Julian Sester

National University of Singapore (NUS)

1E Kent Ridge Road

NUHS Tower Block Level 7

Singapore, 119228

Singapore

affiliation not provided to SSRN

SCHOLARLY PAPERS

5

DOWNLOADS

1,271

SSRN CITATIONS

9

CROSSREF CITATIONS

0

Scholarly Papers (5)

1.

Robust Statistical Arbitrage Strategies

Number of pages: 34 Posted: 16 Aug 2019 Last Revised: 27 Jul 2020
Eva Luetkebohmert and Julian Sester
University of Freiburg, Institute for Economic Researchaffiliation not provided to SSRN and National University of Singapore (NUS)affiliation not provided to SSRN
Downloads 797 (58,860)
Citation 1

Abstract:

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

2.

Robust Deep Hedging

Number of pages: 27 Posted: 30 Jun 2021 Last Revised: 29 Nov 2021
Eva Luetkebohmert, Thorsten Schmidt and Julian Sester
University of Freiburg, Institute for Economic Researchaffiliation not provided to SSRN, University of Freiburg and National University of Singapore (NUS)affiliation not provided to SSRN
Downloads 203 (277,092)
Citation 2

Abstract:

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affine processes, Knightian uncertainty, Kolmogorov equation, deep learning, robust hedging

3.

Tightening Robust Price Bounds for Exotic Derivatives

Number of pages: 27 Posted: 16 Dec 2018
Eva Luetkebohmert and Julian Sester
University of Freiburg, Institute for Economic Researchaffiliation not provided to SSRN and National University of Singapore (NUS)affiliation not provided to SSRN
Downloads 121 (426,243)
Citation 4

Abstract:

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

4.

Robust Bounds for Derivative Prices in Markovian Models

Number of pages: 28 Posted: 19 Dec 2018 Last Revised: 29 Feb 2020
Julian Sester
National University of Singapore (NUS)affiliation not provided to SSRN
Downloads 92 (516,697)
Citation 3

Abstract:

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Optimal Martingale Transport, Robust Pricing, Markov Property, Duality

5.

Model-free Price Bounds under Dynamic Option Trading

Number of pages: 25 Posted: 18 Feb 2021 Last Revised: 10 Mar 2021
Ariel Neufeld and Julian Sester
ETH Zürich and National University of Singapore (NUS)affiliation not provided to SSRN
Downloads 58 (667,451)
Citation 1

Abstract:

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Martingale optimal transport, European options, Price bounds, Sensitivity