Tightening robust price bounds for exotic derivatives E Lütkebohmert, J Sester
Quantitative Finance 19 (11), 1797-1815, 2019
18 2019 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 deep hedging E Lütkebohmert, T Schmidt, J Sester
Quantitative Finance 22 (8), 1465-1480, 2022
12 2022 Robust bounds for derivative prices in Markovian models J Sester
International Journal of Theoretical and Applied Finance 23 (3), 2050015, 2020
9 2020 Detecting data-driven robust statistical arbitrage strategies with deep neural networks A Neufeld, J Sester, D Yin
arXiv preprint arXiv:2203.03179, 2022
8 2022 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 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 Non-concave distributionally robust stochastic control in a discrete time finite horizon setting A Neufeld, J Sester
arXiv preprint arXiv:2404.05230, 2024
2024 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