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Touzi, Nizar

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Author ID: touzi.nizar Recent zbMATH articles by "Touzi, Nizar"
Published as: Touzi, N.; Touzi, Nizar; Touzzi, Nizar
Documents Indexed: 113 Publications since 1996, including 6 Books
all top 5

Co-Authors

8 single-authored
22 Soner, Halil Mete
13 Zhang, Jianfeng
10 Bouchard, Bruno
10 Tan, Xiaolu
9 Jouini, Elyès
8 Henry-Labordère, Pierre
8 Pham, Huyên
7 Carmona, René A.
6 Ekeland, Ivar
5 Possamaï, Dylan
5 Ren, Zhenjie
5 Scheinkman, José Alexandre
4 Cinlar, Erhan
4 Ekren, Ibrahim
4 Elie, Romuald
4 Koehl, Pierre-François
3 Cheridito, Patrick
3 Cvitanić, Jakša
3 Espinosa, Gilles-Edouard
3 Guo, Gaoyue
3 Obloj, Jan K.
3 Schweizer, Martin
3 Warin, Xavier
2 Aïd, René
2 Beiglböck, Mathias
2 Bentahar, Imen
2 Fournié, Eric
2 Kramkov, Dmitriĭ Olegovich
2 Porchet, Arnaud
2 Renault, Eric
2 Royer, Guillaume
2 Schachermayer, Walter
2 Spoida, Peter
2 Zeghal, Amina Bouzguenda
1 Astic, Fabian
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 Lin, Yiqing
1 Ma, Jin
1 Manolarakis, Konstantinos
1 Meddeb, Moncef
1 Menaldi, Jose-Luis
1 Mrad, Moez
1 Nguyen-Huu, Adrien
1 Nutz, Marcel
1 Oudjane, Nadia
1 Richard, Alexandre
1 Romano, Marc
1 Rosestolato, Mauro
1 Victoir, Nicolas B.
1 Vieille, Nicolas
1 Yang, Junjian

Publications by Year

Citations contained in zbMATH Open

105 Publications have been cited 2,536 times in 1,502 Documents Cited by Year
Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations. Zbl 1071.60059
Bouchard, Bruno; Touzi, Nizar
160
2004
Wellposedness of second order backward SDEs. Zbl 1252.60056
Soner, H. Mete; Touzi, Nizar; Zhang, Jianfeng
101
2012
Law invariant risk measures have the Fatou property. Zbl 1198.46028
Jouini, Elyès; Schachermayer, Walter; Touzi, Nizar
101
2006
Optimal risk sharing for law invariant monetary utility functions. Zbl 1133.91360
Jouini, E.; Schachermayer, W.; Touzi, N.
83
2008
Martingale representation theorem for the \(G\)-expectation. Zbl 1228.60070
Soner, H. Mete; Touzi, Nizar; Zhang, Jianfeng
77
2011
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.
