Welcome to the github page of Julian Sester.
- I am currently a Peng Tsu Ann Assistant Professor in mathematics at the National University of Singapore
- You can find more information about me and my research on my academic homepage.
- Please feel free to contact me: jul_ses@nus.edu.sg
I provide the companion code for the following papers.
- Non-concave distributionally robust stochastic control in a discrete time finite horizon setting (Python)
- Neural networks can detect model-free static arbitrage strategies (Python)
- Bounding the Difference between the Values of Robust and Non-Robust Markov Decision Problems (Python)
- A Multi-Marginal C-Convex Duality Theorem for Martingale Optimal Transport (Python)
- Robust Q-learning Algorithm for Markov Decision Processes under Wasserstein Uncertainty (Python)
- Markov Decision Processes under Model Uncertainty (Python)
- Improved Robust Price Bounds for Multi-Asset Derivatives Under Market-Implied Dependence Information (Python)
- Robust deep hedging (Python)
- Robust Statistical Arbitrage Strategies (R)
- Model-free price bounds under dynamic option trading (Python)
- A deep learning approach to data-driven model-free pricing and to martingale optimal transport (Python)
- Calculating capital charges for sector concentration risk (R)
Have fun!