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1

OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL

Eric Renault, Nizar Touzi

Journal:

Mathematical Finance

Year:

1996

Language:

english

File:

PDF, 1.09 MB

english, 1996

2

Second-order backward stochastic differential equations and fully nonlinear parabolic PDEs

Patrick Cheridito, H. Mete Soner, Nizar Touzi, Nicolas Victoir

Journal:

Communications on Pure and Applied Mathematics

Year:

2007

Language:

english

File:

PDF, 234 KB

english, 2007

3

The fundamental theorem of asset pricing with cone constraints

Huyên Pham, Nizar Touzi

Journal:

Journal of Mathematical Economics

Year:

1999

Language:

english

File:

PDF, 120 KB

english, 1999

4

Applications of Malliavin calculus to Monte Carlo methods in finance

Eric Fournié, Jean-Michel Lasry, Jérôme Lebuchoux, Pierre-Louis Lions, Nizar Touzi

Journal:

Finance and Stochastics

Year:

1999

Language:

english

File:

PDF, 228 KB

english, 1999

5

Contingent Claims and Market Completeness in a Stochastic Volatility Model

Marc Romano, Nizar Touzi

Journal:

Mathematical Finance

Year:

1997

Language:

english

File:

PDF, 151 KB

english, 1997

6

Unbiased simulation of stochastic differential equations

Henry-Labordère, Pierre, Tan, Xiaolu, Touzi, Nizar

Journal:

The Annals of Applied Probability

Year:

2017

Language:

english

File:

PDF, 357 KB

english, 2017

7

The Root solution to the multi-marginal embedding problem: an optimal stopping and time-reversal approach

Cox, Alexander M. G., Obłój, Jan, Touzi, Nizar

Journal:

Probability Theory and Related Fields

Year:

2018

Language:

english

File:

PDF, 976 KB

english, 2018

8

Special Issue: Optimization and Stochastic Control in Finance, Journal of Optimization Theory and Applications

Bouchard, Bruno, Soner, H. Mete, Touzi, Nizar

Journal:

Journal of Optimization Theory and Applications

Year:

2018

Language:

english

File:

PDF, 300 KB

english, 2018

9

HEDGING UNDER GAMMA CONSTRAINTS BY OPTIMAL STOPPING AND FACE-LIFTING

H. Mete Soner, Nizar Touzi

Journal:

Mathematical Finance

Year:

2007

Language:

english

File:

PDF, 271 KB

english, 2007

10

OPTIMAL INVESTMENT UNDER RELATIVE PERFORMANCE CONCERNS

Espinosa, Gilles-Edouard, Touzi, Nizar

Journal:

Mathematical Finance

Year:

2015

Language:

english

File:

PDF, 437 KB

english, 2015

11

Branching diffusion representation of semilinear PDEs and Monte Carlo approximation

Henry-Labordère, Pierre, Oudjane, Nadia, Tan, Xiaolu, Touzi, Nizar, Warin, Xavier

Journal:

Annales de l'Institut Henri Poincare (B) Probability and Statistics

Year:

2019

File:

PDF, 844 KB

2019

12

Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations

Bruno Bouchard, Nizar Touzi

Journal:

Stochastic Processes and their Applications

Year:

2004

Language:

english

File:

PDF, 424 KB

english, 2004

13

Optimal investment with taxes: an existence result

Elyès Jouini, Pierre-F. Koehl, Nizar Touzi

Journal:

Journal of Mathematical Economics

Year:

2000

Language:

english

File:

PDF, 116 KB

english, 2000

14

Optimal lifetime consumption and investment under a

Romuald Elie, Nizar Touzi

Journal:

Finance and Stochastics

Year:

2008

Language:

english

File:

PDF, 680 KB

english, 2008

15

Monte Carlo Estimation of a Joint Density Using Malliavin Calculus, and Application to American Options

Moez Mrad, Nizar Touzi, Amina Zeghal

Journal:

Computational Economics

Year:

2006

Language:

english

File:

PDF, 383 KB

english, 2006

16

Optimal derivatives design for mean–variance agents under adverse selection

Guillaume Carlier, Ivar Ekeland, Nizar Touzi

Journal:

Mathematics and Financial Economics

Year:

2007

Language:

english

File:

PDF, 338 KB

english, 2007

17

No Arbitrage in Discrete Time Under Portfolio Constraints

Laurence Carassus, Huye^n Pham, Nizar Touzi

Journal:

