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Julian Sester
ORCID
Publication Activity (10 Years)
Years Active: 2021-2023
Publications (10 Years): 7
Top Topics
Model Free
Policy Iteration
Learning Algorithm
Function Approximation
Top Venues
CoRR
IEEE Trans. Inf. Theory
SIAM J. Financial Math.
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Publications
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Ariel Neufeld
,
Julian Sester
Neural networks can detect model-free static arbitrage strategies.
CoRR
(2023)
Ariel Neufeld
,
Julian Sester
A Deep Learning Approach to Data-Driven Model-Free Pricing and to Martingale Optimal Transport.
IEEE Trans. Inf. Theory
69 (5) (2023)
Ariel Neufeld
,
Julian Sester
,
Mario Sikic
Markov Decision Processes under Model Uncertainty.
CoRR
(2022)
Ariel Neufeld
,
Julian Sester
,
Daiying Yin
Detecting data-driven robust statistical arbitrage strategies with deep neural networks.
CoRR
(2022)
Ariel Neufeld
,
Julian Sester
Robust Q-learning Algorithm for Markov Decision Processes under Wasserstein Uncertainty.
CoRR
(2022)
Ariel Neufeld
,
Julian Sester
Model-Free Price Bounds Under Dynamic Option Trading.
SIAM J. Financial Math.
12 (4) (2021)
Ariel Neufeld
,
Julian Sester
A deep learning approach to data-driven model-free pricing and to martingale optimal transport.
CoRR
(2021)