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

7

DOWNLOADS

567

SSRN CITATIONS

8

CROSSREF CITATIONS

0

Scholarly Papers (7)

1.

Robust Statistical Arbitrage Strategies

Number of pages: 34 Posted: 16 Aug 2019 Last Revised: 27 Jul 2020
Eva Luetkebohmert, Eva Luetkebohmert, Julian Sester and Julian Sester
University of Freiburg, Institute for Economic ResearchUniversity of Freiburg - Institute for Economic Research and University of FreiburgNanyang Technological University (NTU) - School of Physical and Mathematical Sciences
Downloads 282 (141,142)

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, Eva Luetkebohmert, Thorsten Schmidt, Julian Sester and Julian Sester
University of Freiburg, Institute for Economic ResearchUniversity of Freiburg - Institute for Economic Research, University of Freiburg and University of FreiburgNanyang Technological University (NTU) - School of Physical and Mathematical Sciences
Downloads 91 (360,116)

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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, Eva Luetkebohmert, Julian Sester and Julian Sester
University of Freiburg, Institute for Economic ResearchUniversity of Freiburg - Institute for Economic Research and University of FreiburgNanyang Technological University (NTU) - School of Physical and Mathematical Sciences
Downloads 76 (400,877)
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 59 (457,379)
Citation 3

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Optimal Martingale Transport, Robust Pricing, Markov Property, Duality

5.

On Intermediate Marginals in Martingale Optimal Transportation

Number of pages: 18 Posted: 12 May 2020
Julian Sester and Julian Sester
University of FreiburgNanyang Technological University (NTU) - School of Physical and Mathematical Sciences
Downloads 37 (553,390)

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

6.

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 17 (680,477)

Abstract:

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Martingale optimal transport, European options, Price bounds, Sensitivity

7.

Calculating Capital Charges for Sector Concentration Risk

Journal of Credit Risk, Forthcoming
Number of pages: 34 Posted: 22 Oct 2018
Cornelius Kurtz, Eva Luetkebohmert, Eva Luetkebohmert, Julian Sester and Julian Sester
European Central Bank (ECB), University of Freiburg, Institute for Economic ResearchUniversity of Freiburg - Institute for Economic Research and University of FreiburgNanyang Technological University (NTU) - School of Physical and Mathematical Sciences
Downloads 5 (775,218)
Citation 2
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Abstract:

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