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Author ID: touzi.nizar Recent zbMATH articles by "Touzi, Nizar"
Published as: Touzi, Nizar; Touzi, N.
Homepage: http://www.cmap.polytechnique.fr/~touzi/
all top 5

Co-Authors

8 single-authored
23 Soner, Halil Mete
13 Zhang, Jianfeng
10 Bouchard, Bruno
10 Tan, Xiaolu
9 Henry-Labordère, Pierre
9 Jouini, Elyès
8 Pham, Huyên
7 Carmona, René A.
7 Ren, Zhenjie
6 Ekeland, Ivar
6 Possamaï, Dylan
5 Scheinkman, José Alexandre
4 Cinlar, Erhan
4 Ekren, Ibrahim
4 Elie, Romuald
4 Koehl, Pierre-François
3 Aïd, René
3 Cheridito, Patrick
3 Cvitanić, Jakša
3 Espinosa, Gilles-Edouard
3 Guo, Gaoyue
3 Obloj, Jan K.
3 Schweizer, Martin
3 Warin, Xavier
3 Yang, Junjian
2 Beiglböck, Mathias
2 Bentahar, Imen
2 Fournié, Eric
2 Kramkov, Dmitriĭ Olegovich
2 Lin, Yiqing
2 Porchet, Arnaud
2 Renault, Eric
2 Royer, Guillaume
2 Schachermayer, Walter
2 Spoida, Peter
2 Zeghal, Amina Bouzguenda
1 Astic, Fabian
1 Barrasso, Adrien
1 Bensoussan, Alain
1 Campi, Luciano
1 Carassus, Laurence
1 Carlier, Guillaume
1 Çetin, Umut
1 Chemla, Gilles
1 Cosso, Andrea
1 Cox, Alexander Matthew Gordon
1 Crisan, Dan O.
1 De March, Hadrien
1 Deelstra, Griselda
1 Delarue, François
1 El Karoui, Nicole
1 Fabre, Emilie
1 Fahim, Arash
1 Federico, Salvatore
1 Fermanian, Jean-David
1 Galichon, Alfred
1 Gourieroux, Christian
1 Gozzi, Fausto
1 Hansen, Lars Peter
1 Kabanov, Yu. A.
1 Källblad, Sigrid
1 Keller, Christian
1 Lasry, Jean-Michel
1 Lebuchoux, Jérôme
1 Ma, Jin
1 Manolarakis, Konstantinos
1 Meddeb, Moncef
1 Menaldi, Jose-Luis
1 Mrad, Moez
1 Nguyen-Huu, Adrien
1 Nutz, Marcel
1 Øksendal, Bernt Karsten
1 Oudjane, Nadia
1 Ouerdiane, Habib
1 Richard, Alexandre
1 Romano, Marc
1 Rosestolato, Mauro
1 Victoir, Nicolas B.
1 Vieille, Nicolas

Publications by Year

Citations contained in zbMATH Open

107 Publications have been cited 2,930 times in 1,732 Documents Cited by Year
Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations. Zbl 1071.60059
Bouchard, Bruno; Touzi, Nizar
194
2004
Wellposedness of second order backward SDEs. Zbl 1252.60056
Soner, H. Mete; Touzi, Nizar; Zhang, Jianfeng
118
2012
Law invariant risk measures have the Fatou property. Zbl 1198.46028
Jouini, Elyès; Schachermayer, Walter; Touzi, Nizar
111
2006
Martingale representation theorem for the \(G\)-expectation. Zbl 1228.60070
Soner, H. Mete; Touzi, Nizar; Zhang, Jianfeng
90
2011
Optimal risk sharing for law invariant monetary utility functions. Zbl 1133.91360
Jouini, E.; Schachermayer, W.; Touzi, N.
89
2008
A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options. Zbl 1285.49012
Galichon, A.; Henry-Labordère, P.; Touzi, N.
89
2014
Second-order backward stochastic differential equations and fully nonlinear parabolic PDEs. Zbl 1121.60062
Cheridito, Patrick; Soner, H. Mete; Touzi, Nizar; Victoir, Nicolas
86
2007
Vector-valued coherent risk measures. Zbl 1063.91048
Jouini, Elyès; Meddeb, Moncef; Touzi, Nizar
80
2004
Optimal multiple stopping and valuation of swing options. Zbl 1133.91499
Carmona, René; Touzi, Nizar
76
2008
On viscosity solutions of path dependent PDEs. Zbl 1320.35154
Ekren, Ibrahim; Keller, Christian; Touzi, Nizar; Zhang, Jianfeng
76
2014
Viscosity solutions of fully nonlinear parabolic path dependent PDEs. I. Zbl 1375.35250
Ekren, Ibrahim; Touzi, Nizar; Zhang, Jianfeng
67
2016
Optimal stochastic control, stochastic target problems, and backward SDE. Zbl 1256.93008
Touzi, Nizar
67
2013
Weak dynamic programming principle for viscosity solutions. Zbl 1228.49028
Bouchard, Bruno; Touzi, Nizar
66
2011
Option hedging and implied volatilities in a stochastic volatility model. Zbl 0915.90028
Renault, Eric; Touzi, Nizar
63
1996
Contingent claims and market completeness in a stochastic volatility model. Zbl 1034.91501
Romano, Marc; Touzi, Nizar
56
1997
Viscosity solutions of fully nonlinear parabolic path dependent PDEs. II. Zbl 1394.35228
Ekren, Ibrahim; Touzi, Nizar; Zhang, Jianfeng
56
2016
