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Measurability of semimartingale characteristics with respect to the probability law

Neufeld, Ariel; Nutz, Marcel - In: Stochastic Processes and their Applications 124 (2014) 11, pp. 3819-3845

Given a càdlàg process X on a filtered measurable space, we construct a version of its semimartingale characteristics which is measurable with respect to the underlying probability law. More precisely, let Psem be the set of all probability measures P under which X is a semimartingale. We...

Persistent link: https://www.econbiz.de/10011065015

Robust utility maximization with Lévy processes

Neufeld, Ariel; Nutz, Marcel - In: Mathematical finance : an international journal of … 28 (2018) 1, pp. 82-105

Persistent link: https://www.econbiz.de/10011969154

Buy-and hold property for fully incomplete markets when super-replicating Markovian claims

Neufeld, Ariel - In: International journal of theoretical and applied finance 21 (2018) 8, pp. 1-12

Persistent link: https://www.econbiz.de/10011971005

Improved robust price bounds for multi-asset derivatives under market-implied dependence information

Ansari, Jonathan; Lütkebohmert, Eva; Neufeld, Ariel; … - In: Finance and stochastics 28 (2024) 4, pp. 911-964

Persistent link: https://www.econbiz.de/10015130470

Duality theory for robust utility maximisation

Bartl, Daniel; Kupper, Michael; Neufeld, Ariel - In: Finance and stochastics 25 (2021) 3, pp. 469-503

Persistent link: https://www.econbiz.de/10012585983

Supermartingale deflators in the absence of a numéraire

Harms, Philipp; Liu, Chong; Neufeld, Ariel - In: Mathematics and financial economics 15 (2021) 4, pp. 885-915

Persistent link: https://www.econbiz.de/10012616862

Pathwise superhedging on prediction sets

Bartl, Daniel; Kupper, Michael; Neufeld, Ariel - In: Finance and stochastics 24 (2020) 1, pp. 215-248

Persistent link: https://www.econbiz.de/10012253346

Nonconcave robust optimization with discrete strategies under Knightian uncertainty

Neufeld, Ariel; Ṥikić, Mario - In: Mathematical methods of operations research 90 (2019) 2, pp. 229-253

Persistent link: https://www.econbiz.de/10012132710

Super-replication in fully incomplete markets

Dolinsky, Yan; Neufeld, Ariel - In: Mathematical finance : an international journal of … 28 (2018) 2, pp. 483-515

Persistent link: https://www.econbiz.de/10011969096

Forecasting directional movements of stock prices for intraday trading using LSTM and random forests

Ghosh, Pushpendu; Neufeld, Ariel; Sahoo, Jajati Keshari - In: Finance research letters 46 (2022) 1, pp. 1-8

Persistent link: https://www.econbiz.de/10013341333