Assistant Professor

Research Interests

Applied Probability; Financial Mathematics; Stochastic Optimal Control

Teaching

• MATH4513  Life Contingencies Models and Insurance Risk

Selected Publications

  Article

1. Supermartingale Brenier's Theorem with full-marginals constraint
   • Author(s): Bayraktar, Erhan; Deng, Shuoqing; Norgilas, Dominykas
   • Source: Frontiers of Mathematical Finance, March 2023, article number fmf.2023010
   • Year: 2023


2. A potential-based construction of the increasing supermartingale coupling
   • Author(s): Bayraktar, Erhan; Deng, Shuoqing; Norgilas, Dominykas
   • Source: Annals of Applied Probability, 2023
   • Year: 2023


3. Supermartingale shadow couplings: the decreasing case
   • Author(s): Bayraktar, Erhan; Deng, Shuoqing; Norgilas, Dominykas
   • Source: Bernoulli, 2023
   • 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. 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


8. 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

  Conference paper

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

  Preprint

1. Supermartingale Brenier’s Theorem with full-marginals constraint
   • Author(s): Bayraktar, Erhan; Deng, Shuoqing; Norgilas, Dominykas
   • Source: Peter Carr Gedenkschrift: A special issue of the Frontiers of Mathematical Finance, 2023
   • Year: 2023


2. On time-consistent equilibrium stopping under aggregation of diverse discount rates
   • Author(s): Deng, Shuoqing; Yu, Xiang; Zhang, Jiacheng
   • Source: arXiv, February 2023, Article number 2302.07470
   • Year: 2023


3. Supermartingale shadow couplings: the decreasing case
   • Author(s): Bayraktar, Erhan; Deng, Shuoqing; Norgilas, Dominykas
   • Source: arXiv, July 2022, Article number 2207.11732
   • Year: 2022