135 citations · 234 across the 30 of their papers we have counts for
6 papers · 1 filter
Deep learning based numerical approximation algorithms for stochastic partial differential equations
Christian Beck, Sebastian Becker, Patrick Cheridito +2
In this article, we introduce a deep learning based approximation algorithm for SPDEs. Our approach employs neural networks to approximate the solutions of SPDEs along given realiz…
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…
Model-free bounds for multi-asset options using option-implied information and their exact computation
Ariel Neufeld, Antonis Papapantoleon, Qikun Xiang
We consider derivatives written on multiple underlyings in a one-period financial market, and we are interested in the computation of model-free upper and lower bounds for their ar…
Forecasting directional movements of stock prices for intraday trading using LSTM and random forests
Pushpendu Ghosh, Ariel Neufeld, Jajati Keshari Sahoo
We employ both random forests and LSTM networks (more precisely CuDNNLSTM) as training methodologies to analyze their effectiveness in forecasting out-of-sample directional movemen…
Nonlocal Bertrand and Cournot Mean Field Games with General Nonlinear Demand Schedule
P. Jameson Graber, Vincenzo Ignazio, Ariel Neufeld
In this article we prove the existence of classical solutions to a system of mean field games arising in the study of exhaustible resource production under market competition. Indi…
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…