Quasi-sure stochastic analysis through aggregation. Zbl 1245.60062
Soner, H. Mete; Touzi, Nizar; Zhang, Jianfeng
56
2011
A probabilistic numerical method for fully nonlinear parabolic PDEs. Zbl 1230.65009
Fahim, Arash; Touzi, Nizar; Warin, Xavier
55
2011
Dual formulation of second order target problems. Zbl 1293.60063
Soner, H. Mete; Touzi, Nizar; Zhang, Jianfeng
53
2013
Dynamic programming for stochastic target problems and geometric flows. Zbl 1003.49003
Soner, H. Mete; Touzi, Nizar
44
2002
Spectral methods for identifying scalar diffusions. Zbl 0962.62094
Hansen, Lars Peter; Scheinkman, José Alexandre; Touzi, Nizar
43
1998
Complete duality for martingale optimal transport on the line. Zbl 1417.60032
Beiglböck, Mathias; Nutz, Marcel; Touzi, Nizar
43
2017
A closed-form solution to the problem of super-replication under transaction costs. Zbl 0924.90010
Cvitanić, Jakša; Pham, Huyên; Touzi, Nizar
41
1999
Optimal investment under relative performance concerns. Zbl 1403.91310
Espinosa, Gilles-Edouard; Touzi, Nizar
41
2015
Optimal transportation under controlled stochastic dynamics. Zbl 1283.60097
Tan, Xiaolu; Touzi, Nizar
39
2013
A numerical algorithm for a class of BSDEs via the branching process. Zbl 1301.60084
Henry-Labordère, Pierre; Tan, Xiaolu; Touzi, Nizar
38
2014
Stochastic target problems, dynamic programming, and viscosity solutions. Zbl 1011.49019
Soner, H. Mete; Touzi, Nizar
37
2002
Continuous-time Dynkin games with mixed strategies. Zbl 1020.60028
Touzi, Nizar; Vieille, Nicolas
37
2002
Stochastic target problems with controlled loss. Zbl 1202.49028
Bouchard, Bruno; Elie, Romuald; Touzi, Nizar
37
2010
Optimal lifetime consumption and investment under a drawdown constraint. Zbl 1164.91011
Elie, Romuald; Touzi, Nizar
36
2008
Option hedging for small investors under liquidity costs. Zbl 1226.91072
Çetin, Umut; Soner, H. Mete; Touzi, Nizar
35
2010
An explicit martingale version of the one-dimensional Brenier theorem. Zbl 1369.91181
Henry-Labordère, Pierre; Touzi, Nizar
32
2016
Dual formulation of the utility maximization problem under transaction costs. Zbl 1012.60059
Deelstra, Griselda; Pham, Huyên; Touzi, Nizar
30
2001
Optimal stopping under nonlinear expectation. Zbl 1325.60061
Ekren, Ibrahim; Touzi, Nizar; Zhang, Jianfeng
30
2014
On the Malliavin approach to Monte Carlo approximation of conditional expectations. Zbl 1051.60061
Bouchard, Bruno; Ekeland, Ivar; Touzi, Nizar
28
2004
Super-replication in stochastic volatility models under portfolio constraints. Zbl 0956.91043
Cvitanić, Jakša; Pham, Huyên; Touzi, Nizar
27
1999
Superreplication under gamma constraints. Zbl 0960.91036
Soner, H. Mete; Touzi, Nizar
26
2000
Branching diffusion representation of semilinear PDEs and Monte Carlo approximation. Zbl 1467.60067
Henry-Labordère, Pierre; Oudjane, Nadia; Tan, Xiaolu; Touzi, Nizar; Warin, Xavier
25
2019
The maximum maximum of a martingale with given \(n\) marginals. Zbl 1337.60078
Henry-Labordère, Pierre; Obłój, Jan; Spoida, Peter; Touzi, Nizar
25
2016
The fundamental theorem of asset pricing with cone constraints. Zbl 0937.91064
Pham, Huyên; Touzi, Nizar
25
1999
An explicit martingale version of the one-dimensional Brenier’s theorem with full marginals constraint. Zbl 1346.60058
Henry-Labordère, Pierre; Tan, Xiaolu; Touzi, Nizar
23
2016
Homogenization and asymptotics for small transaction costs. Zbl 1280.91158
Soner, H. Mete; Touzi, Nizar
23
2013
The multi-dimensional super-replication problem under gamma constraints. Zbl 1078.91010
Cheridito, Patrick; Soner, H. Mete; Touzi, Nizar
21
2005
Dynamic programming approach to principal-agent problems. Zbl 1391.91116
Cvitanić, Jakša; Possamaï, Dylan; Touzi, Nizar
20
2018
Dual formulation of the utility maximization problem: the case of nonsmooth utility. Zbl 1126.91018
Bouchard, B.; Touzi, N.; Zeghal, A.
19
2004
On the Monte Carlo simulation of BSDEs: an improvement on the Malliavin weights. Zbl 1193.65005
Crisan, D.; Manolarakis, K.; Touzi, N.