74
2014
Second-order backward stochastic differential equations and fully nonlinear parabolic PDEs. Zbl 1121.60062
Cheridito, Patrick; Soner, H. Mete; Touzi, Nizar; Victoir, Nicolas
73
2007
Vector-valued coherent risk measures. Zbl 1063.91048
Jouini, Elyès; Meddeb, Moncef; Touzi, Nizar
73
2004
Optimal multiple stopping and valuation of swing options. Zbl 1133.91499
Carmona, René; Touzi, Nizar
69
2008
On viscosity solutions of path dependent PDEs. Zbl 1320.35154
Ekren, Ibrahim; Keller, Christian; Touzi, Nizar; Zhang, Jianfeng
67
2014
Option hedging and implied volatilities in a stochastic volatility model. Zbl 0915.90028
Renault, Eric; Touzi, Nizar
61
1996
Optimal stochastic control, stochastic target problems, and backward SDE. Zbl 1256.93008
Touzi, Nizar
60
2013
Weak dynamic programming principle for viscosity solutions. Zbl 1228.49028
Bouchard, Bruno; Touzi, Nizar
60
2011
Viscosity solutions of fully nonlinear parabolic path dependent PDEs. I. Zbl 1375.35250
Ekren, Ibrahim; Touzi, Nizar; Zhang, Jianfeng
55
2016
Contingent claims and market completeness in a stochastic volatility model. Zbl 1034.91501
Romano, Marc; Touzi, Nizar
52
1997
Dual formulation of second order target problems. Zbl 1293.60063
Soner, H. Mete; Touzi, Nizar; Zhang, Jianfeng
50
2013
Viscosity solutions of fully nonlinear parabolic path dependent PDEs. II. Zbl 1394.35228
Ekren, Ibrahim; Touzi, Nizar; Zhang, Jianfeng
47
2016
Quasi-sure stochastic analysis through aggregation. Zbl 1245.60062
Soner, H. Mete; Touzi, Nizar; Zhang, Jianfeng
47
2011
A probabilistic numerical method for fully nonlinear parabolic PDEs. Zbl 1230.65009
Fahim, Arash; Touzi, Nizar; Warin, Xavier
43
2011
Spectral methods for identifying scalar diffusions. Zbl 0962.62094
Hansen, Lars Peter; Scheinkman, José Alexandre; Touzi, Nizar
42
1998
Dynamic programming for stochastic target problems and geometric flows. Zbl 1003.49003
Soner, H. Mete; Touzi, Nizar
41
2002
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
35
2015
Stochastic target problems with controlled loss. Zbl 1202.49028
Bouchard, Bruno; Elie, Romuald; Touzi, Nizar
35
2010
Complete duality for martingale optimal transport on the line. Zbl 1417.60032
Beiglböck, Mathias; Nutz, Marcel; Touzi, Nizar
34
2017
Option hedging for small investors under liquidity costs. Zbl 1226.91072
Çetin, Umut; Soner, H. Mete; Touzi, Nizar
33
2010
Stochastic target problems, dynamic programming, and viscosity solutions. Zbl 1011.49019
Soner, H. Mete; Touzi, Nizar
33
2002
Continuous-time Dynkin games with mixed strategies. Zbl 1020.60028
Touzi, Nizar; Vieille, Nicolas
32
2002
Optimal lifetime consumption and investment under a drawdown constraint. Zbl 1164.91011
Elie, Romuald; Touzi, Nizar
30
2008
Dual formulation of the utility maximization problem under transaction costs. Zbl 1012.60059
Deelstra, Griselda; Pham, Huyên; Touzi, Nizar
29
2001
A numerical algorithm for a class of BSDEs via the branching process. Zbl 1301.60084
Henry-Labordère, Pierre; Tan, Xiaolu; Touzi, Nizar
28
2014
Optimal transportation under controlled stochastic dynamics. Zbl 1283.60097
Tan, Xiaolu; Touzi, Nizar
28
2013
Superreplication under gamma constraints. Zbl 0960.91036
Soner, H. Mete; Touzi, Nizar
27
2000
Super-replication in stochastic volatility models under portfolio constraints. Zbl 0956.91043
Cvitanić, Jakša; Pham, Huyên; Touzi, Nizar
27
1999
Optimal stopping under nonlinear expectation. Zbl 1325.60061
Ekren, Ibrahim; Touzi, Nizar; Zhang, Jianfeng
26
2014
On the Malliavin approach to Monte Carlo approximation of conditional expectations. Zbl 1051.60061
Bouchard, Bruno; Ekeland, Ivar; Touzi, Nizar
26
2004
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
23
1999
An explicit martingale version of the one-dimensional Brenier theorem. Zbl 1369.91181
Henry-Labordère, Pierre; Touzi, Nizar
22
2016
Homogenization and asymptotics for small transaction costs. Zbl 1280.91158
Soner, H. Mete; Touzi, Nizar
22
2013
The multi-dimensional super-replication problem under gamma constraints. Zbl 1078.91010
Cheridito, Patrick; Soner, H. Mete; Touzi, Nizar
22
2005
Explicit solution to the multivariate super-replication problem under transaction costs. Zbl 1083.91510
Bouchard, Bruno; Touzi, Nizar
17
2000
Monotone martingale transport plans and Skorokhod embedding. Zbl 1372.60059
Beiglböck, Mathias; Henry-Labordère, Pierre; Touzi, Nizar
16
2017
Tightness and duality of martingale transport on the Skorokhod space. Zbl 1406.91443
Guo, Gaoyue; Tan, Xiaolu; Touzi, Nizar
16
2017
Dual formulation of the utility maximization problem: the case of nonsmooth utility. Zbl 1126.91018
Bouchard, B.; Touzi, N.; Zeghal, A.