Mathematical Finance

Year:

2001

Language:

english

File:

PDF, 148 KB

english, 2001

18

EQUILIBRIUM STATE PRICES IN A STOCHASTIC VOLATILITY MODEL

Huyěn Pham, Nizar Touzi

Journal:

Mathematical Finance

Year:

1996

Language:

english

File:

PDF, 1.07 MB

english, 1996

19

OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS

René Carmona, Nizar Touzi

Journal:

Mathematical Finance

Year:

2008

Language:

english

File:

PDF, 2.40 MB

english, 2008

20

Wellposedness of second order backward SDEs

Soner, H. Mete, Touzi, Nizar, Zhang, Jianfeng

Journal:

Probability Theory and Related Fields

Year:

2012

Language:

english

File:

PDF, 440 KB

english, 2012

21

Merton Problem with Taxes: Characterization, Computation, and Approximation

Tahar, Imen Ben, Soner, H. Mete, Touzi, Nizar

Journal:

SIAM Journal on Financial Mathematics

Year:

2010

Language:

english

File:

PDF, 1.62 MB

english, 2010

22

Weak Dynamic Programming Principle for Viscosity Solutions

Bouchard, Bruno, Touzi, Nizar

Journal:

SIAM Journal on Control and Optimization

Year:

2011

Language:

english

File:

PDF, 235 KB

english, 2011

23

A numerical algorithm for a class of BSDEs via the branching process

Henry-Labordère, Pierre, Tan, Xiaolu, Touzi, Nizar

Journal:

Stochastic Processes and their Applications

Year:

2014

Language:

english

File:

PDF, 375 KB

english, 2014

24

Stochastic Target Problems, Dynamic Programming, and Viscosity Solutions

Soner, H. Mete, Touzi, Nizar

Journal:

SIAM Journal on Control and Optimization

Year:

2002

Language:

english

File:

PDF, 209 KB

english, 2002

25

A STRUCTURAL RISK-NEUTRAL MODEL OF ELECTRICITY PRICES

AÏD, RENÉ, CAMPI, LUCIANO, HUU, ADRIEN NGUYEN, TOUZI, NIZAR

Journal:

International Journal of Theoretical and Applied Finance

Year:

2009

Language:

english

File:

PDF, 415 KB

english, 2009

26

Homogenization and Asymptotics for Small Transaction Costs: The Multidimensional Case

Possamaï, Dylan, Soner, H. Mete, Touzi, Nizar

Journal:

Communications in Partial Differential Equations

Year:

2015

Language:

english

File:

PDF, 1.14 MB

english, 2015

27

Moral Hazard in Dynamic Risk Management

Cvitanić, Jakša, Possamaï, Dylan, Touzi, Nizar

Journal:

Management Science

Year:

2016

Language:

english

File:

PDF, 427 KB

english, 2016

28

Hedging and Vertical Integration in Electricity Markets

Aïd, René, Chemla, Gilles, Porchet, Arnaud, Touzi, Nizar

Journal:

Management Science

Year:

2011

Language:

english

File:

PDF, 405 KB

english, 2011

29

Optimal Skorokhod Embedding Under Finitely Many Marginal Constraints

Guo, Gaoyue, Tan, Xiaolu, Touzi, Nizar

Journal:

SIAM Journal on Control and Optimization

Year:

2016

Language:

english

File:

PDF, 482 KB

english, 2016

30

Dynamic programming approach to principal–agent problems

Cvitanić, Jakša, Possamaï, Dylan, Touzi, Nizar

Journal:

Finance and Stochastics

Year:

2017

Language:

english

File:

PDF, 1020 KB

english, 2017

31

Optimal Make-Take Fees for Market Making Regulation

El Euch, Omar, Mastrolia, Thibaut, Rosenbaum, Mathieu, Touzi, Nizar

Journal:

SSRN Electronic Journal

Year:

2018

Language:

english

File:

PDF, 755 KB

english, 2018

32

Law Invariant Risk Measures Have the Fatou Property

Jouini, Elyes, Schachermayer, Walter, Touzi, Nizar

Journal:

SSRN Electronic Journal

Year:

2005

Language:

english

File:

PDF, 229 KB

english, 2005

33

The multi-dimensional super-replication problem under gamma constraints

Patrick Cheridito, H. Mete Soner, Nizar Touzi

Journal:

