135 citations · 234 across the 30 of their papers we have counts for
5 papers · 1 filter
Non-asymptotic estimates for TUSLA algorithm for non-convex learning with applications to neural networks with ReLU activation function
Dong-Young Lim, Ariel Neufeld, Sotirios Sabanis +1
We consider non-convex stochastic optimization problems where the objective functions have super-linearly growing and discontinuous stochastic gradients. In such a setting, we prov…
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…
A Bonus-Malus Framework for Cyber Risk Insurance and Optimal Cybersecurity Provisioning
Qikun Xiang, Ariel Neufeld, Gareth W. Peters +2
The cyber risk insurance market is at a nascent stage of its development, even as the magnitude of cyber losses is significant and the rate of cyber loss events is increasing. Exis…
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…