135 citations · 234 across the 30 of their papers we have counts for
10 papers · 1 filter
Chaotic Hedging with Iterated Integrals and Neural Networks
Ariel Neufeld, Philipp Schmocker
In this paper, we derive an -chaos expansion based on iterated Stratonovich integrals with respect to a given exponentially integrable continuous semimartingale. By omitting t…
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…
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…
Duality Theory for Robust Utility Maximisation
Daniel Bartl, Michael Kupper, Ariel Neufeld
In this paper we present a duality theory for the robust utility maximisation problem in continuous time for utility functions defined on the positive real axis. Our results are in…
Supermartingale deflators in the absence of a numéraire
Philipp Harms, Chong Liu, Ariel Neufeld
In this paper we study arbitrage theory of financial markets in the absence of a numéraire both in discrete and continuous time. In our main results, we provide a generalization of…
Pathwise superhedging on prediction sets
Daniel Bartl, Michael Kupper, Ariel Neufeld
In this paper we provide a pricing-hedging duality for the model-independent superhedging price with respect to a prediction set , where the superhedging propert…