Zobrazeno 1 - 10
of 27
pro vyhledávání: '"Ariel Neufeld"'
Autor:
Ariel Neufeld, Julian Sester
Publikováno v:
IEEE Transactions on Information Theory. 69:3172-3189
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 high-dimensional, financial derivatives and for the determination of op
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::9c234f3a43fec11e25914a98add0feef
https://doi.org/10.1109/tit.2022.3229845
https://doi.org/10.1109/tit.2022.3229845
Publikováno v:
Mathematics and Financial Economics. 15:885-915
In this paper we study arbitrage theory of financial markets in the absence of a numeraire both in discrete and continuous time. In our main results, we provide a generalization of the classical equivalence between no unbounded profits with bounded r
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::a5c8024ce70b0d6b8cf883cc441bd288
https://doi.org/10.1007/s11579-021-00299-w
https://doi.org/10.1007/s11579-021-00299-w
Publikováno v:
Journal de Mathématiques Pures et Appliquées. 148:150-198
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. Individual trajectories are modeled by a controlled diffusion process with
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::2a06062cde61e976f6ede1b924b8090c
https://doi.org/10.1016/j.matpur.2021.02.002
https://doi.org/10.1016/j.matpur.2021.02.002
Autor:
Ariel Neufeld, Julian Sester
Publikováno v:
SIAM Journal on Financial Mathematics. 12:1307-1339
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-independent super-replication prices of exotic derivatives. These inc
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::deaf833aa3673147f57a39b4698a4a0c
https://doi.org/10.1137/21m1390013
https://doi.org/10.1137/21m1390013
We introduce a general framework for Markov decision problems under model uncertainty in a discrete-time infinite horizon setting. By providing a dynamic programming principle we obtain a local-to-global paradigm, namely solving a local, i.e., a one
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::8f8e1799a0b82b99e1bdc50b9e7e1201
http://arxiv.org/abs/2206.06109
http://arxiv.org/abs/2206.06109
Publikováno v:
IMA Journal of Numerical Analysis, 41 (1)
Stochastic gradient descent (SGD) optimization algorithms are key ingredients in a series of machine learning applications. In this article we perform a rigorous strong error analysis for SGD optimization algorithms. In particular, we prove for every
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::a18dea3fbfac8c66288a60714ff4538d
https://doi.org/10.1093/imanum/drz055
https://doi.org/10.1093/imanum/drz055
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 risk events is increasing. Existing cyber risk insurance products as well as academic studies have be
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::bd5ceb41bfb3a954a4fcd6d9028e28fa
http://arxiv.org/abs/2102.05568
http://arxiv.org/abs/2102.05568
Autor:
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 (2019) and Wiesel (2019). We present a new perspective of this result using the theory
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::c1af0c258aa6508788d4a8ef177deded
Autor:
Ariel Neufeld, Julian Sester
Publikováno v:
SSRN Electronic Journal.
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-independent super-replication prices of exotic derivatives. These inc
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::6487f4019ed9cb831da693ce27378ae9
https://doi.org/10.2139/ssrn.3759550
https://doi.org/10.2139/ssrn.3759550
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 line. Our results are inspired by – and can be seen as the robust analogues of – the semi
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::5a014c23c10c85e373c74425ec53d23a