16
2004
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
15
2016
On the robust superhedging of measurable claims. Zbl 1297.93188
Possamaï, Dylan; Royer, Guillaume; Touzi, Nizar
15
2013
A stochastic representation for mean curvature type geometric flows. Zbl 1080.60076
Soner, H. Mete; Touzi, Nizar
15
2003
Branching diffusion representation of semilinear PDEs and Monte Carlo approximation. Zbl 07039769
Henry-Labordère, Pierre; Oudjane, Nadia; Tan, Xiaolu; Touzi, Nizar; Warin, Xavier
14
2019
Optimal Skorokhod embedding given full marginals and Azéma-Yor peacocks. Zbl 1370.60075
Källblad, Sigrid; Tan, Xiaolu; Touzi, Nizar
14
2017
Homogenization and asymptotics for small transaction costs: the multidimensional case. Zbl 1366.91144
Possamaï, Dylan; Soner, H. Mete; Touzi, Nizar
14
2015
An overview of viscosity solutions of path-dependent PDEs. Zbl 1384.35042
Ren, Zhenjie; Touzi, Nizar; Zhang, Jianfeng
14
2014
On the Monte Carlo simulation of BSDEs: an improvement on the Malliavin weights. Zbl 1193.65005
Crisan, D.; Manolarakis, K.; Touzi, N.
14
2010
Optimal Skorokhod embedding under finitely many marginal constraints. Zbl 1351.60048
Guo, Gaoyue; Tan, Xiaolu; Touzi, Nizar
13
2016
Discrete-time approximation of BSDEs and probabilistic schemes for fully nonlinear PDEs. Zbl 1179.65004
Bouchard, Bruno; Elie, Romuald; Touzi, Nizar
13
2009
Valuation of power plants by utility indifference and numerical computation. Zbl 1180.91218
Porchet, Arnaud; Touzi, Nizar; Warin, Xavier
13
2009
Calibration by simulation for small sample bias correction. Zbl 1184.62048
Gourieroux, Christian; Renault, Eric; Touzi, Nizar
13
2000
Dynamic programming approach to principal-agent problems. Zbl 1391.91116
Cvitanić, Jakša; Possamaï, Dylan; Touzi, Nizar
12
2018
On the monotonicity principle of optimal Skorokhod embedding problem. Zbl 1348.60066
Guo, Gaoyue; Tan, Xiaolu; Touzi, Nizar
12
2016
A stochastic representation for the level set equations. Zbl 1036.49010
Soner, H. Mete; Touzi, Nizar
12
2002
Option pricing by large risk aversion utility under transaction costs. Zbl 1011.91043
Bouchard, B.; Kabanov, Yu. A.; Touzi, N.
