Ariel Neufeld
Ariel Neufeld
Nanyang Assistant Professor in Mathematics, NTU Singapore
Verified email at - Homepage
Cited by
Cited by
Superreplication under volatility uncertainty for measurable claims
A Neufeld, M Nutz
Deep splitting method for parabolic PDEs
C Beck, S Becker, P Cheridito, A Jentzen, A Neufeld
SIAM Journal on Scientific Computing 43 (5), A3135-A3154, 2021
Nonlinear Lévy processes and their characteristics
A Neufeld, M Nutz
Transactions of the American Mathematical Society 369 (1), 69-95, 2017
Robust utility maximization with Lévy processes
A Neufeld, M Nutz
Mathematical Finance 28 (1), 82-105, 2018
Measurability of semimartingale characteristics with respect to the probability law
A Neufeld, M Nutz
Stochastic Processes and their Applications 124 (11), 3819-3845, 2014
Forecasting directional movements of stock prices for intraday trading using LSTM and random forests
P Ghosh, A Neufeld, JK Sahoo
Finance Research Letters 46, 102280, 2022
Strong error analysis for stochastic gradient descent optimization algorithms
A Jentzen, B Kuckuck, A Neufeld, P von Wurstemberger
IMA Journal of Numerical Analysis 41 (1), 455-492, 2021
Affine processes under parameter uncertainty
T Fadina, A Neufeld, T Schmidt
Probability, uncertainty and quantitative risk 4, 1-35, 2019
Robust utility maximization in discrete-time markets with friction
A Neufeld, M Sikic
SIAM Journal on Control and Optimization 56 (3), 1912-1937, 2018
Pathwise superhedging on prediction sets
D Bartl, M Kupper, A Neufeld
Finance and Stochastics 24 (1), 215-248, 2020
Super‐replication in fully incomplete markets
Y Dolinsky, A Neufeld
Mathematical Finance 28 (2), 483-515, 2018
Compactness criterion for semimartingale laws and semimartingale optimal transport
C Liu, A Neufeld
Transactions of the American Mathematical Society 372 (1), 187-231, 2019
Nonlocal Bertrand and Cournot Mean Field Games with General Nonlinear Demand Schedule
P Jameson Graber, V Ignazio, A Neufeld
Journal de Mathématiques Pures et Appliquées 148, 150-198, 2021
Model-free bounds for multi-asset options using option-implied information and their exact computation
A Neufeld, A Papapantoleon, Q Xiang
Management Science, 2022
Buy-and-hold property for fully incomplete markets when super-replicating markovian claims
A Neufeld
International Journal of Theoretical and Applied Finance 21 (08), 1850051, 2018
Duality theory for robust utility maximisation
D Bartl, M Kupper, A Neufeld
Finance and Stochastics 25 (3), 469-503, 2021
Deep learning based numerical approximation algorithms for stochastic partial differential equations and high-dimensional nonlinear filtering problems
C Beck, S Becker, P Cheridito, A Jentzen, A Neufeld
arXiv preprint arXiv:2012.01194, 2020
Stochastic integration and differential equations for typical paths
D Bartl, M Kupper, A Neufeld
A note on asymptotic exponential arbitrage with exponentially decaying failure probability
K Du, AD Neufeld
Journal of Applied Probability 50 (3), 801-809, 2013
Low-rank plus sparse decomposition of covariance matrices using neural network parametrization
M Baes, C Herrera, A Neufeld, P Ruyssen
IEEE Transactions on Neural Networks and Learning Systems, 2021
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