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
137 2021 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
116 2022 Superreplication under volatility uncertainty for measurable claims A Neufeld, M Nutz
Electronic Journal of Probability 18 (48), 1-14, 2013
113 2013 Nonlinear Lévy processes and their characteristics A Neufeld, M Nutz
Transactions of the American Mathematical Society 369 (1), 69-95, 2017
101 2017 Robust utility maximization with Lévy processes A Neufeld, M Nutz
Mathematical Finance 28 (1), 82-105, 2018
80 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
64 2014 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
48 2021 Affine processes under parameter uncertainty T Fadina, A Neufeld, T Schmidt
Probability, uncertainty and quantitative risk 4, 1-35, 2019
37 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
31 2018 Pathwise superhedging on prediction sets D Bartl, M Kupper, A Neufeld
Finance and Stochastics 24 (1), 215-248, 2020
25 2020 Super‐replication in fully incomplete markets Y Dolinsky, A Neufeld
Mathematical Finance 28 (2), 483-515, 2018
22 2018 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
20 2021 Compactness criterion for semimartingale laws and semimartingale optimal transport C Liu, A Neufeld
Transactions of the American Mathematical Society 372 (1), 187-231, 2019
17 2019 Model-free bounds for multi-asset options using option-implied information and their exact computation A Neufeld, A Papapantoleon, Q Xiang
Management Science 69 (4), 2051-2068, 2023
16 2023 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
16 2020 Duality theory for robust utility maximisation D Bartl, M Kupper, A Neufeld
Finance and Stochastics 25 (3), 469-503, 2021
15 2021 Non-asymptotic estimates for TUSLA algorithm for non-convex learning with applications to neural networks with ReLU activation function DY Lim, A Neufeld, S Sabanis, Y Zhang
IMA Journal of Numerical Analysis, 2023
13 2023 A deep learning approach to data-driven model-free pricing and to martingale optimal transport A Neufeld, J Sester
IEEE Transactions on Information Theory 69 (5), 3172-3189, 2023
11 2023 Robust A Neufeld, J Sester
arXiv preprint arXiv:2210.00898, 2022
11 2022 Stochastic integration and differential equations for typical paths D Bartl, M Kupper, A Neufeld
Electronic Journal of Probability 24 (97), 1-21, 2019
11 2019 