Dr. Julian Sester

Contact

Portrait_Julian

 

Here you can find my homepage.

 

 

Teaching

WS 2019/20: Math Preparation Course for Economists

SS 2019: Additional Tutorial, Principles of Finance

SS 2018: Additional Tutorial, Principles of Finance

WS 2017/18: Assistance, Finance in Practice

SS 2017: Additional Tutorial, Principles of Finance

WS 2016/17: Prep Course, Computational Finance

SS 2016: Tutorial, Principles of Finance

SS 2016: Assistance, IDA-Seminar: Finance in Practice

 

Research Interest

  • Model Uncertainty
  • Valuation of Financial Derivatives
  • Optimal Martingale Transport
  • Credit Risk

 

Carl-Zeiss Scholarship

I gratefully acknowledge financial support of the Carl-Zeiss Stiftung. The scholarship for my PhD-project was granted from October 2016 until September 2019.

 

Publications

Sester J.
Robust Bounds for Derivative Prices in Markovian Models
International Journal of Theoretical and Applied Finance, Forthcoming, 2020+
(http://ssrn.com/abstract=3297018)
 
Lütkebohmert E. and Sester J.
Tightening Robust Price Bounds for Exotic Derivatives,
Quantitative Finance 19 (11), pp. 1797-1815, 2019.
(SSRN Preprint: http://ssrn.com/abstract=3290503, Journal:  doi: 10.1080/14697688.2019.1603394)
 
Kurtz C., Lütkebohmert E. and Sester J.
Calculating Capital Charges for Sector Concentration Risk,
Journal of Credit Risk 14(4), IRMC 10th Anniversary Special Issue, pp. 35-67, 2018.
(doi:10.21314/JCR.2018.245)

Working Papers 

Lütkebohmert E. and Sester J.
Robust Statistical Arbitrage Strategies
(http://ssrn.com/abstract=3436788), 2019.

 

 
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