Nutz, Marcel; Wiesel, Johannes; Zhao, Long Limits of semistatic trading strategies. (English) Zbl 1522.91249 Math. Finance 33, No. 1, 185-205 (2023). MSC: 91G15 PDFBibTeX XMLCite \textit{M. Nutz} et al., Math. Finance 33, No. 1, 185--205 (2023; Zbl 1522.91249) Full Text: DOI arXiv
Nutz, Marcel; Wiesel, Johannes; Zhao, Long Martingale Schrödinger bridges and optimal semistatic portfolios. (English) Zbl 1503.91131 Finance Stoch. 27, No. 1, 233-254 (2023). MSC: 91G20 91G10 60G42 60H30 PDFBibTeX XMLCite \textit{M. Nutz} et al., Finance Stoch. 27, No. 1, 233--254 (2023; Zbl 1503.91131) Full Text: DOI arXiv
Nutz, Marcel; Wang, Ruodu The directional optimal transport. (English) Zbl 1487.49054 Ann. Appl. Probab. 32, No. 2, 1400-1420 (2022). MSC: 49Q22 62G10 93E20 PDFBibTeX XMLCite \textit{M. Nutz} and \textit{R. Wang}, Ann. Appl. Probab. 32, No. 2, 1400--1420 (2022; Zbl 1487.49054) Full Text: DOI arXiv
Beiglböck, Mathias; Nutz, Marcel; Stebegg, Florian Fine properties of the optimal Skorokhod embedding problem. (English) Zbl 1504.60062 J. Eur. Math. Soc. (JEMS) 24, No. 4, 1389-1429 (2022). Reviewer: Pavel Gapeev (London) MSC: 60G40 60G44 90C08 PDFBibTeX XMLCite \textit{M. Beiglböck} et al., J. Eur. Math. Soc. (JEMS) 24, No. 4, 1389--1429 (2022; Zbl 1504.60062) Full Text: DOI arXiv
Nutz, Marcel; Stebegg, Florian; Tan, Xiaowei Multiperiod martingale transport. (English) Zbl 1444.60033 Stochastic Processes Appl. 130, No. 3, 1568-1615 (2020). MSC: 60G42 49N05 PDFBibTeX XMLCite \textit{M. Nutz} et al., Stochastic Processes Appl. 130, No. 3, 1568--1615 (2020; Zbl 1444.60033) Full Text: DOI arXiv
Nutz, Marcel; Stebegg, Florian Canonical supermartingale couplings. (English) Zbl 1435.60030 Ann. Probab. 46, No. 6, 3351-3398 (2018). Reviewer: Nikolaos Fountoulakis (Edgbaston) MSC: 60G42 49N05 PDFBibTeX XMLCite \textit{M. Nutz} and \textit{F. Stebegg}, Ann. Probab. 46, No. 6, 3351--3398 (2018; Zbl 1435.60030) Full Text: DOI arXiv Euclid
Muhle-Karbe, Johannes; Nutz, Marcel A risk-neutral equilibrium leading to uncertain volatility pricing. (English) Zbl 1422.91716 Finance Stoch. 22, No. 2, 281-295 (2018). Reviewer: Claudio Fontana (Paris) MSC: 91G20 60G44 60H30 35Q91 PDFBibTeX XMLCite \textit{J. Muhle-Karbe} and \textit{M. Nutz}, Finance Stoch. 22, No. 2, 281--295 (2018; Zbl 1422.91716) Full Text: DOI arXiv
Guyon, Julien; Menegaux, Romain; Nutz, Marcel Bounds for VIX futures given S&P 500 smiles. (English) Zbl 1422.91698 Finance Stoch. 21, No. 3, 593-630 (2017). Reviewer: Gianluca Cassese (Milano) MSC: 91G20 91G10 60G42 49N05 PDFBibTeX XMLCite \textit{J. Guyon} et al., Finance Stoch. 21, No. 3, 593--630 (2017; Zbl 1422.91698) Full Text: DOI arXiv
Neufeld, Ariel; Nutz, Marcel Nonlinear Lévy processes and their characteristics. (English) Zbl 1356.60075 Trans. Am. Math. Soc. 369, No. 1, 69-95 (2017). Reviewer: Dominique Lepingle (Orléans) MSC: 60G51 60G44 35R09 PDFBibTeX XMLCite \textit{A. Neufeld} and \textit{M. Nutz}, Trans. Am. Math. Soc. 369, No. 1, 69--95 (2017; Zbl 1356.60075) Full Text: DOI arXiv
Bouchard, Bruno; Nutz, Marcel Stochastic target games and dynamic programming via regularized viscosity solutions. (English) Zbl 1334.93178 Math. Oper. Res. 41, No. 1, 109-124 (2016). MSC: 93E20 49L20 91A23 90C39 91G70 91G30 PDFBibTeX XMLCite \textit{B. Bouchard} and \textit{M. Nutz}, Math. Oper. Res. 41, No. 1, 109--124 (2016; Zbl 1334.93178) Full Text: DOI arXiv
