhan; Deng, Shuoqing; Norgilas, Dominykas
   • Source: Bernoulli, v. 30, (1), February 2024, p. 143-169
   • Year: 2024


2. Supermartingale Brenier's Theorem with full-marginals constraint
   • Author(s): Bayraktar, Erhan; Deng, Shuoqing; Norgilas, Dominykas
   • Source: Frontiers of Mathematical Finance, v. 2, (2), June 2023, p. 202-243
   • Year: 2023


3. A potential-based construction of the increasing supermartingale coupling
   • Author(s): Bayraktar, Erhan; Deng, Shuoqing; Norgilas, Dominykas
   • Source: Annals of Applied Probability, v. 33, (5), October 2023, p. 3803-3834
   • Year: 2023


4. Optimal consumption with reference to past spending maximum
   • Author(s): Deng, Shuoqing; Li, Xun; Pham, Huyên; Yu, Xiang
   • Source: Finance and Stochastics, v. 26, (2), April 2022, p. 217-266
   • Year: 2022


5. Utility Maximization with Proportional Transaction Costs Under Model Uncertainty
   • Author(s): Deng, Shuoqing; Tan, Xiaolu; Yu, Xiang
   • Source: Mathematics of Operations Research, v. 45, (4), November 2020, p. 1210-1236
   • Year: 2020


6. The robust pricing–hedging duality for American options in discrete time financial markets
   • Author(s): Aksamit, Anna; Deng, Shuoqing; Obłój, Jan; Tan, Xiaolu
   • Source: Mathematical Finance, v. 29, (3), July 2019, p. 861-897
   • Year: 2019


7. Superreplication with proportional transaction cost under model uncertainty
   • Author(s): Bouchard, Bruno; Deng, Shuoqing; Tan, Xiaolu
   • Source: Mathematical Finance, v. 29, (3), July 2019, p. 837-860
   • Year: 2019


8. A sparse grid approach to balance sheet risk measurement
   • Author(s): Bénézet, Cyril; Bonnefoy, Jérémie; Chassagneux, Jean-François; Deng, Shuoqing; Trillos, Camilo Garcia; Lenôtre, Lionel
   • Source: ESAIM: Proceedings and Surveys, v. 65, February 2019, p. 236-265
   • Year: 2019

  Book chapter

1. Supermartingale Brenier’s Theorem with Full-Marginal Constraint *
   • Author(s): Bayraktar, Erhan; Deng, Shuoqing; Norgilas, Dominykas
   • Source: Peter Carr Gedenkschrift: Research Advances in Mathematical Finance / edited by Robert A Jarrow and Dilip B Madan. Singapore : World Scientific, 2024, p. 569-636, Ch. 17
   • Year: 2023

  Conference paper

1. Supermartingale Breiner's Theorem with full marginals constraints
   • Author(s): Bayraktar, Erhan; Deng, Shuoqing; Norgilas, Dominykas
   • Year: 2022