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masdeng
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DENG, Shuoqing
鄧碩青

(PhD Paris Dauphine-PSL University)

Phone: (852) 2358 7423
Email: masdeng@ust.hk
Office: Room 3485
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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