19
2010
Explicit solution to the multivariate super-replication problem under transaction costs. Zbl 1083.91510
Bouchard, Bruno; Touzi, Nizar
17
2000
Tightness and duality of martingale transport on the Skorokhod space. Zbl 1406.91443
Guo, Gaoyue; Tan, Xiaolu; Touzi, Nizar
17
2017
An overview of viscosity solutions of path-dependent PDEs. Zbl 1384.35042
Ren, Zhenjie; Touzi, Nizar; Zhang, Jianfeng
17
2014
Optimal Skorokhod embedding given full marginals and Azéma-Yor peacocks. Zbl 1370.60075
Källblad, Sigrid; Tan, Xiaolu; Touzi, Nizar
17
2017
Monotone martingale transport plans and Skorokhod embedding. Zbl 1372.60059
Beiglböck, Mathias; Henry-Labordère, Pierre; Touzi, Nizar
17
2017
On the robust superhedging of measurable claims. Zbl 1297.93188
Possamaï, Dylan; Royer, Guillaume; Touzi, Nizar
17
2013
Comparison of viscosity solutions of fully nonlinear degenerate parabolic path-dependent PDEs. Zbl 06804335
Ren, Zhenjie; Touzi, Nizar; Zhang, Jianfeng
17
2017
A stochastic representation for mean curvature type geometric flows. Zbl 1080.60076
Soner, H. Mete; Touzi, Nizar
16
2003
Optimal Skorokhod embedding under finitely many marginal constraints. Zbl 1351.60048
Guo, Gaoyue; Tan, Xiaolu; Touzi, Nizar
16
2016
A structural risk-neutral model of electricity prices. Zbl 1188.91069
Aïd, René; Campi, Luciano; Huu, Adrien Nguyen; Touzi, Nizar
15
2009
Discrete-time approximation of BSDEs and probabilistic schemes for fully nonlinear PDEs. Zbl 1179.65004
Bouchard, Bruno; Elie, Romuald; Touzi, Nizar
15
2009
Calibration by simulation for small sample bias correction. Zbl 1184.62048
Gourieroux, Christian; Renault, Eric; Touzi, Nizar
15
2000
On the monotonicity principle of optimal Skorokhod embedding problem. Zbl 1348.60066
Guo, Gaoyue; Tan, Xiaolu; Touzi, Nizar
15
2016
Homogenization and asymptotics for small transaction costs: the multidimensional case. Zbl 1366.91144
Possamaï, Dylan; Soner, H. Mete; Touzi, Nizar
15
2015
Path-dependent equations and viscosity solutions in infinite dimension. Zbl 06865120
Cosso, Andrea; Federico, Salvatore; Gozzi, Fausto; Rosestolato, Mauro; Touzi, Nizar
15
2018
A stochastic representation for the level set equations. Zbl 1036.49010
Soner, H. Mete; Touzi, Nizar
14
2002
No arbitrage in discrete time under portfolio constraints. Zbl 1055.91018
Carassus, Laurence; Pham, Huyên; Touzi, Nizar
12
2001
Option pricing by large risk aversion utility under transaction costs. Zbl 1011.91043
Bouchard, B.; Kabanov, Yu. A.; Touzi, N.
12
2001
Irreducible convex paving for decomposition of multidimensional martingale transport plans. Zbl 1467.60028
De March, Hadrien; Touzi, Nizar
11
2019
Optimal insurance demand under marked point processes shocks. Zbl 1161.91419
Touzi, Nizar
11
2000
Valuation of power plants by utility indifference and numerical computation. Zbl 1180.91218
Porchet, Arnaud; Touzi, Nizar; Warin, Xavier
11
2009
The dynamic programming equation for second order stochastic target problems. Zbl 1229.91324
Soner, H. Mete; Touzi, Nizar
11
2009
Optimal derivatives design for mean-variance agents under adverse selection. Zbl 1173.91379
Carlier, Guillaume; Ekeland, Ivar; Touzi, Nizar
11
2007
Singular forward-backward stochastic differential equations and emissions derivatives. Zbl 1276.60070
Carmona, René; Delarue, François; Espinosa, Gilles-Edouard; Touzi, Nizar
10
2013
Maturity randomization for stochastic control problems. Zbl 1177.93097
Bouchard, Bruno; El Karoui, Nicole; Touzi, Nizar
10
2005
Direct characterization of the value of super-replication under stochastic volatility and portfolio constraints. Zbl 1048.91072
Touzi, Nizar
9
2000
Optimal investment with taxes: An optimal control problem with endogeneous delay. Zbl 1126.91370
Jouini, Elyès; Koehl, Pierre-F.; Touzi, Nizar
9
1999
Hedging in discrete time under transaction costs and continuous-time limit. Zbl 0937.91063
Koehl, Pierre-F.; Pham, Huyên; Touzi, Nizar
9
1999
On super-replication in discrete time under transaction costs. Zbl 0994.60048
Koehl, P. F.; Pham, H.; Touzi, N.
9
2000
Martingale inequalities for the maximum via pathwise arguments. Zbl 1336.60083
Obłój, Jan; Spoida, Peter; Touzi, Nizar
8
2015
Super-replication under proportional transaction costs: From discrete to continuous-time models. Zbl 0942.91049
Touzi, Nizar
8
1999
Optimal investment with taxes: An existence result. Zbl 0978.91043
Jouini, Elyès; Koehl, Pierre-F.; Touzi, Nizar
8
2000
Unbiased simulation of stochastic differential equations. Zbl 1386.65037
Henry-Labordère, Pierre; Tan, Xiaolu; Touzi, Nizar
8
2017
Hedging and vertical integration in electricity markets. Zbl 1279.91175
Aïd, René; Chemla, Gilles; Porchet, Arnaud; Touzi, Nizar
8
2011
Second order backward SDE with random terminal time. Zbl 1459.60126
Lin, Yiqing; Ren, Zhenjie; Touzi, Nizar; Yang, Junjian
8
2020
Detecting the maximum of a scalar diffusion with negative drift. Zbl 1261.60077
Espinosa, Gilles-Edouard; Touzi, Nizar
7
2012
Equilibrium state prices in a stochastic volatility model. Zbl 0915.90027
Pham, Huyên; Touzi, Nizar
7
1996
American options exercise boundary when the volatility changes randomly. Zbl 0937.60039
Touzi, N.