12
2001
No arbitrage in discrete time under portfolio constraints. Zbl 1055.91018
Carassus, Laurence; Pham, Huyên; Touzi, Nizar
12
2001
A structural risk-neutral model of electricity prices. Zbl 1188.91069
Aïd, René; Campi, Luciano; Huu, Adrien Nguyen; 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
Path-dependent equations and viscosity solutions in infinite dimension. Zbl 06865120
Cosso, Andrea; Federico, Salvatore; Gozzi, Fausto; Rosestolato, Mauro; Touzi, Nizar
10
2018
Comparison of viscosity solutions of fully nonlinear degenerate parabolic path-dependent PDEs. Zbl 06804335
Ren, Zhenjie; Touzi, Nizar; Zhang, Jianfeng
10
2017
The dynamic programming equation for second order stochastic target problems. Zbl 1229.91324
Soner, H. Mete; Touzi, Nizar
10
2009
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
Martingale inequalities for the maximum via pathwise arguments. Zbl 1336.60083
Obłój, Jan; Spoida, Peter; Touzi, Nizar
8
2015
Maturity randomization for stochastic control problems. Zbl 1177.93097
Bouchard, Bruno; El Karoui, Nicole; Touzi, Nizar
8
2005
Optimal insurance demand under marked point processes shocks. Zbl 1161.91419
Touzi, Nizar
8
2000
Optimal investment with taxes: An existence result. Zbl 0978.91043
Jouini, Elyès; Koehl, Pierre-F.; Touzi, Nizar
8
2000
Hedging and vertical integration in electricity markets. Zbl 1279.91175
Aïd, René; Chemla, Gilles; Porchet, Arnaud; Touzi, Nizar
7
2011
Stochastic control problems, viscosity solutions and application to finance. Zbl 1076.93001
Touzi, Nizar
7
2004
On super-replication in discrete time under transaction costs. Zbl 0994.60048
Koehl, P. F.; Pham, H.; Touzi, N.
7
2000
Super-replication under proportional transaction costs: From discrete to continuous-time models. Zbl 0942.91049
Touzi, Nizar
7
1999
Hedging in discrete time under transaction costs and continuous-time limit. Zbl 0937.91063
Koehl, Pierre-F.; Pham, Huyên; Touzi, Nizar
7
1999
Equilibrium state prices in a stochastic volatility model. Zbl 0915.90027
Pham, Huyên; Touzi, Nizar
7
1996
Irreducible convex paving for decomposition of multidimensional martingale transport plans. Zbl 07067281
De March, Hadrien; Touzi, Nizar
6
2019
Singular forward-backward stochastic differential equations and emissions derivatives. Zbl 1276.60070
Carmona, René; Delarue, François; Espinosa, Gilles-Edouard; Touzi, Nizar
6
2013
No arbitrage conditions and liquidity. Zbl 1178.91172
Astic, Fabian; Touzi, Nizar
6
2007
American options exercise boundary when the volatility changes randomly. Zbl 0937.60039
Touzi, N.
6
1999
Detecting the maximum of a scalar diffusion with negative drift. Zbl 1261.60077
Espinosa, Gilles-Edouard; Touzi, Nizar
5
2012
Merton problem with taxes: characterization, computation, and approximation. Zbl 1230.91166
Ben Tahar, Imen; Soner, H. Mete; Touzi, Nizar
5
2010
Small time path behavior of double stochastic integrals and applications to stochastic control. Zbl 1099.60027
Cheridito, Patrick; Soner, H. Mete; Touzi, Nizar
5
2005
The root solution to the multi-marginal embedding problem: an optimal stopping and time-reversal approach. Zbl 07030871
Cox, Alexander M. G.; Obłój, Jan; Touzi, Nizar
4
2019
Martingale inequalities, optimal martingale transport, and robust superhedging. Zbl 1356.60069
Touzi, Nizar
4
2014
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
Unbiased simulation of stochastic differential equations. Zbl 1386.65037
Henry-Labordère, Pierre; Tan, Xiaolu; Touzi, Nizar
3
2017
Large liquidity expansion of super-hedging costs. Zbl 1263.91017
Possamaï, Dylan; Soner, H. Mete; Touzi, Nizar
3
2012
Kernel estimation of Greek weights by parameter randomization. Zbl 1214.62043
Elie, Romuald; Fermanian, Jean-David; Touzi, Nizar
3
2007
Small noise expansion and importance sampling. Zbl 0892.60074
Fournie, Eric; Lebuchoux, Jérôme; Touzi, Nizar
3
1997
Monte Carlo methods for stochastic volatility models. Zbl 0898.90034
Fournié, E.; Lasry, J. M.; Touzi, N.
