Julian Sester

University of Freiburg

Freiburg, D-79085

Germany

SCHOLARLY PAPERS

4

DOWNLOADS

31

CITATIONS

2

Scholarly Papers (4)

1.

Tightening Robust Price Bounds for Exotic Derivatives

Number of pages: 27 Posted: 16 Dec 2018
Eva Lütkebohmert and Julian Sester
University of Freiburg, Institute for Economic Research and University of Freiburg
Downloads 26 (485,146)

Abstract:

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robust price bounds, model-independent valuation, optimal martingale transport, additional market information

2.

Robust Statistical Arbitrage Strategies

Number of pages: 28 Posted: 16 Aug 2019
Eva Lütkebohmert and Julian Sester
University of Freiburg, Institute for Economic Research and University of Freiburg
Downloads 3 (626,208)

Abstract:

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Statistical Arbitrage, Robust Valuation, Trading Strategies, Super-Replication Duality

3.

Calculating Capital Charges for Sector Concentration Risk

Journal of Credit Risk, Forthcoming
Number of pages: 34 Posted: 22 Oct 2018
Cornelius Kurtz, Eva Lütkebohmert and Julian Sester
European Central Bank (ECB), University of Freiburg, Institute for Economic Research and University of Freiburg
Downloads 2 (636,063)
Citation 2
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Abstract:

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credit risk, sector concentration risk, capital allocation, analytical approximation, Monte Carlo simulation

4.

Robust Price Bounds for Derivative Prices in Markovian Models

Posted: 19 Dec 2018 Last Revised: 26 Jul 2019
Julian Sester
University of Freiburg

Abstract:

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Optimal Martingale Transport, Robust Pricing, Markov Property, Duality