7
1999
Stochastic control problems, viscosity solutions and application to finance. Zbl 1076.93001
Touzi, Nizar
6
2004
No arbitrage conditions and liquidity. Zbl 1178.91172
Astic, Fabian; Touzi, Nizar
6
2007
Small time path behavior of double stochastic integrals and applications to stochastic control. Zbl 1099.60027
Cheridito, Patrick; Soner, H. Mete; Touzi, Nizar
6
2005
The root solution to the multi-marginal embedding problem: an optimal stopping and time-reversal approach. Zbl 1478.60133
Cox, Alexander M. G.; Obłój, Jan; Touzi, Nizar
6
2019
Martingale inequalities, optimal martingale transport, and robust superhedging. Zbl 1356.60069
Touzi, Nizar
5
2014
Merton problem with taxes: characterization, computation, and approximation. Zbl 1230.91166
Ben Tahar, Imen; Soner, H. Mete; Touzi, Nizar
5
2010
Zero-sum path-dependent stochastic differential games in weak formulation. Zbl 1462.35410
Possamaï, Dylan; Touzi, Nizar; Zhang, Jianfeng
4
2020
The dynamic programming equation for the problem of optimal investment under capital gains taxes. Zbl 1147.91023
Ben Tahar, Imen; Soner, H. Mete; Touzi, Nizar
4
2007
Hedging under gamma constraints by optimal stopping and face-lifting. Zbl 1278.91151
Soner, H. Mete; Touzi, Nizar
4
2007
Monte Carlo methods for stochastic volatility models. Zbl 0898.90034
Fournié, E.; Lasry, J. M.; Touzi, N.
3
1997
Small noise expansion and importance sampling. Zbl 0892.60074
Fournie, Eric; Lebuchoux, Jérôme; Touzi, Nizar
3
1997
Large liquidity expansion of super-hedging costs. Zbl 1263.91017
Possamaï, Dylan; Soner, H. Mete; Touzi, Nizar
3
2012
Large deviations for non-Markovian diffusions and a path-dependent Eikonal equation. Zbl 1351.35276
Ma, Jin; Ren, Zhenjie; Touzi, Nizar; Zhang, Jianfeng
3
2016
Kernel estimation of Greek weights by parameter randomization. Zbl 1214.62043
Elie, Romuald; Fermanian, Jean-David; Touzi, Nizar
3
2007
Comparison of viscosity solutions of semilinear path-dependent PDEs. Zbl 1429.35215
Ren, Zhenjie; Touzi, Nizar; Zhang, Jianfeng
3
2020
On the root solution to the Skorokhod embedding problem given full marginals. Zbl 1453.60095
Richard, Alexandre; Tan, Xiaolu; Touzi, Nizar
3
2020
Branching diffusion representation for nonlinear Cauchy problems and Monte Carlo approximation. Zbl 1476.35090
Henry-Labordère, Pierre; Touzi, Nizar
1
2021
Second order backward SDE with random terminal time. Zbl 1459.60126
Lin, Yiqing; Ren, Zhenjie; Touzi, Nizar; Yang, Junjian
8
2020
Zero-sum path-dependent stochastic differential games in weak formulation. Zbl 1462.35410
Possamaï, Dylan; Touzi, Nizar; Zhang, Jianfeng
4
2020
Comparison of viscosity solutions of semilinear path-dependent PDEs. Zbl 1429.35215
Ren, Zhenjie; Touzi, Nizar; Zhang, Jianfeng
3
2020
On the root solution to the Skorokhod embedding problem given full marginals. Zbl 1453.60095
Richard, Alexandre; Tan, Xiaolu; Touzi, Nizar
3
2020
Branching diffusion representation of semilinear PDEs and Monte Carlo approximation. Zbl 1467.60067
Henry-Labordère, Pierre; Oudjane, Nadia; Tan, Xiaolu; Touzi, Nizar; Warin, Xavier
25
2019
Irreducible convex paving for decomposition of multidimensional martingale transport plans. Zbl 1467.60028
De March, Hadrien; Touzi, Nizar
11
2019
The root solution to the multi-marginal embedding problem: an optimal stopping and time-reversal approach. Zbl 1478.60133
Cox, Alexander M. G.; Obłój, Jan; Touzi, Nizar
6
2019
Dynamic programming approach to principal-agent problems. Zbl 1391.91116
Cvitanić, Jakša; Possamaï, Dylan; Touzi, Nizar
20
2018
Path-dependent equations and viscosity solutions in infinite dimension. Zbl 06865120
Cosso, Andrea; Federico, Salvatore; Gozzi, Fausto; Rosestolato, Mauro; Touzi, Nizar
15
2018
Complete duality for martingale optimal transport on the line. Zbl 1417.60032
Beiglböck, Mathias; Nutz, Marcel; Touzi, Nizar
43
2017
Tightness and duality of martingale transport on the Skorokhod space. Zbl 1406.91443
Guo, Gaoyue; Tan, Xiaolu; Touzi, Nizar
17
2017
Optimal Skorokhod embedding given full marginals and Azéma-Yor peacocks. Zbl 1370.60075
Källblad, Sigrid; Tan, Xiaolu; Touzi, Nizar
17
2017
Monotone martingale transport plans and Skorokhod embedding. Zbl 1372.60059
Beiglböck, Mathias; Henry-Labordère, Pierre; Touzi, Nizar
17
2017
Comparison of viscosity solutions of fully nonlinear degenerate parabolic path-dependent PDEs. Zbl 06804335
Ren, Zhenjie; Touzi, Nizar; Zhang, Jianfeng
17
2017
Unbiased simulation of stochastic differential equations. Zbl 1386.65037
Henry-Labordère, Pierre; Tan, Xiaolu; Touzi, Nizar
8
2017
