Faculty Profiles - DENG Shuoqing | The Hong Kong University of Science and Technology

Shuoqing DENG
鄧碩青

PhD in Applied Mathematics
Universite Paris Dauphine, 2019

Assistant Professor
Department of Mathematics

(852) 2358 7423
masdeng@ust.hk
Room 3485
Personal Web

ORCID

0000-0002-7514-4223

Scopus ID

57204038107

Research Interest Publications Teaching Assignment RPG Supervision

Research Interest

Applied probability
Financial mathematics
Stochastic control
Stochastic modeling

Publications

All Years 10 2024 1 2023 3 2022 2 2021 0 2020 1 2019 3

2024 1

Supermartingale shadow couplings: The decreasing case

Bernoulli, v. 30, (1), February 2024, p. 143-169
Bayraktar, Erhan; Deng, Shuoqing; Norgilas, Dominykas
Article

2023 3

A potential-based construction of the increasing supermartingale coupling

Annals of Applied Probability, v. 33, (5), October 2023, p. 3803-3834
Bayraktar, Erhan; Deng, Shuoqing; Norgilas, Dominykas
Article

Supermartingale Brenier's Theorem with full-marginals constraint

Frontiers of Mathematical Finance, v. 2, (2), June 2023, p. 202-243
Bayraktar, Erhan; Deng, Shuoqing; Norgilas, Dominykas
Article

Supermartingale Brenier’s Theorem with Full-Marginal Constraint *

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
Bayraktar, Erhan; Deng, Shuoqing; Norgilas, Dominykas
Book chapter

2022 2

Optimal consumption with reference to past spending maximum

Finance and Stochastics, v. 26, (2), April 2022, p. 217-266
Deng, Shuoqing; Li, Xun; Pham, Huyên; Yu, Xiang
Article

Supermartingale Breiner's Theorem with full marginals constraints

Bayraktar, Erhan; Deng, Shuoqing; Norgilas, Dominykas
Conference paper

2020 1

Utility Maximization with Proportional Transaction Costs Under Model Uncertainty

Mathematics of Operations Research, v. 45, (4), November 2020, p. 1210-1236
Deng, Shuoqing; Tan, Xiaolu; Yu, Xiang
Article

2019 3

A sparse grid approach to balance sheet risk measurement

ESAIM: Proceedings and Surveys, v. 65, February 2019, p. 236-265
Bénézet, Cyril; Bonnefoy, Jérémie; Chassagneux, Jean-François; Deng, Shuoqing; Trillos, Camilo Garcia; Lenôtre, Lionel
Article

Superreplication with proportional transaction cost under model uncertainty

Mathematical Finance, v. 29, (3), July 2019, p. 837-860
Bouchard, Bruno; Deng, Shuoqing; Tan, Xiaolu
Article

The robust pricing–hedging duality for American options in discrete time financial markets

Mathematical Finance, v. 29, (3), July 2019, p. 861-897
Aksamit, Anna; Deng, Shuoqing; Obłój, Jan; Tan, Xiaolu
Article

Article 1

Supermartingale shadow couplings: The decreasing case

Bernoulli, v. 30, (1), February 2024, p. 143-169
Bayraktar, Erhan; Deng, Shuoqing; Norgilas, Dominykas

Article 2

A potential-based construction of the increasing supermartingale coupling

Annals of Applied Probability, v. 33, (5), October 2023, p. 3803-3834
Bayraktar, Erhan; Deng, Shuoqing; Norgilas, Dominykas

Supermartingale Brenier's Theorem with full-marginals constraint

Frontiers of Mathematical Finance, v. 2, (2), June 2023, p. 202-243
Bayraktar, Erhan; Deng, Shuoqing; Norgilas, Dominykas

Book chapter 1

Supermartingale Brenier’s Theorem with Full-Marginal Constraint *

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
Bayraktar, Erhan; Deng, Shuoqing; Norgilas, Dominykas

Article 1

Optimal consumption with reference to past spending maximum

Finance and Stochastics, v. 26, (2), April 2022, p. 217-266
Deng, Shuoqing; Li, Xun; Pham, Huyên; Yu, Xiang

Conference paper 1

Supermartingale Breiner's Theorem with full marginals constraints

Bayraktar, Erhan; Deng, Shuoqing; Norgilas, Dominykas

Article 1

Utility Maximization with Proportional Transaction Costs Under Model Uncertainty

Mathematics of Operations Research, v. 45, (4), November 2020, p. 1210-1236
Deng, Shuoqing; Tan, Xiaolu; Yu, Xiang

Article 3

A sparse grid approach to balance sheet risk measurement

ESAIM: Proceedings and Surveys, v. 65, February 2019, p. 236-265
Bénézet, Cyril; Bonnefoy, Jérémie; Chassagneux, Jean-François; Deng, Shuoqing; Trillos, Camilo Garcia; Lenôtre, Lionel

Superreplication with proportional transaction cost under model uncertainty

Mathematical Finance, v. 29, (3), July 2019, p. 837-860
Bouchard, Bruno; Deng, Shuoqing; Tan, Xiaolu

The robust pricing–hedging duality for American options in discrete time financial markets

Mathematical Finance, v. 29, (3), July 2019, p. 861-897
Aksamit, Anna; Deng, Shuoqing; Obłój, Jan; Tan, Xiaolu

No Publications

Teaching Assignment

2024-25 Fall 1 2023-24 Summer 1 2023-24 Spring 3 2023-24 Winter 0 2023-24 Fall 2 2022-23 Summer 0

MAFS5010

Stochastic Calculus

MAFS6100P

Independent Project

MAFS6100N	Independent Project
MATH4513	Life Contingencies Models and Insurance Risk
RMBI4220	Life Contingencies Models and Insurance Risk

MAFS5010	Stochastic Calculus
MATH2421	Probability

Research Interest

Publications

2024 1

2023 3

2022 2

2020 1

2019 3

Article 1

Article 2

Book chapter 1

Article 1

Conference paper 1

Article 1

Article 3

Teaching Assignment

Research Postgraduate (RPG) Supervision

From January 2021 to December 2024 (As of 21 November 2024)

Current RPGs

Projects

From January 2022 to December 2024

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