| Tightening robust price bounds for exotic derivatives E Lütkebohmert, J Sester Quantitative Finance 19 (11), 1797-1815, 2019 | 18 | 2019 |
| Robust deep hedging E Lütkebohmert, T Schmidt, J Sester Quantitative Finance 22 (8), 1465-1480, 2022 | 14 | 2022 |
| A deep learning approach to data-driven model-free pricing and to martingale optimal transport A Neufeld, J Sester IEEE Transactions on Information Theory 69 (5), 3172 - 3189, 2022 | 12 | 2022 |
| Robust -learning Algorithm for Markov Decision Processes under Wasserstein Uncertainty A Neufeld, J Sester arXiv preprint arXiv:2210.00898, 2022 | 12 | 2022 |
| Robust bounds for derivative prices in Markovian models J Sester International Journal of Theoretical and Applied Finance 23 (3), 2050015, 2020 | 10 | 2020 |
| Detecting data-driven robust statistical arbitrage strategies with deep neural networks A Neufeld, J Sester, D Yin SIAM Journal on Financial Mathematics 15 (2), 436-472, 2024 | 8 | 2024 |
| On the stability of the martingale optimal transport problem: A set-valued map approach A Neufeld, J Sester Statistics & Probability Letters 176, 109131, 2021 | 7 | 2021 |
| Robust statistical arbitrage strategies E Lütkebohmert, J Sester Quantitative Finance 21 (3), 379-402, 2021 | 7 | 2021 |
| Markov decision processes under model uncertainty A Neufeld, J Sester, M Šikić Mathematical Finance 33 (3), 618-665, 2023 | 6 | 2023 |
| Improved robust price bounds for multi-asset derivatives under market-implied dependence information J Ansari, E Lütkebohmert, A Neufeld, J Sester arXiv preprint arXiv:2204.01071, 2022 | 6 | 2022 |
| Model-free price bounds under dynamic option trading A Neufeld, J Sester SIAM Journal on Financial Mathematics 12 (4), 1307-1339, 2021 | 6 | 2021 |
| Calculating capital charges for sector concentration risk C Kurtz, E Lütkebohmert, J Sester Journal of Credit Risk 14 (4), 35-67, 2018 | 4 | 2018 |
| On intermediate marginals in martingale optimal transportation J Sester Mathematics and Financial Economics 17 (4), 615–654, 2023 | 3 | 2023 |
| A multi-marginal c-convex duality theorem for martingale optimal transport J Sester Statistics & Probability Letters 210, 110112, 2024 | 1 | 2024 |
| Non-concave distributionally robust stochastic control in a discrete time finite horizon setting A Neufeld, J Sester arXiv preprint arXiv:2404.05230, 2024 | 1 | 2024 |
| On the Relevance and Appropriateness of Name Concentration Risk Adjustments for Portfolios of Multilateral Development Banks E Lütkebohmert, J Sester, H Shen Available at SSRN 4642039, 2023 | 1 | 2023 |
| Measuring Name Concentrations through Deep Learning E Lütkebohmert, J Sester arXiv preprint arXiv:2403.16525, 2024 | | 2024 |
| Bounding the Difference between the Values of Robust and Non-Robust Markov Decision Problems A Neufeld, J Sester arXiv preprint arXiv:2308.05520, 2023 | | 2023 |
| Neural networks can detect model-free static arbitrage strategies A Neufeld, J Sester arXiv preprint arXiv:2306.16422, 2023 | | 2023 |
| On the improvement of robust price bounds J Sester Albert-Ludwigs-Universität Freiburg, 2019 | | 2019 |
Ariel NeufeldNanyang Assistant Professor in Mathematics, NTU Singapore在 ntu.edu.sg 的电子邮件经过验证