Viscosity solutions of fully nonlinear parabolic path dependent PDEs. I. Zbl 1375.35250
Ekren, Ibrahim; Touzi, Nizar; Zhang, Jianfeng
67
2016
Viscosity solutions of fully nonlinear parabolic path dependent PDEs. II. Zbl 1394.35228
Ekren, Ibrahim; Touzi, Nizar; Zhang, Jianfeng
56
2016
An explicit martingale version of the one-dimensional Brenier theorem. Zbl 1369.91181
Henry-Labordère, Pierre; Touzi, Nizar
32
2016
The maximum maximum of a martingale with given \(n\) marginals. Zbl 1337.60078
Henry-Labordère, Pierre; Obłój, Jan; Spoida, Peter; Touzi, Nizar
25
2016
An explicit martingale version of the one-dimensional Brenier’s theorem with full marginals constraint. Zbl 1346.60058
Henry-Labordère, Pierre; Tan, Xiaolu; Touzi, Nizar
23
2016
Optimal Skorokhod embedding under finitely many marginal constraints. Zbl 1351.60048
Guo, Gaoyue; Tan, Xiaolu; Touzi, Nizar
16
2016
On the monotonicity principle of optimal Skorokhod embedding problem. Zbl 1348.60066
Guo, Gaoyue; Tan, Xiaolu; Touzi, Nizar
15
2016
Large deviations for non-Markovian diffusions and a path-dependent Eikonal equation. Zbl 1351.35276
Ma, Jin; Ren, Zhenjie; Touzi, Nizar; Zhang, Jianfeng
3
2016
Optimal investment under relative performance concerns. Zbl 1403.91310
Espinosa, Gilles-Edouard; Touzi, Nizar
41
2015
Homogenization and asymptotics for small transaction costs: the multidimensional case. Zbl 1366.91144
Possamaï, Dylan; Soner, H. Mete; Touzi, Nizar
15
2015
Martingale inequalities for the maximum via pathwise arguments. Zbl 1336.60083
Obłój, Jan; Spoida, Peter; Touzi, Nizar
8
2015
A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options. Zbl 1285.49012
Galichon, A.; Henry-Labordère, P.; Touzi, N.
89
2014
On viscosity solutions of path dependent PDEs. Zbl 1320.35154
Ekren, Ibrahim; Keller, Christian; Touzi, Nizar; Zhang, Jianfeng
76
2014
A numerical algorithm for a class of BSDEs via the branching process. Zbl 1301.60084
Henry-Labordère, Pierre; Tan, Xiaolu; Touzi, Nizar
38
2014
Optimal stopping under nonlinear expectation. Zbl 1325.60061
Ekren, Ibrahim; Touzi, Nizar; Zhang, Jianfeng
30
2014
An overview of viscosity solutions of path-dependent PDEs. Zbl 1384.35042
Ren, Zhenjie; Touzi, Nizar; Zhang, Jianfeng
17
2014
Martingale inequalities, optimal martingale transport, and robust superhedging. Zbl 1356.60069
Touzi, Nizar
5
2014
Optimal stochastic control, stochastic target problems, and backward SDE. Zbl 1256.93008
Touzi, Nizar
67
2013
Dual formulation of second order target problems. Zbl 1293.60063
Soner, H. Mete; Touzi, Nizar; Zhang, Jianfeng
53
2013
Optimal transportation under controlled stochastic dynamics. Zbl 1283.60097
Tan, Xiaolu; Touzi, Nizar
39
2013
Homogenization and asymptotics for small transaction costs. Zbl 1280.91158
Soner, H. Mete; Touzi, Nizar
23
2013
On the robust superhedging of measurable claims. Zbl 1297.93188
Possamaï, Dylan; Royer, Guillaume; Touzi, Nizar
17
2013
Singular forward-backward stochastic differential equations and emissions derivatives. Zbl 1276.60070
Carmona, René; Delarue, François; Espinosa, Gilles-Edouard; Touzi, Nizar
10
2013
Wellposedness of second order backward SDEs. Zbl 1252.60056
Soner, H. Mete; Touzi, Nizar; Zhang, Jianfeng
118
2012
Detecting the maximum of a scalar diffusion with negative drift. Zbl 1261.60077
Espinosa, Gilles-Edouard; Touzi, Nizar
7
2012
Large liquidity expansion of super-hedging costs. Zbl 1263.91017
Possamaï, Dylan; Soner, H. Mete; Touzi, Nizar
3
2012
Martingale representation theorem for the \(G\)-expectation. Zbl 1228.60070
Soner, H. Mete; Touzi, Nizar; Zhang, Jianfeng
90
2011
Weak dynamic programming principle for viscosity solutions. Zbl 1228.49028
Bouchard, Bruno; Touzi, Nizar
66
2011
Quasi-sure stochastic analysis through aggregation. Zbl 1245.60062
Soner, H. Mete; Touzi, Nizar; Zhang, Jianfeng
56
2011
A probabilistic numerical method for fully nonlinear parabolic PDEs. Zbl 1230.65009
Fahim, Arash; Touzi, Nizar; Warin, Xavier
55
2011
Hedging and vertical integration in electricity markets. Zbl 1279.91175
Aïd, René; Chemla, Gilles; Porchet, Arnaud; Touzi, Nizar
8
2011
Second order backward SDEs, fully nonlinear PDEs, and applications in finance. Zbl 1231.60055
Touzi, Nizar
2
2011
Stochastic target problems with controlled loss. Zbl 1202.49028
Bouchard, Bruno; Elie, Romuald; Touzi, Nizar
37
2010
Option hedging for small investors under liquidity costs. Zbl 1226.91072
Çetin, Umut; Soner, H. Mete; Touzi, Nizar
35
2010
On the Monte Carlo simulation of BSDEs: an improvement on the Malliavin weights. Zbl 1193.65005
Crisan, D.; Manolarakis, K.; Touzi, N.
