Julian Sester

Available identifiers

Publication	Date of Publication	Type
Neural networks can detect model-free static arbitrage strategies	2024-10-22	Paper
Improved robust price bounds for multi-asset derivatives under market-implied dependence information	2024-10-16	Paper
Robust \(Q\)-learning algorithm for Markov decision processes under Wasserstein uncertainty	2024-09-16	Paper
A multi-marginal c-convex duality theorem for martingale optimal transport	2024-07-09	Paper
Detecting data-driven robust statistical arbitrage strategies with deep neural networks	2024-06-18	Paper
A Deep Learning Approach to Data-Driven Model-Free Pricing and to Martingale Optimal Transport	2024-03-19	Paper
Markov decision processes under model uncertainty	2024-01-31	Paper
On intermediate marginals in martingale optimal transportation	2024-01-10	Paper
Bounding the Difference between the Values of Robust and Non-Robust Markov Decision Problems	2023-08-10	Paper
Improved Robust Price Bounds for Multi-Asset Derivatives under Market-Implied Dependence Information	2022-04-03	Paper
On the stability of the martingale optimal transport problem: a set-valued map approach	2021-11-12	Paper
Model-free price bounds under dynamic option trading	2021-11-05	Paper
Robust statistical arbitrage strategies	2021-06-02	Paper
Robust bounds for derivative prices in Markovian models	2020-08-05	Paper
Tightening robust price bounds for exotic derivatives	2020-01-24	Paper
On the improvement of robust price bounds	2019-12-17	Paper
A Multi-Marginal C-Convex Duality Theorem for Martingale Optimal Transport	N/A	Paper

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