3
1997
Large deviations for non-Markovian diffusions and a path-dependent Eikonal equation. Zbl 1351.35276
Ma, Jin; Ren, Zhenjie; Touzi, Nizar; Zhang, Jianfeng
2
2016
Second order backward SDEs, fully nonlinear PDEs, and applications in finance. Zbl 1231.60055
Touzi, Nizar
2
2011
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
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
Paris-Princeton lectures on mathematical finance 2003. Zbl 1047.91002
Carmona, R. A. (ed.); Çinlar, E. (ed.); Ekeland, I. (ed.); Jouini, E. (ed.); Scheinkman, J. A. (ed.); Touzi, N. (ed.)
2
2004
On the root solution to the Skorokhod embedding problem given full marginals. Zbl 1453.60095
Richard, Alexandre; Tan, Xiaolu; Touzi, Nizar
1
2020
Second order backward SDE with random terminal time. Zbl 1459.60126
Lin, Yiqing; Ren, Zhenjie; Touzi, Nizar; Yang, Junjian
1
2020
Comparison of viscosity solutions of semilinear path-dependent PDEs. Zbl 1429.35215
Ren, Zhenjie; Touzi, Nizar; Zhang, Jianfeng
1
2020
Branching diffusion representation of semilinear PDEs and Monte Carlo approximation. Zbl 07039769
Henry-Labordère, Pierre; Oudjane, Nadia; Tan, Xiaolu; Touzi, Nizar; Warin, Xavier
14
2019
Irreducible convex paving for decomposition of multidimensional martingale transport plans. Zbl 07067281
De March, Hadrien; Touzi, Nizar
6
2019
The root solution to the multi-marginal embedding problem: an optimal stopping and time-reversal approach. Zbl 07030871
Cox, Alexander M. G.; Obłój, Jan; Touzi, Nizar
4
2019
Dynamic programming approach to principal-agent problems. Zbl 1391.91116
Cvitanić, Jakša; Possamaï, Dylan; Touzi, Nizar
12
2018
Path-dependent equations and viscosity solutions in infinite dimension. Zbl 06865120
Cosso, Andrea; Federico, Salvatore; Gozzi, Fausto; Rosestolato, Mauro; Touzi, Nizar
10
2018
Complete duality for martingale optimal transport on the line. Zbl 1417.60032
Beiglböck, Mathias; Nutz, Marcel; Touzi, Nizar
34
2017
Monotone martingale transport plans and Skorokhod embedding. Zbl 1372.60059
Beiglböck, Mathias; Henry-Labordère, Pierre; Touzi, Nizar
16
2017
Tightness and duality of martingale transport on the Skorokhod space. Zbl 1406.91443
Guo, Gaoyue; Tan, Xiaolu; Touzi, Nizar
16
2017
Optimal Skorokhod embedding given full marginals and Azéma-Yor peacocks. Zbl 1370.60075
Källblad, Sigrid; Tan, Xiaolu; Touzi, Nizar
14
2017
Comparison of viscosity solutions of fully nonlinear degenerate parabolic path-dependent PDEs. Zbl 06804335
Ren, Zhenjie; Touzi, Nizar; Zhang, Jianfeng
10
2017
Unbiased simulation of stochastic differential equations. Zbl 1386.65037
Henry-Labordère, Pierre; Tan, Xiaolu; Touzi, Nizar
3
2017
Viscosity solutions of fully nonlinear parabolic path dependent PDEs. I. Zbl 1375.35250
Ekren, Ibrahim; Touzi, Nizar; Zhang, Jianfeng
55
2016
Viscosity solutions of fully nonlinear parabolic path dependent PDEs. II. Zbl 1394.35228
Ekren, Ibrahim; Touzi, Nizar; Zhang, Jianfeng
47
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 theorem. Zbl 1369.91181
Henry-Labordère, Pierre; Touzi, Nizar
22
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
15
2016
Optimal Skorokhod embedding under finitely many marginal constraints. Zbl 1351.60048