19
2010
Merton problem with taxes: characterization, computation, and approximation. Zbl 1230.91166
Ben Tahar, Imen; Soner, H. Mete; Touzi, Nizar
5
2010
A structural risk-neutral model of electricity prices. Zbl 1188.91069
Aïd, René; Campi, Luciano; Huu, Adrien Nguyen; Touzi, Nizar
15
2009
Discrete-time approximation of BSDEs and probabilistic schemes for fully nonlinear PDEs. Zbl 1179.65004
Bouchard, Bruno; Elie, Romuald; Touzi, Nizar
15
2009
Valuation of power plants by utility indifference and numerical computation. Zbl 1180.91218
Porchet, Arnaud; Touzi, Nizar; Warin, Xavier
11
2009
The dynamic programming equation for second order stochastic target problems. Zbl 1229.91324
Soner, H. Mete; Touzi, Nizar
11
2009
Optimal risk sharing for law invariant monetary utility functions. Zbl 1133.91360
Jouini, E.; Schachermayer, W.; Touzi, N.
89
2008
Optimal multiple stopping and valuation of swing options. Zbl 1133.91499
Carmona, René; Touzi, Nizar
76
2008
Optimal lifetime consumption and investment under a drawdown constraint. Zbl 1164.91011
Elie, Romuald; Touzi, Nizar
36
2008
Second-order backward stochastic differential equations and fully nonlinear parabolic PDEs. Zbl 1121.60062
Cheridito, Patrick; Soner, H. Mete; Touzi, Nizar; Victoir, Nicolas
86
2007
Optimal derivatives design for mean-variance agents under adverse selection. Zbl 1173.91379
Carlier, Guillaume; Ekeland, Ivar; Touzi, Nizar
11
2007
No arbitrage conditions and liquidity. Zbl 1178.91172
Astic, Fabian; Touzi, Nizar
6
2007
The dynamic programming equation for the problem of optimal investment under capital gains taxes. Zbl 1147.91023
Ben Tahar, Imen; Soner, H. Mete; Touzi, Nizar
4
2007
Hedging under gamma constraints by optimal stopping and face-lifting. Zbl 1278.91151
Soner, H. Mete; Touzi, Nizar
4
2007
Kernel estimation of Greek weights by parameter randomization. Zbl 1214.62043
Elie, Romuald; Fermanian, Jean-David; Touzi, Nizar
3
2007
Paris-Princeton lectures on mathematical finance 2004. Zbl 1121.91003
1
2007
Law invariant risk measures have the Fatou property. Zbl 1198.46028
Jouini, Elyès; Schachermayer, Walter; Touzi, Nizar
111
2006
Monte Carlo estimation of a joint density using Malliavin calculus, and application to American options. Zbl 1137.91466
Mrad, Moez; Touzi, Nizar; Zeghal, Amina
2
2006
The multi-dimensional super-replication problem under gamma constraints. Zbl 1078.91010
Cheridito, Patrick; Soner, H. Mete; Touzi, Nizar
21
2005
Maturity randomization for stochastic control problems. Zbl 1177.93097
Bouchard, Bruno; El Karoui, Nicole; Touzi, Nizar
10
2005
Small time path behavior of double stochastic integrals and applications to stochastic control. Zbl 1099.60027
Cheridito, Patrick; Soner, H. Mete; Touzi, Nizar
6
2005
Penalty approximation and analytical characterization of the problem of super-replication under portfolio constraints. Zbl 1109.91021
Bensoussan, Alain; Touzi, Nizar; Menaldi, José Luis
2
2005
Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations. Zbl 1071.60059
Bouchard, Bruno; Touzi, Nizar
194
2004
Vector-valued coherent risk measures. Zbl 1063.91048
Jouini, Elyès; Meddeb, Moncef; Touzi, Nizar
80
2004
On the Malliavin approach to Monte Carlo approximation of conditional expectations. Zbl 1051.60061
Bouchard, Bruno; Ekeland, Ivar; Touzi, Nizar
28
2004
Dual formulation of the utility maximization problem: the case of nonsmooth utility. Zbl 1126.91018
Bouchard, B.; Touzi, N.; Zeghal, A.
19
2004
Stochastic control problems, viscosity solutions and application to finance. Zbl 1076.93001
Touzi, Nizar
6
2004
Paris-Princeton lectures on mathematical finance 2003. Zbl 1047.91002
2
2004
A stochastic representation for mean curvature type geometric flows. Zbl 1080.60076
Soner, H. Mete; Touzi, Nizar
16
2003
The problem of super-replication under constraints. Zbl 1074.91021
Soner, H. Mete; Touzi, Nizar
2
2003
Dynamic programming for stochastic target problems and geometric flows. Zbl 1003.49003
Soner, H. Mete; Touzi, Nizar
44
2002
Stochastic target problems, dynamic programming, and viscosity solutions. Zbl 1011.49019
Soner, H. Mete; Touzi, Nizar
37
2002
Continuous-time Dynkin games with mixed strategies. Zbl 1020.60028
Touzi, Nizar; Vieille, Nicolas
37
2002
A stochastic representation for the level set equations. Zbl 1036.49010
Soner, H. Mete; Touzi, Nizar
14
2002
Dual formulation of the utility maximization problem under transaction costs. Zbl 1012.60059
Deelstra, Griselda; Pham, Huyên; Touzi, Nizar
30
2001
No arbitrage in discrete time under portfolio constraints. Zbl 1055.91018
Carassus, Laurence; Pham, Huyên; Touzi, Nizar
12
2001
Option pricing by large risk aversion utility under transaction costs. Zbl 1011.91043
Bouchard, B.; Kabanov, Yu. A.; Touzi, N.
