Picture taken @ Da Nang, Vietnam
Picture taken @ Da Nang, Vietnam
Welcome to my academic website!
I am Julian Sester, a mathematician, focused on research in the area of financial mathematics and quantitative finance.
Since July 2024 I am a tenure-track assistant professor in the department of mathematics at the National University of Singapore.
Before that from July 2022 to June 2024 I was a Peng Tsu Ann Assistant Professor in mathematics in the same department.
Prior to coming to NUS, I was part of the research group of Ariel Neufeld as a postdoctoral research fellow at the Nanyang Technological University in Singapore. In December 2019, I completed my PhD in mathematics under the supervision of Eva Lütkebohmert at the University of Freiburg.
My publications
My CV
My teaching activities
Me at the Asian Quantitative Finance Conference 2025 in Shenzhen
Aug 2025: Paper accepted: Our paper Measuring Name Concentrations through Deep Learning in joint work with Eva Lütkebohmert has been accepted for publication in International Review of Financial Analysis.
Aug 2025: New preprint available: Empirical Analysis of the Model-Free Valuation Approach: Hedging Gaps, Conservatism, and Trading Opportunities in joint work with my students Zixing Chen, Yihan Qi, Shanlan Que, and Xiao Zhang.
Aug 2025: Paper accepted: Non-concave stochastic optimal control in finite discrete time under model uncertainty has been accepted for publication in Mathematical Finance.
July 2025: Paper accepted: Our paper Name Concentration Risk in Multilateral Development Banks' Portfolios: Measurement and Capital Adequacy Implications in joint work with Eva Lütkebohmert and Hongyi Shen has been accapted for publication in the Global Finance Journal.
May 2025: New preprint available: Distributionally Robust Deep Q-Learning in joint work with my PhD Student Chung I Lu and my final year project student Aijia Zhang.
May 2025: An updated version of the paper Non-concave stochastic optimal control in finite discrete time under model uncertainty (new name compared to previous version) has been uploaded to arxiv, in joint work with Ariel Neufeld.
Mar 2025: I am part of the organizing committee of the Quantitative Finance conference 2025 at NUS. Join us! Submissions can be handed in until 15 May 2025.
Feb 2025: An updated version of the paper Robust Q-Learning for finite ambiguity sets has been uploaded to arxiv, in joint work with my Master's student Cécile Decker.
Dec 2024: Our paper Robust Q-learning algorithm for Markov decision processes under Wasserstein uncertainty has been selected for the Editor's choice award .
Sep 2024: Paper accepted: Neural networks can detect model-free static arbitrage strategies has been accepted for publication in Applied Mathematics and Optimization.
Aug 2024: Paper accepted: Bounding the Difference between the Values of Robust and Non-Robust Markov Decision Problems has been accepted for publication in the Journal of Applied Probability.
Jul 2024: New preprint available: Generative model for financial time series trained with MMD using a signature kernel in joint work with my PhD Student Chung I Lu.
Jul 2024: New preprint available: Robust Q-Learning for finite ambiguity sets in joint work with my Master's student Cécile Decker.
Jun 2024: Paper accepted: Robust Q-learning algorithm for Markov decision processes under Wasserstein uncertainty has been accepted for publication in Automatica.
Apr 2024: New preprint available: Non-concave distributionally robust stochastic control in a discrete time finite horizon setting in joint work with Ariel Neufeld.
Mar 2024: New preprint available: Measuring Name Concentrations through Deep Learning in joint work with Eva Lütkebohmert.
Mar 2024: Paper published: A multi-marginal c-convex duality theorem for martingale optimal transport appears in the Statistics and Probability Letters.
Mar 2024: Paper accepted: in joint work with Ariel Neufeld and Daiying, our paper Detecting data-driven robust statistical arbitrage strategies with deep neural networks has been accepted for publication in the SIAM Journal of Financial Mathematics.
Jan 2024: I am proud to share that I received one of the Faculty Teaching Excellence Awards 2023