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