12
2001
Superreplication under gamma constraints. Zbl 0960.91036
Soner, H. Mete; Touzi, Nizar
26
2000
Explicit solution to the multivariate super-replication problem under transaction costs. Zbl 1083.91510
Bouchard, Bruno; Touzi, Nizar
17
2000
Calibration by simulation for small sample bias correction. Zbl 1184.62048
Gourieroux, Christian; Renault, Eric; Touzi, Nizar
15
2000
Optimal insurance demand under marked point processes shocks. Zbl 1161.91419
Touzi, Nizar
11
2000
Direct characterization of the value of super-replication under stochastic volatility and portfolio constraints. Zbl 1048.91072
Touzi, Nizar
9
2000
On super-replication in discrete time under transaction costs. Zbl 0994.60048
Koehl, P. F.; Pham, H.; Touzi, N.
9
2000
Optimal investment with taxes: An existence result. Zbl 0978.91043
Jouini, Elyès; Koehl, Pierre-F.; Touzi, Nizar
8
2000
A closed-form solution to the problem of super-replication under transaction costs. Zbl 0924.90010
Cvitanić, Jakša; Pham, Huyên; Touzi, Nizar
41
1999
Super-replication in stochastic volatility models under portfolio constraints. Zbl 0956.91043
Cvitanić, Jakša; Pham, Huyên; Touzi, Nizar
27
1999
The fundamental theorem of asset pricing with cone constraints. Zbl 0937.91064
Pham, Huyên; Touzi, Nizar
25
1999
Optimal investment with taxes: An optimal control problem with endogeneous delay. Zbl 1126.91370
Jouini, Elyès; Koehl, Pierre-F.; Touzi, Nizar
9
1999
Hedging in discrete time under transaction costs and continuous-time limit. Zbl 0937.91063
Koehl, Pierre-F.; Pham, Huyên; Touzi, Nizar
9
1999
Super-replication under proportional transaction costs: From discrete to continuous-time models. Zbl 0942.91049
Touzi, Nizar
8
1999
...and 7 more Documents
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Cited by 1,860 Authors

