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

5

DOWNLOADS

178

SSRN CITATIONS

5

CROSSREF CITATIONS

0

Scholarly Papers (5)

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 Nanyang Technological University (NTU) - School of Physical and Mathematical Sciences
Downloads 54 (408,194)
Citation 2

Abstract:

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

2.

Robust Bounds for Derivative Prices in Markovian Models

Number of pages: 28 Posted: 19 Dec 2018 Last Revised: 29 Feb 2020
Julian Sester
Nanyang Technological University (NTU) - School of Physical and Mathematical Sciences
Downloads 51 (418,680)
Citation 1

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Optimal Martingale Transport, Robust Pricing, Markov Property, Duality

3.

Robust Statistical Arbitrage Strategies

Number of pages: 34 Posted: 16 Aug 2019 Last Revised: 27 Jul 2020
Eva Lütkebohmert and Julian Sester
University of Freiburg, Institute for Economic Research and Nanyang Technological University (NTU) - School of Physical and Mathematical Sciences
Downloads 50 (422,267)

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

4.

On Intermediate Marginals in Martingale Optimal Transportation

Number of pages: 18 Posted: 12 May 2020
Julian Sester
Nanyang Technological University (NTU) - School of Physical and Mathematical Sciences
Downloads 20 (567,421)

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Martingale optimal transport, Additional information, Robust price bounds, Intermediate marginals

5.

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 Nanyang Technological University (NTU) - School of Physical and Mathematical Sciences
Downloads 3 (686,297)
Citation 2
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Abstract:

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