Shuoqing DENG

University of Michigan Department of Mathematics Email : [email protected] 530 Church Street Phone : 1(734) 604-9602 Ann Arbor, MI 48109, US

Work Experience

2019-present, Department of Mathematics, University of Michigan, Byrne Postdoctoral Fellow and Assistant Professor. 2018-2019, CEREMADE, Paris Dauphine-PSL University, Temporary Teaching/Research Fellow(ATER). 2015-2018, CEREMADE, Paris Dauphine-PSL University, Phd Contract. 2015, July - September, CMAP, Ecole Polytechnique, Research Internship. 2013-2014, BNP Paribas Investment Partners, Gap year Internship.

Education

2015-2019, Paris Dauphine-PSL University, Phd in Mathematics. Advisors: Bruno Bouchard and Xiaolu Tan. 2014-2015, Paris Dauphine-PSL University, Master MASEF in Financial Mathematics. 2012-2015, ENSAE Paris-Institut Polytechnique de Paris, Master in . 2008-2012, Peking University, Bachelor in .

Teaching

Main Courses : (at University of Michigan) Undergraduate Courses : Mathematics of Finance, Theory. Undergraduate/Graduate Courses : Discrete State Stochastic Processes.

Exercise Courses : (at Paris Dauphine-PSL University) Undergraduate Courses : Introduction to Finance, Differential Calculation and Optimization. Graduate Courses : Monte Carlo, Brownian Motion and Asset Pricing, .

Research Interest

Applied probability, Stochastic optimal control, Financial mathematics and Data science.

Publications and Preprints

Articles

1. A. Aksamit, S. Deng, J. Obloj and X. Tan, Robust pricing-hedging duality for American options in discrete time financial markets. , 29(3) : 861-897, 2019. 2. B. Bouchard, S. Deng and X. Tan, Super-replication duality with propotional transaction cost under model uncertainty. Mathematical Finance, 29(3) : 837-860, 2019. 3. S. Deng, X. Tan and X. Yu, Utility maximization with proportional transaction cost under model uncertainty. Mathematics of Operations Research, 45(4) : 1210-1236, 2020. 4. S. Deng, X. Li, H. Pham and X. Yu, Optimal consumption with reference to past spending maximum. Revised and Resubmitted at Finance and Stochastics, 2021.

5. E. Bayraktar, S. Deng and D. Norgilas, A potential-based construction of the increasing supermartingale coupling. Submitted, 2021.

6. E. Bayraktar, S. Deng and D. Norgilas, Entropy martingale optimal transport : a complete discrete duality. Preprint, 2021.

7. E. Bayraktar, S. Deng and X. Yu, Optimal consumption under non-addictive habit formation in incomplete markets. Working paper, 2021.

8. E. Bayraktar, S. Deng and D. Norgilas, On decreasing and general super martingale optimal transport. In preperation, 2021.

Conference Proceedings

1. C. Bénézet, J. Bonnefoy, JF. Chassagneux, S. Deng, C. Garcia Trillos and L. Lenôtre, A sparse grid approach to balance sheet risk measurement. ESAIM : Proceedings and Survey, 65, 236-265, 2019.

Awards and Honors

Wusi Scholarship, Peking University, 2008-2009, 2009-2010. Eiffel Scholarship, French Government, 2012-2015.

Research Visits

Hong Kong Polytechnic University, 2018/08, four weeks. Hong Kong Polytechnic University, 2019/01, four weeks. Hong Kong Polytechnic University, 2019/07, four weeks.

Talks

1. May 27, 2016, Journées de Probabilités, Le Mans, France. 2. November 21, 2016, Groupe de travail de CMAP, Ecole Polytechnique, Paris, France. 3. May 26, 2017, Second Paris-Asia conference of quantitative finance, Suzhou, China. 4. April 26, 2018, The Fourth Young Researchers Meeting on BSDEs, Nonlinear Expectations and Mathematical Finance, Shanghai, China. 5. July 8, 2019, International Conference on Computational Finance(ICCF) 2019, La Coruna, Spain. 6. September 18, 2019, Financial Mathematics Seminar, University of Michigan, Ann Arbor, US. 7. January 18, 2020, Department of Mathematics Seminar, City University of Hong Kong, HK, China.