Annales de l'Institut Henri Poincare (C) Non Linear Analysis

Year:

2005

File:

PDF, 305 KB

2005

34

No arbitrage conditions and liquidity

Fabian Astic, Nizar Touzi

Journal:

Journal of Mathematical Economics

Year:

2007

Language:

english

File:

PDF, 237 KB

english, 2007

35

Martingale representation theorem for the -expectation

H. Mete Soner, Nizar Touzi, Jianfeng Zhang

Journal:

Stochastic Processes and their Applications

Year:

2011

Language:

english

File:

PDF, 309 KB

english, 2011

36

Spectral methods for identifying scalar diffusions

Lars Peter Hansen, José Alexandre Scheinkman, Nizar Touzi

Journal:

Journal of Econometrics

Year:

1998

Language:

english

File:

PDF, 195 KB

english, 1998

37

Direct characterization of the value of super-replication under stochastic volatility and portfolio constraints

Journal:

Stochastic Processes and their Applications

Year:

2000

Language:

english

File:

PDF, 174 KB

english, 2000

38

Optimal investment with taxes: an optimal control problem with endogeneous delay

Elyès Jouini, Pierre-F. Koehl, Nizar Touzi

Journal:

Nonlinear Analysis: Theory, Methods & Applications

Year:

1999

Language:

english

File:

PDF, 176 KB

english, 1999

39

Valuation of power plants by utility indifference and numerical computation

Arnaud Porchet, Nizar Touzi, Xavier Warin

Journal:

Mathematical Methods of Operations Research

Year:

2009

Language:

english

File:

PDF, 479 KB

english, 2009

40

Super-replication under proportional transaction costs: From discrete to continuous-time models

Journal:

Mathematical Methods of Operations Research

Year:

1999

Language:

english

File:

PDF, 183 KB

english, 1999

41

On the Malliavin approach to Monte Carlo approximation of conditional expectations

Bruno Bouchard, Ivar Ekeland, Nizar Touzi

Journal:

Finance and Stochastics

Year:

2004

Language:

english

File:

PDF, 308 KB

english, 2004

42

Vector-valued coherent risk measures

Elyés Jouini, Moncef Meddeb, Nizar Touzi

Journal:

Finance and Stochastics

Year:

2004

Language:

english

File:

PDF, 260 KB

english, 2004

43

Option hedging for small investors under liquidity costs

Umut Çetin, H. Mete Soner, Nizar Touzi

Journal:

Finance and Stochastics

Year:

2010

Language:

english

File:

PDF, 569 KB

english, 2010

44

A closed-form solution to the problem of super-replication under transaction costs

Jakša Cvitanić, Huyên Pham, Nizar Touzi

Journal:

Finance and Stochastics

Year:

1999

Language:

english

File:

PDF, 218 KB

english, 1999

45

Dynamic programming for stochastic target problems and geometric flows

H. Mete Soner, Nizar Touzi

Journal:

Journal of the European Mathematical Society

Year:

2002

Language:

english

File:

PDF, 294 KB

english, 2002

46

Stochastic Target Problems with Controlled Loss

Bouchard, Bruno, Elie, Romuald, Touzi, Nizar

Journal:

SIAM Journal on Control and Optimization

Year:

2010

Language:

english

File:

PDF, 335 KB

english, 2010

47

[Fields Institute Monographs] Optimal Stochastic Control, Stochastic Target Problems, and Backward SDE Volume 29 || Dynamic Programming Equation in the Viscosity Sense

Year:

2013

Language:

english

File:

PDF, 152 KB

english, 2013

48

[Fields Institute Monographs] Optimal Stochastic Control, Stochastic Target Problems, and Backward SDE Volume 29 || Stochastic Target Problems

Year:

2013

Language:

english

File:

PDF, 248 KB

english, 2013

49

[Fields Institute Monographs] Optimal Stochastic Control, Stochastic Target Problems, and Backward SDE Volume 29 || Solving Control Problems by Verification

Year:

2013

Language:

english

File:

PDF, 187 KB

english, 2013

50

[Fields Institute Monographs] Optimal Stochastic Control, Stochastic Target Problems, and Backward SDE Volume 29 || Introduction

Year:

2013

Language:

english

File:

PDF, 75 KB

english, 2013

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