Julian Sester

Nanyang Technological University (NTU) - School of Physical and Mathematical Sciences

S3 B2-A28 Nanyang Avenue

Singapore, 639798

Singapore

University of Freiburg

Freiburg, D-79085

Germany

SCHOLARLY PAPERS

6

DOWNLOADS

928

SSRN CITATIONS

8

CROSSREF CITATIONS

0

Scholarly Papers (6)

1.

Robust Statistical Arbitrage Strategies

Number of pages: 34 Posted: 16 Aug 2019 Last Revised: 27 Jul 2020
Eva Luetkebohmert, Julian Sester and Julian Sester
University of Freiburg, Institute for Economic Researchaffiliation not provided to SSRN and University of FreiburgNanyang Technological University (NTU) - School of Physical and Mathematical Sciences
Downloads 544 (77,964)

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, Julian Sester and Julian Sester
University of Freiburg, Institute for Economic Researchaffiliation not provided to SSRN, University of Freiburg and University of FreiburgNanyang Technological University (NTU) - School of Physical and Mathematical Sciences
Downloads 168 (266,254)

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, Julian Sester and Julian Sester
University of Freiburg, Institute for Economic Researchaffiliation not provided to SSRN and University of FreiburgNanyang Technological University (NTU) - School of Physical and Mathematical Sciences
Downloads 98 (398,989)
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 and Julian Sester
University of FreiburgNanyang Technological University (NTU) - School of Physical and Mathematical Sciences
Downloads 71 (483,657)
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, Julian Sester and Julian Sester
ETH Z├╝rich and University of FreiburgNanyang Technological University (NTU) - School of Physical and Mathematical Sciences
Downloads 42 (614,373)

Abstract:

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Martingale optimal transport, European options, Price bounds, Sensitivity

6.

Calculating Capital Charges for Sector Concentration Risk

Journal of Credit Risk, Forthcoming
Number of pages: 34 Posted: 22 Oct 2018
Cornelius Kurtz, Eva Luetkebohmert, Julian Sester and Julian Sester
European Central Bank (ECB), University of Freiburg, Institute for Economic Researchaffiliation not provided to SSRN and University of FreiburgNanyang Technological University (NTU) - School of Physical and Mathematical Sciences
Downloads 5 (909,045)
Citation 2
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Abstract:

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