4 papers
Fast catastrophe bond valuation with neural-network surrogates
Julian Sester, Huansang Xu
Catastrophe bonds are increasingly important risk-transfer securities, but structural pricing is too slow for real-time valuation, screening, and sensitivity analysis. We develop a…
Robustness in Sequential Decision Making under Evolving Uncertainty: Evidence from High-Frequency Market Making
Ying Chen, Hoa Nguyen, Julian Sester +2
We study sequential decision making under evolving uncertainty in high-frequency financial markets, where changing market dynamics continually challenge static decision policies. W…
Empirical Analysis of the Model-Free Valuation Approach: Hedging Gaps, Conservatism, and Trading Opportunities
Zixing Chen, Yihan Qi, Shanlan Que +2
In this paper we study the quality of model-free valuation approaches for financial derivatives by systematically evaluating the difference between model-free super-hedging strateg…
Non-concave stochastic optimal control in finite discrete time under model uncertainty
Ariel Neufeld, Julian Sester
In this article we present a general framework for non-concave robust stochastic control problems under model uncertainty in a discrete time finite horizon setting. Our framework a…