Nutz, Marcel Utility maximization under model uncertainty in discrete time. (English) Zbl 1378.91114 Math. Finance 26, No. 2, 252-268 (2016). Reviewer: Johannes Muhle-Karbe (Pittsburgh) MSC: 91G10 60G44 60H30 PDFBibTeX XMLCite \textit{M. Nutz}, Math. Finance 26, No. 2, 252--268 (2016; Zbl 1378.91114) Full Text: DOI arXiv
Nutz, Marcel; Zhang, Jianfeng Optimal stopping under adverse nonlinear expectation and related games. (English) Zbl 1322.60047 Ann. Appl. Probab. 25, No. 5, 2503-2534 (2015). MSC: 60G44 91A15 93E20 49L20 91G20 PDFBibTeX XMLCite \textit{M. Nutz} and \textit{J. Zhang}, Ann. Appl. Probab. 25, No. 5, 2503--2534 (2015; Zbl 1322.60047) Full Text: DOI arXiv Euclid
Nutz, Marcel Robust superhedging with jumps and diffusion. (English) Zbl 1326.60120 Stochastic Processes Appl. 125, No. 12, 4543-4555 (2015). MSC: 60J75 60J60 60G51 60G44 91B25 91G80 93E20 PDFBibTeX XMLCite \textit{M. Nutz}, Stochastic Processes Appl. 125, No. 12, 4543--4555 (2015; Zbl 1326.60120) Full Text: DOI arXiv
Bouchard, Bruno; Nutz, Marcel Arbitrage and duality in nondominated discrete-time models. (English) Zbl 1322.60045 Ann. Appl. Probab. 25, No. 2, 823-859 (2015). MSC: 60G42 93E20 91B25 91G20 91G80 49L20 PDFBibTeX XMLCite \textit{B. Bouchard} and \textit{M. Nutz}, Ann. Appl. Probab. 25, No. 2, 823--859 (2015; Zbl 1322.60045) Full Text: DOI arXiv Euclid
Nutz, Marcel Superreplication under model uncertainty in discrete time. (English) Zbl 1312.60049 Finance Stoch. 18, No. 4, 791-803 (2014). Reviewer: Guy Jumarie (Montréal) MSC: 60G42 91B25 93E20 PDFBibTeX XMLCite \textit{M. Nutz}, Finance Stoch. 18, No. 4, 791--803 (2014; Zbl 1312.60049) Full Text: DOI arXiv
Neufeld, Ariel; Nutz, Marcel Measurability of semimartingale characteristics with respect to the probability law. (English) Zbl 1305.60031 Stochastic Processes Appl. 124, No. 11, 3819-3845 (2014). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 60G44 60G48 93E20 PDFBibTeX XMLCite \textit{A. Neufeld} and \textit{M. Nutz}, Stochastic Processes Appl. 124, No. 11, 3819--3845 (2014; Zbl 1305.60031) Full Text: DOI arXiv
Bouchard, Bruno; Moreau, Ludovic; Nutz, Marcel Stochastic target games with controlled loss. (English) Zbl 1290.49075 Ann. Appl. Probab. 24, No. 3, 899-934 (2014). MSC: 49N70 49L20 49L25 91A15 91A23 93E20 PDFBibTeX XMLCite \textit{B. Bouchard} et al., Ann. Appl. Probab. 24, No. 3, 899--934 (2014; Zbl 1290.49075) Full Text: DOI arXiv Euclid
Nutz, Marcel; van Handel, Ramon Constructing sublinear expectations on path space. (English) Zbl 1285.93104 Stochastic Processes Appl. 123, No. 8, 3100-3121 (2013). MSC: 93E20 60H30 91B30 28A05 PDFBibTeX XMLCite \textit{M. Nutz} and \textit{R. van Handel}, Stochastic Processes Appl. 123, No. 8, 3100--3121 (2013; Zbl 1285.93104) Full Text: DOI arXiv
Nutz, Marcel Random \(G\)-expectations. (English) Zbl 1273.93178 Ann. Appl. Probab. 23, No. 5, 1755-1777 (2013). MSC: 93E20 91B30 60H30 PDFBibTeX XMLCite \textit{M. Nutz}, Ann. Appl. Probab. 23, No. 5, 1755--1777 (2013; Zbl 1273.93178) Full Text: DOI arXiv Euclid
Dolinsky, Yan; Nutz, Marcel; Soner, H. Mete Weak approximation of \(G\)-expectations. (English) Zbl 1259.60073 Stochastic Processes Appl. 122, No. 2, 664-675 (2012). Reviewer: Klaus Schürger (Bonn) MSC: 60H30 60F05 60G44 91B25 91B30 PDFBibTeX XMLCite \textit{Y. Dolinsky} et al., Stochastic Processes Appl. 122, No. 2, 664--675 (2012; Zbl 1259.60073) Full Text: DOI arXiv