3 citations · 8 across the 13 of their papers we have counts for
18 papers
Arbitrage in Estimate Nothing: an example
Johannes Brutsche, Julian Sester, Thorsten Schmidt
We give a two-period counterexample to the absence of arbitrage for the posterior-weighted pricing rule in Estimate nothing by Duembgen and Rogers. Both physical models have strict…
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…
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…
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…
Measuring Name Concentrations through Deep Learning
Eva Lütkebohmert, Julian Sester
We propose a new deep learning approach for the quantification of name concentration risk in loan portfolios. Our approach is tailored for small portfolios and allows for both an a…
On the Relevance and Appropriateness of Name Concentration Risk Adjustments for Portfolios of Multilateral Development Banks
Eva Lütkebohmert, Julian Sester, Hongyi Shen
Sovereign loan portfolios of Multilateral Development Banks (MDBs) typically consist of only a small number of borrowers and hence are heavily exposed to single name concentration…
Bounding the Difference between the Values of Robust and Non-Robust Markov Decision Problems
Ariel Neufeld, Julian Sester
In this note we provide an upper bound for the difference between the value function of a distributionally robust Markov decision problem and the value function of a non-robust Mar…
On intermediate Marginals in Martingale Optimal Transportation
Julian Sester
We study the influence of additional intermediate marginal distributions on the value of the martingale optimal transport problem. From a financial point of view, this corresponds…
Neural networks can detect model-free static arbitrage strategies
Ariel Neufeld, Julian Sester
In this paper we demonstrate both theoretically as well as numerically that neural networks can detect model-free static arbitrage opportunities whenever the market admits some. Du…
A Multi-Marginal C-Convex Duality Theorem for Martingale Optimal Transport
Julian Sester
A convex duality result for martingale optimal transport problems with two marginals was established in Beiglböck et al. (2013). In this paper we provide a generalization of this r…
Markov Decision Processes under Model Uncertainty
Ariel Neufeld, Julian Sester, Mario Šikić
We introduce a general framework for Markov decision problems under model uncertainty in a discrete-time infinite horizon setting. By providing a dynamic programming principle we o…
Improved Robust Price Bounds for Multi-Asset Derivatives under Market-Implied Dependence Information
Jonathan Ansari, Eva Lütkebohmert, Ariel Neufeld +1
We show how inter-asset dependence information derived from market prices of options can lead to improved model-free price bounds for multi-asset derivatives. Depending on the type…
Detecting data-driven robust statistical arbitrage strategies with deep neural networks
Ariel Neufeld, Julian Sester, Daiying Yin
We present an approach, based on deep neural networks, that allows identifying robust statistical arbitrage strategies in financial markets. Robust statistical arbitrage strategies…
Robust deep hedging
Eva Lütkebohmert, Thorsten Schmidt, Julian Sester
We study pricing and hedging under parameter uncertainty for a class of Markov processes which we call generalized affine processes and which includes the Black-Scholes model as we…
A deep learning approach to data-driven model-free pricing and to martingale optimal transport
Ariel Neufeld, Julian Sester
We introduce a novel and highly tractable supervised learning approach based on neural networks that can be applied for the computation of model-free price bounds of, potentially h…
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…
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…