Demo Data from VLDB 2026 / reviewers in the wild / expert
Julian Sester
dblp:288/0955
· DBLP profile ↗
1ranked-venue papers
0as first author
1since 2021 · last 2023
0000-0002-8373-4135ORCID · reported
Domains — the database's venue-derived domains; a paper can count in several
Theory of computation · 1 · 1 since 2021
Expertise — from the expertise taxonomy: the topics of the expert's papers under the CCF categories. A weight counts papers with recency: 1 for a paper about the topic, 0.3 when the topic is its context, halved every five years.
| Interdisciplinary, comprehensive, and emerging computing
1 paper |
Computational finance and economics · 100% |
Topics — the 1 heaviest of 2, each with the papers that count most for it
| Topic | Weight | Papers | Last | Evidence papers |
|---|---|---|---|---|
Computational finance and economics
hedging |
0.2 | 1 | 2023 | A Deep Learning Approach to Data-Driven Model-Free Pricing and to Martingale Optimal Transport · IEEE Trans. Inf. Theory 2023 |
Methods — techniques the papers use, named apart from their topics
supervised learning · 0.7neural network · 0.7
| Year | Publication | Venue | Position |
|---|---|---|---|
| 2023 | A Deep Learning Approach to Data-Driven Model-Free Pricing and to Martingale Optimal TransportabstractWe introduce a novel and highly tractable supervised learning approach based on neural networks that can be applied for the computation of model-free price bounds of, potentially high-dimensional, financial derivatives and for the determination of optimal hedging strategies attaining these bounds. In particular, our methodology allows to train a single neural network offline and then to use it online for the fast determination of model-free price bounds of a whole class of financial derivatives with current market data. We show the applicability of this approach and highlight its accuracy in several examples involving real market data. Further, we show how a neural network can be trained to solve martingale optimal transport problems involving fixed marginal distributions instead of financial market data. Ariel Neufeld, Julian Sester |
IEEE Trans. Inf. Theory | 2 |