Guo, Gaoyue; Tan, Xiaolu; Touzi, Nizar
13
2016
On the monotonicity principle of optimal Skorokhod embedding problem. Zbl 1348.60066
Guo, Gaoyue; Tan, Xiaolu; Touzi, Nizar
12
2016
Large deviations for non-Markovian diffusions and a path-dependent Eikonal equation. Zbl 1351.35276
Ma, Jin; Ren, Zhenjie; Touzi, Nizar; Zhang, Jianfeng
2
2016
Optimal investment under relative performance concerns. Zbl 1403.91310
Espinosa, Gilles-Edouard; Touzi, Nizar
35
2015
Homogenization and asymptotics for small transaction costs: the multidimensional case. Zbl 1366.91144
Possamaï, Dylan; Soner, H. Mete; Touzi, Nizar
14
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.
74
2014
On viscosity solutions of path dependent PDEs. Zbl 1320.35154
Ekren, Ibrahim; Keller, Christian; Touzi, Nizar; Zhang, Jianfeng
67
2014
A numerical algorithm for a class of BSDEs via the branching process. Zbl 1301.60084
Henry-Labordère, Pierre; Tan, Xiaolu; Touzi, Nizar
28
2014
Optimal stopping under nonlinear expectation. Zbl 1325.60061
Ekren, Ibrahim; Touzi, Nizar; Zhang, Jianfeng
26
2014
An overview of viscosity solutions of path-dependent PDEs. Zbl 1384.35042
Ren, Zhenjie; Touzi, Nizar; Zhang, Jianfeng
14
2014
Martingale inequalities, optimal martingale transport, and robust superhedging. Zbl 1356.60069
Touzi, Nizar
4
2014
Optimal stochastic control, stochastic target problems, and backward SDE. Zbl 1256.93008
Touzi, Nizar
60
2013
Dual formulation of second order target problems. Zbl 1293.60063
Soner, H. Mete; Touzi, Nizar; Zhang, Jianfeng
50
2013
Optimal transportation under controlled stochastic dynamics. Zbl 1283.60097
Tan, Xiaolu; Touzi, Nizar
28
2013
Homogenization and asymptotics for small transaction costs. Zbl 1280.91158
Soner, H. Mete; Touzi, Nizar
22
2013
On the robust superhedging of measurable claims. Zbl 1297.93188
Possamaï, Dylan; Royer, Guillaume; Touzi, Nizar
15
2013
Singular forward-backward stochastic differential equations and emissions derivatives. Zbl 1276.60070
Carmona, René; Delarue, François; Espinosa, Gilles-Edouard; Touzi, Nizar
6
2013
Wellposedness of second order backward SDEs. Zbl 1252.60056
Soner, H. Mete; Touzi, Nizar; Zhang, Jianfeng
101
2012
Detecting the maximum of a scalar diffusion with negative drift. Zbl 1261.60077
Espinosa, Gilles-Edouard; Touzi, Nizar
5
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
77
2011
Weak dynamic programming principle for viscosity solutions. Zbl 1228.49028
Bouchard, Bruno; Touzi, Nizar
60
2011
Quasi-sure stochastic analysis through aggregation. Zbl 1245.60062
Soner, H. Mete; Touzi, Nizar; Zhang, Jianfeng
47
2011
A probabilistic numerical method for fully nonlinear parabolic PDEs. Zbl 1230.65009
Fahim, Arash; Touzi, Nizar; Warin, Xavier
43
2011
Hedging and vertical integration in electricity markets. Zbl 1279.91175
Aïd, René; Chemla, Gilles; Porchet, Arnaud; Touzi, Nizar
7
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
35
2010
Option hedging for small investors under liquidity costs. Zbl 1226.91072
Çetin, Umut; Soner, H. Mete; Touzi, Nizar
33
2010
On the Monte Carlo simulation of BSDEs: an improvement on the Malliavin weights. Zbl 1193.65005
Crisan, D.; Manolarakis, K.; Touzi, N.
