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

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
• green finance
• 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

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

• G้raldine Bouveret   (Gopalakrishnan - Presidential Postdoctoral Fellow)

• Pushpendu Ghosh   (Research Internship)

• Philipp Schmocker   (Research Internship, starting 02.2020)

• Julian Sester   (Postdoctoral Fellow, starting 04.2020)

• Qikun Xiang   (PhD Student)

Publications and Preprints

M. Baes, C. Herrera, A. Neufeld, P. Ruyssen:
Low-Rank plus Sparse Decomposition of Covariance Matrices using Neural Network Parametrization
Preprint (submitted), 2019 [PDF, arXiv]

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

A. Jentzen, B. Kuckuck, A. Neufeld, P. von Wurstemberger:
Strong error analysis for stochastic gradient descent optimization algorithms
IMA Journal of Numerical Analysis, forthcoming [PDF, arXiv]

D. Bartl, M. Kupper, A. Neufeld:
Pathwise superhedging on prediction sets
Finance and Stochastics, forthcoming [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]

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]

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]

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 L้vy Processes
Mathematical Finance, Vol. 28, No. 1, pp. 82-105, 2018 [PDF, arXiv, DOI]

A. Neufeld, M. Nutz:
Nonlinear L้vy 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: December 06, 2019