Academic Profile : Faculty
Asst Prof Ariel David Neufeld
Nanyang Assistant Professor, School of Physical & Mathematical Sciences - Division of Mathematical Sciences
Email
External Links
Journal Articles
(Not applicable to NIE
staff as info will be
pulled from PRDS)
(Not applicable to NIE
staff as info will be
pulled from PRDS)
Highly Cited:
Neufeld, A., & Nutz, M. (2013). Superreplication under volatility uncertainty for measurable claims. Electronic Journal of Probability, 18, 1-14.
Neufeld, A., & Nutz, M. (2018). Robust utility maximization with Lévy processes. Mathematical Finance, 28(1), 82-105.
Neufeld, A., & Nutz, M. (2014). Measurability of semimartingale characteristics with respect to the probability law. Stochastic Processes and their Applications, 124(11), 3819-3845.
Neufeld, A., & Nutz, M. (2017). Nonlinear Lévy processes and their characteristics. Transactions of the American Mathematical Society, 369(1), 69-95.
Ghosh, P., Neufeld, A., & Sahoo, J. K. (2022). Forecasting directional movements of stock prices for intraday trading using LSTM and random forests. Finance Research Letters, 46, 102280.
Neufeld, A., & Sikic, M. (2018). Robust utility maximization in discrete-time markets with friction. SIAM Journal on Control and Optimization, 56(3), 1912-1937.
Fadina, T., Neufeld, A., & Schmidt, T. (2019). Affine processes under parameter uncertainty. Probability, Uncertainty and Quantitative Risk, 4(1), 1-35.
Dolinsky, Y., & Neufeld, A. (2018). Super‐replication in fully incomplete markets. Mathematical Finance, 28(2), 483-515.
Bartl, D., Kupper, M., & Neufeld, A. (2020). Pathwise superhedging on prediction sets. Finance and Stochastics, 24(1), 215-248.
Neufeld, A. (2018). Buy-and-hold property for fully incomplete markets when super-replicating markovian claims. International Journal of Theoretical and Applied Finance, 21(08), 1850051.
Click here for more publications.
Recent Publication:
Ghosh, P., Neufeld, A., & Sahoo, J. K. (2022). Forecasting directional movements of stock prices for intraday trading using LSTM and random forests. Finance Research Letters, 46, 102280.
Neufeld, A., & Sester, J. (2021). On the stability of the martingale optimal transport problem: A set-valued map approach. Statistics and Probability Letters, 176, 109131.
Harms, P., Liu, C., & Neufeld, A. (2021). Supermartingale deflators in the absence of a numéraire. Mathematics and Financial Economics, 15(4), 885-915.
Bartl, D., Kupper, M., & Neufeld, A. (2021). Duality theory for robust utility maximisation. Finance and Stochastics, 25(3), 469-503.
Graber, P. J., Ignazio, V., & Neufeld, A. (2021). Nonlocal Bertrand and Cournot mean field games with general nonlinear demand schedule. Journal de Mathématiques Pures et Appliquées, 148, 150-198.
Neufeld, A., & Nutz, M. (2013). Superreplication under volatility uncertainty for measurable claims. Electronic Journal of Probability, 18, 1-14.
Neufeld, A., & Nutz, M. (2018). Robust utility maximization with Lévy processes. Mathematical Finance, 28(1), 82-105.
Neufeld, A., & Nutz, M. (2014). Measurability of semimartingale characteristics with respect to the probability law. Stochastic Processes and their Applications, 124(11), 3819-3845.
Neufeld, A., & Nutz, M. (2017). Nonlinear Lévy processes and their characteristics. Transactions of the American Mathematical Society, 369(1), 69-95.
Ghosh, P., Neufeld, A., & Sahoo, J. K. (2022). Forecasting directional movements of stock prices for intraday trading using LSTM and random forests. Finance Research Letters, 46, 102280.
Neufeld, A., & Sikic, M. (2018). Robust utility maximization in discrete-time markets with friction. SIAM Journal on Control and Optimization, 56(3), 1912-1937.
Fadina, T., Neufeld, A., & Schmidt, T. (2019). Affine processes under parameter uncertainty. Probability, Uncertainty and Quantitative Risk, 4(1), 1-35.
Dolinsky, Y., & Neufeld, A. (2018). Super‐replication in fully incomplete markets. Mathematical Finance, 28(2), 483-515.
Bartl, D., Kupper, M., & Neufeld, A. (2020). Pathwise superhedging on prediction sets. Finance and Stochastics, 24(1), 215-248.
Neufeld, A. (2018). Buy-and-hold property for fully incomplete markets when super-replicating markovian claims. International Journal of Theoretical and Applied Finance, 21(08), 1850051.
Click here for more publications.
Recent Publication:
Ghosh, P., Neufeld, A., & Sahoo, J. K. (2022). Forecasting directional movements of stock prices for intraday trading using LSTM and random forests. Finance Research Letters, 46, 102280.
Neufeld, A., & Sester, J. (2021). On the stability of the martingale optimal transport problem: A set-valued map approach. Statistics and Probability Letters, 176, 109131.
Harms, P., Liu, C., & Neufeld, A. (2021). Supermartingale deflators in the absence of a numéraire. Mathematics and Financial Economics, 15(4), 885-915.
Bartl, D., Kupper, M., & Neufeld, A. (2021). Duality theory for robust utility maximisation. Finance and Stochastics, 25(3), 469-503.
Graber, P. J., Ignazio, V., & Neufeld, A. (2021). Nonlocal Bertrand and Cournot mean field games with general nonlinear demand schedule. Journal de Mathématiques Pures et Appliquées, 148, 150-198.
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