57 Touzi, Nizar
39 Bouchard, Bruno
29 Soner, Halil Mete
25 Bayraktar, Erhan
25 Possamaï, Dylan
23 Zhao, Weidong
22 Tan, Xiaolu
21 Beiglböck, Mathias
21 Zhang, Jianfeng
20 Pham, Huyên
19 Muhle-Karbe, Johannes
18 Nutz, Marcel
17 Wang, Ruodu
16 Hu, Mingshang
16 Kupper, Michael
16 Warin, Xavier
15 Dolinsky, Yan
15 Rudloff, Birgit
14 Obloj, Jan K.
14 Svindland, Gregor
13 Bender, Christian
13 Chassagneux, Jean-François
13 Wang, Falei
12 Elie, Romuald
12 Henry-Labordère, Pierre
12 Hu, Yijun
12 Ji, Shaolin
12 Schachermayer, Walter
12 Song, Yongsheng
11 dos Reis, Gonçalo
11 Jentzen, Arnulf
11 Peng, Shige
11 Ren, Zhenjie
11 Russo, Francesco
11 Zhou, Chao
10 Chen, Yanhong
10 Cosso, Andrea
10 Cox, Alexander Matthew Gordon
10 Feinstein, Zachary
10 Gobet, Emmanuel
10 Hamel, Andreas H.
10 Lin, Yiqing
10 Loeper, Grégoire
10 Neufeld, Ariel David
9 Campi, Luciano
9 Carmona, René A.
9 Delbaen, Freddy
9 Kharroubi, Idris
9 Matoussi, Anis
9 Mnif, Mohamed
8 Bartl, Daniel
8 Cheridito, Patrick
8 De Angelis, Tiziano
8 Ekren, Ibrahim
8 Fouque, Jean-Pierre
8 Guasoni, Paolo
8 Hobson, David Graham
8 Huesmann, Martin
8 Pichler, Alois
8 Rüschendorf, Ludger
8 Yang, Junjian
7 Acciaio, Beatrice
7 Alòs, Elisa
7 Boonen, Tim J.
7 Grechuk, Bogdan
7 Guo, Gaoyue
7 Hutzenthaler, Martin
7 Jouini, Elyès
7 Kruse, Thomas
7 Labart, Céline
7 Leung, Tim
7 Ludkovski, Michael
7 Mastrolia, Thibaut
7 Munari, Cosimo
7 Schoenmakers, John G. M.
7 Sircar, Ronnie
7 Sun, Yabing
7 Tang, Shanjian
7 Tangpi, Ludovic
7 Young, Virginia R.
7 Zabarankin, Michael
7 Zhou, Tao
7 Žitković, Gordan
6 Dana, Rose-Anne
6 Ekeland, Ivar
6 Fukasawa, Masaaki
6 Geiss, Christel
6 Ghoussoub, Nassif A.
6 Gourieroux, Christian
6 Guo, Ivan
6 Hu, Ying
6 Huang, Jianhui
6 Huang, Yu-Jui
6 Jourdain, Benjamin
6 Juillet, Nicolas
6 Keller, Christian
6 Kim, Young-Heon
6 Maggis, Marco
6 Orihuela, José
6 Pagès, Gilles
...and 1,760 more Authors
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Cited in 236 Serials

110 Stochastic Processes and their Applications
104 Finance and Stochastics
89 The Annals of Applied Probability
77 Mathematical Finance
60 Mathematics and Financial Economics
56 SIAM Journal on Control and Optimization
54 SIAM Journal on Financial Mathematics
53 International Journal of Theoretical and Applied Finance
50 Insurance Mathematics & Economics
46 Quantitative Finance
32 Applied Mathematics and Optimization
30 Stochastics
28 Journal of Econometrics
25 The Annals of Probability
25 Journal of Mathematical Economics
25 Mathematical Methods of Operations Research
24 European Journal of Operational Research
23 Journal of Mathematical Analysis and Applications
22 Mathematics of Operations Research
22 Applied Mathematical Finance
19 Stochastic Analysis and Applications
19 Bernoulli
17 Annals of Operations Research
15 Journal of Optimization Theory and Applications
15 Journal of Economic Dynamics & Control
15 Probability, Uncertainty and Quantitative Risk
14 Scandinavian Actuarial Journal
14 Annals of Finance
13 Automatica
13 Journal of Computational and Applied Mathematics
13 Probability Theory and Related Fields
12 European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations
12 Stochastics and Dynamics
11 Statistics & Probability Letters
11 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques
11 ASTIN Bulletin
10 Advances in Applied Probability
10 Electronic Journal of Probability
10 Methodology and Computing in Applied Probability
9 Journal of Scientific Computing
8 Systems & Control Letters
8 Monte Carlo Methods and Applications
8 Mathematical Control and Related Fields
7 Journal of Computational Physics
7 SIAM Journal on Scientific Computing
7 Mathematical Problems in Engineering
7 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
7 Asia-Pacific Financial Markets
6 Applied Mathematics and Computation
6 Journal of Applied Probability
6 Journal of Economic Theory
6 Mathematical Programming. Series A. Series B
6 Positivity
6 Comptes Rendus. Mathématique. Académie des Sciences, Paris
6 Review of Derivatives Research
6 Journal of Industrial and Management Optimization
6 European Actuarial Journal
6 East Asian Journal on Applied Mathematics
6 European Series in Applied and Industrial Mathematics (ESAIM): Proceedings and Surveys
5 Computers & Mathematics with Applications
5 Mathematics of Computation
5 The Annals of Statistics
5 Journal of Functional Analysis
5 Transactions of the American Mathematical Society
5 Communications in Statistics. Theory and Methods
5 SIAM Journal on Mathematical Analysis
5 NoDEA. Nonlinear Differential Equations and Applications
5 Bulletin des Sciences Mathématiques
5 Discrete and Continuous Dynamical Systems
5 Decisions in Economics and Finance
5 Science China. Mathematics
5 International Journal of Stochastic Analysis
5 Dynamic Games and Applications
5 Statistics & Risk Modeling
5 Dependence Modeling
5 SN Partial Differential Equations and Applications
4 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods
4 Numerische Mathematik
4 Proceedings of the American Mathematical Society
4 SIAM Journal on Numerical Analysis
4 Operations Research Letters
4 Applied Numerical Mathematics
4 Journal of Theoretical Probability
4 Applied Mathematics. Series B (English Edition)
4 Calculus of Variations and Partial Differential Equations
4 Random Operators and Stochastic Equations
4 Electronic Communications in Probability
4 Statistical Inference for Stochastic Processes
4 Discrete and Continuous Dynamical Systems. Series B
4 Advances in Difference Equations
4 Frontiers of Mathematics in China
3 Theory of Probability and its Applications
3 Archiv der Mathematik
3 Journal of Differential Equations
3 Journal of Multivariate Analysis
3 Operations Research
3 Chinese Annals of Mathematics. Series B
3 European Journal of Applied Mathematics
3 Journal of Global Optimization
3 Games and Economic Behavior
...and 136 more Serials
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Cited in 38 Fields

1,115 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
984 Probability theory and stochastic processes (60-XX)
320 Systems theory; control (93-XX)
283 Calculus of variations and optimal control; optimization (49-XX)
228 Numerical analysis (65-XX)
211 Partial differential equations (35-XX)
170 Statistics (62-XX)
118 Operations research, mathematical programming (90-XX)
48 Functional analysis (46-XX)
30 Ordinary differential equations (34-XX)
21 Real functions (26-XX)
18 Measure and integration (28-XX)
15 Integral equations (45-XX)
14 Operator theory (47-XX)
14 Computer science (68-XX)
11 Differential geometry (53-XX)
11 Biology and other natural sciences (92-XX)
9 Global analysis, analysis on manifolds (58-XX)
7 General and overarching topics; collections (00-XX)
7 Dynamical systems and ergodic theory (37-XX)
7 Convex and discrete geometry (52-XX)
6 Approximations and expansions (41-XX)
5 Difference and functional equations (39-XX)
5 Statistical mechanics, structure of matter (82-XX)
4 Order, lattices, ordered algebraic structures (06-XX)
4 General topology (54-XX)
3 Linear and multilinear algebra; matrix theory (15-XX)
2 Mathematical logic and foundations (03-XX)
2 Combinatorics (05-XX)
2 Several complex variables and analytic spaces (32-XX)
2 Integral transforms, operational calculus (44-XX)
2 Mechanics of particles and systems (70-XX)
2 Mechanics of deformable solids (74-XX)
2 Fluid mechanics (76-XX)
2 Information and communication theory, circuits (94-XX)
1 Special functions (33-XX)
1 Quantum theory (81-XX)
1 Geophysics (86-XX)

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