Ariel Neufeld

Ariel Neufeld

ETH Zurich
Department of Mathematics
Office HG G 50.1
Rämistrasse 101
8092 Zurich
Phone +41 44 632 6966

I am a postdoctoral researcher at ETH Zurich under the supervision of Prof. Patrick Cheridito.
I received my Ph.D. from ETH Zurich in 2015 under the supervision of Prof. Marcel Nutz and Prof. Martin Schweizer.

My research focuses on Stochastic Analysis and Stochastic Optimal Control applied to Financial and Insurance Mathematics.
In particular, I am interested in Model Uncertainty in Financial Markets and Annuity Contracts.
Moreover, I study Machine Learning Algorithms with applications to Finance and Insurance.

A detailed CV can be found here.


Young Researcher Workshop on Robust Mathematical Finance


Robustness in Mathematical Finance
Applied Stochastic Processes
Mathematical Finance
Brownian Motion and Stochastic Calculus

Publications and Preprints

A. Neufeld, M. Sikic:
Nonconcave Robust Optimization under Knightian Uncertainty
Preprint (submitted), 2017 [PDF, arXiv]

D. Bartl, M. Kupper and A. Neufeld:
Pathwise superhedging on prediction sets
Preprint (submitted), 2017 [PDF, arXiv]

A. Neufeld:
Buy-and-Hold Property for Fully Incomplete Markets when Super-replicating Markovian Claims
Preprint (submitted), 2017 [PDF, arXiv]

C. Liu, A. Neufeld:
Compactness Criterion for Semimartingale Laws and Semimartingale Optimal Transport
Transactions of the American Mathematical Society, minor revision [PDF, arXiv]

A. Neufeld, M. Sikic:
Robust Utility Maximization in Discrete-Time Markets with Friction
SIAM Journal on Control and Optimization (SICON), minor revision [PDF, arXiv]

Y. Dolinsky, A. Neufeld:
Super-replication in Fully Incomplete Markets
Mathematical Finance, forthcoming [PDF, arXiv, DOI]

A. Neufeld, M. Nutz:
Robust Utility Maximization with Lévy Processes
Mathematical Finance, forthcoming [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]


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

Last update: January 08, 2018