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 Ph.D. 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
annuity contract theory
financial and insurance mathematics
stochastic analysis and stochastic optimal control

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 for a research internship; see for example

Postdoc 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.

Teaching

Stochastic Processes MH 3512

Introduction
Lecture notes (many thanks to N. Privault)
Lecture notes (same, but marked)

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
Preprint (submitted), 2018 [PDF, arXiv]

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

D. Bartl, M. Kupper, A. Neufeld:
Stochastic integration and differential equations for typical paths
Electronic Journal of Probability, forthcoming [PDF, arXiv]

A. Neufeld, M. Sikic:
Nonconcave Robust Optimization with Discrete Strategies under Knightian Uncertainty
Mathematical Methods of Operations Research, forthcoming [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 Lvy Processes
Mathematical Finance, Vol. 28, No. 1, pp. 82-105, 2018 [PDF, arXiv, DOI]

A. Neufeld, M. Nutz:
Nonlinear Lvy 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]


Last update: August 2, 2019