Ariel Neufeld

Ariel Neufeld
Assistant Professor


Nanyang Technological University (NTU)
Division of Mathematical Sciences
Office SPMS-MAS 05-02
21 Nanyang Link
Singapore 637371
Phone (65) 6592 1799
Email ariel.neufeld@ntu.edu.sg




I am a Nanyang Assistant Professor in mathematics at the Nanyang Technological University in Singapore.
I received my PhD from ETH Zurich in 2015 under the supervision of Prof. Marcel Nutz and Prof. Martin Schweizer.

My research focuses on:

• machine learning algorithms, their convergence rates, and their applications in finance and insurance
• model uncertainty in financial markets
• financial and insurance mathematics
• stochastic analysis and stochastic optimal control
• cybersecurity for insurance

Support by the NAP Grant is gratefully acknowledged.

A detailed CV can be found here.

Open Positions

I am looking for Postdocs, PhD students, as well as Bachelor/Master students who would like to join my research group; see for example

Postdoc position

PhD position

Research Internship position

Visiting Research Position for an early-to-mid career researcher

If you would like to join my research group (even if you do not see a suitable job announcement), please feel free to contact me anytime by email.

Members of the Research Group

Géraldine Bouveret   (Gopalakrishnan - Presidential Postdoctoral Fellow, started 11.2019)

Julian Sester   (Postdoctoral Research Fellow, started 04.2020)

Shunan Sheng   (Undergraduate Research Student, started 06.2020)

Qikun Xiang   (PhD Student, started 08.2019)

Daiying Yin   (Undergraduate Research Student, started 06.2020)

Ying Zhang   (Postdoctoral Research Fellow, started 11.2020)


Former Members of the Research Group

Pushpendu Ghosh   (Research Internship, 08.2019-12.2019)

Yongming Li   (Project Officer, 05.2020-12.2020)

Philipp Schmocker   (Research Internship, 02.2020-08.2020)


Teaching


Publications and Preprints

A. Neufeld, J. Sester:
A deep learning approach to data-driven model-free pricing and to martingale optimal transport
Preprint (submitted), 2021 [PDF, arXiv]

Q. Xiang, A. Neufeld, G. W. Peters, I. Nevat, A. Datta:
A Bonus-Malus Framework for Cyber Risk Insurance and Optimal Cybersecurity Provisioning
Preprint (submitted), 2021 [PDF, arXiv]

A. Neufeld, J. Sester:
Model-free price bounds under dynamic option trading
Preprint (submitted), 2021 [PDF, arXiv]

C. Beck, S. Becker, P. Cheridito, A. Jentzen, A. Neufeld:
Deep learning based numerical approximation algorithms for stochastic partial differential equations and high-dimensional nonlinear filtering problems
Preprint (submitted), 2020 [PDF, arXiv]

A. Neufeld, A. Papapantoleon, Q. Xiang:
Model-free bounds for multi-asset options using option-implied information and their exact computation
Preprint (submitted), 2020 [PDF, arXiv]

P. Ghosh, A. Neufeld, J. K. Sahoo:
Forecasting directional movements of stock prices for intraday trading using LSTM and random forests
Preprint (submitted), 2020 [PDF, arXiv]

C. Beck, S. Becker, P. Cheridito, A. Jentzen, A. Neufeld:
Deep splitting method for parabolic PDEs
Preprint (submitted), 2019 [PDF, arXiv]

A. Neufeld, J. Sester:
On the stability of the martingale optimal transport problem: A set-valued map approach
Statistics & Probability Letters, accepted for publication [PDF, arXiv]

D. Bartl, M. Kupper, A. Neufeld:
Duality Theory for Robust Utility Maximization
Finance and Stochastics, accepted for publication [PDF, arXiv]

P. Harms, C. Liu, A. Neufeld:
Supermartingale Deflators in the Absence of a Numéraire
Mathematics and Financial Economics, accepted for publication [PDF, arXiv]

M. Baes, C. Herrera, A. Neufeld, P. Ruyssen:
Low-Rank plus Sparse Decomposition of Covariance Matrices using Neural Network Parametrization
IEEE Transactions on Neural Networks and Learning Systems, accepted for publication [PDF, arXiv]

