3 citations · 8 across the 13 of their papers we have counts for
3 papers · 1 filter
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…