Academic Profile : Faculty

Asst Prof Ariel David Neufeld.jpg picture
Asst Prof Ariel David Neufeld
Nanyang Assistant Professor, School of Physical & Mathematical Sciences - Division of Mathematical Sciences
Journal Articles
(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.

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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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