P. J. Graber, V. Ignazio, A. Neufeld:
Nonlocal Bertrand and Cournot Mean Field Games with General Nonlinear Demand Schedule
Journal de Mathématiques Pures et Appliquées (JMPA), Vol. 148, pp. 150-198, 2021 [PDF, arXiv, DOI]

A. Jentzen, B. Kuckuck, A. Neufeld, P. von Wurstemberger:
Strong error analysis for stochastic gradient descent optimization algorithms
IMA Journal of Numerical Analysis, Vol. 41, No. 1, pp. 455-492, 2021 [PDF, arXiv, DOI]

D. Bartl, M. Kupper, A. Neufeld:
Pathwise superhedging on prediction sets
Finance and Stochastics, Vol. 24, No. 1, pp. 215-248, 2020 [PDF, arXiv, DOI]

T. Fadina, A. Neufeld, T. Schmidt:
Affine processes under parameter uncertainty
Probability, Uncertainty and Quantitative Risk, Vol. 4, No. 1, pp. 1-35, 2019 [PDF, arXiv, DOI]

D. Bartl, M. Kupper, A. Neufeld:
Stochastic integration and differential equations for typical paths
Electronic Journal of Probability, Vol. 24, No. 97, pp. 1-21, 2019 [PDF, arXiv, DOI]

A. Neufeld, M. Sikic:
Nonconcave Robust Optimization with Discrete Strategies under Knightian Uncertainty
Mathematical Methods of Operations Research, Vol. 90, No. 2, pp. 229-253, 2019 [PDF, arXiv, DOI]

C. Liu, A. Neufeld:
Compactness Criterion for Semimartingale Laws and Semimartingale Optimal Transport
Transactions of the American Mathematical Society, Vol. 372, No. 1, pp. 187-231, 2019 [PDF, arXiv, DOI]

A. Neufeld:
Buy-and-Hold Property for Fully Incomplete Markets when Super-replicating Markovian Claims
International Journal of Theoretical and Applied Finance, Vol. 21, No. 7, pp. 1850051-1-12, 2018 [PDF, arXiv, DOI]

A. Neufeld, M. Sikic:
Robust Utility Maximization in Discrete-Time Markets with Friction
SIAM Journal on Control and Optimization (SICON), Vol. 56, No. 3, pp. 1912-1937, 2018 [PDF, arXiv, DOI]

Y. Dolinsky, A. Neufeld:
Super-replication in Fully Incomplete Markets
Mathematical Finance, Vol. 28, No. 2, pp. 483-515, 2018 [PDF, arXiv, DOI]

A. Neufeld, M. Nutz:
Robust Utility Maximization with Lévy Processes
Mathematical Finance, Vol. 28, No. 1, pp. 82-105, 2018 [PDF, arXiv, DOI]

A. Neufeld, M. Nutz:
Nonlinear Lévy Processes and their Characteristics
Transactions of the American Mathematical Society, Vol. 369, No. 1, pp. 69-95, 2017 [PDF, arXiv, DOI]

A. Neufeld, M. Nutz:
Measurability of Semimartingale Characteristics with Respect to the Probability Law
Stochastic Processes and their Applications, Vol. 124, No. 11, pp. 3819-3845, 2014 [PDF, arXiv, DOI]

A. Neufeld, M. Nutz:
Superreplication under Volatility Uncertainty for Measurable Claims
Electronic Journal of Probability, Vol. 18, No. 48, pp. 1-14, 2013 [PDF, arXiv, DOI]

K. Du, A. Neufeld:
A note on asymptotic exponential arbitrage with exponentially decaying failure probability
Journal of Applied Probability, Vol. 50, No. 3, pp. 801-809, 2013 [PDF, arXiv, DOI]


Theses

A. Neufeld:
Knightian Uncertainty in Mathematical Finance
PhD Thesis ETH Zurich, Diss. ETH No. 22605, 2015 [PDF, ETH e-collection]


Miscellaneous

The Oracle of DLPhi [PDF]

This manuscript has mostly humouristic value. However, while the main theorem is based on a dubious application of the axiom of choice, it is a correct mathematical statement.
Therefore, this manuscript at least highlights the dangers of applying mathematical theory to real-world applications blindly.


Last update: June 10, 2021