3 papers
q-fin.TR2026
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…
math.PR2021
On the stability of the martingale optimal transport problem: A set-valued map approach
Ariel Neufeld, Julian Sester
Continuity of the value of the martingale optimal transport problem on the real line w.r.t. its marginals was recently established in Backhoff-Veraguas and Pammer [2] and Wiesel [2…
q-fin.MF2021
Model-free price bounds under dynamic option trading
Ariel Neufeld, Julian Sester
In this paper we extend discrete time semi-static trading strategies by also allowing for dynamic trading in a finite amount of options, and we study the consequences for the model…