14
2010
Merton problem with taxes: characterization, computation, and approximation. Zbl 1230.91166
Ben Tahar, Imen; Soner, H. Mete; Touzi, Nizar
5
2010
Discrete-time approximation of BSDEs and probabilistic schemes for fully nonlinear PDEs. Zbl 1179.65004
Bouchard, Bruno; Elie, Romuald; Touzi, Nizar
13
2009
Valuation of power plants by utility indifference and numerical computation. Zbl 1180.91218
Porchet, Arnaud; Touzi, Nizar; Warin, Xavier
13
2009
A structural risk-neutral model of electricity prices. Zbl 1188.91069
Aïd, René; Campi, Luciano; Huu, Adrien Nguyen; Touzi, Nizar
11
2009
The dynamic programming equation for second order stochastic target problems. Zbl 1229.91324
Soner, H. Mete; Touzi, Nizar
10
2009
Optimal risk sharing for law invariant monetary utility functions. Zbl 1133.91360
Jouini, E.; Schachermayer, W.; Touzi, N.
83
2008
Optimal multiple stopping and valuation of swing options. Zbl 1133.91499
Carmona, René; Touzi, Nizar
69
2008
Optimal lifetime consumption and investment under a drawdown constraint. Zbl 1164.91011
Elie, Romuald; Touzi, Nizar
30
2008
Second-order backward stochastic differential equations and fully nonlinear parabolic PDEs. Zbl 1121.60062
Cheridito, Patrick; Soner, H. Mete; Touzi, Nizar; Victoir, Nicolas
73
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
Carmona, René A. (ed.); Çinlar, Erhan (ed.); Ekeland, Ivar (ed.); Jouini, Elyes (ed.); Scheinkman, José A. (ed.); Touzi, Nizar (ed.)
1
2007
Law invariant risk measures have the Fatou property. Zbl 1198.46028
Jouini, Elyès; Schachermayer, Walter; Touzi, Nizar
101
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
22
2005
Maturity randomization for stochastic control problems. Zbl 1177.93097
Bouchard, Bruno; El Karoui, Nicole; Touzi, Nizar
8
2005
Small time path behavior of double stochastic integrals and applications to stochastic control. Zbl 1099.60027
Cheridito, Patrick; Soner, H. Mete; Touzi, Nizar
5
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
160
2004
Vector-valued coherent risk measures. Zbl 1063.91048
Jouini, Elyès; Meddeb, Moncef; Touzi, Nizar
73
2004
On the Malliavin approach to Monte Carlo approximation of conditional expectations. Zbl 1051.60061
Bouchard, Bruno; Ekeland, Ivar; Touzi, Nizar
26
2004
Dual formulation of the utility maximization problem: the case of nonsmooth utility. Zbl 1126.91018
Bouchard, B.; Touzi, N.; Zeghal, A.
16
2004
Stochastic control problems, viscosity solutions and application to finance. Zbl 1076.93001
Touzi, Nizar
7
2004
Paris-Princeton lectures on mathematical finance 2003. Zbl 1047.91002
Carmona, R. A. (ed.); Çinlar, E. (ed.); Ekeland, I. (ed.); Jouini, E. (ed.); Scheinkman, J. A. (ed.); Touzi, N. (ed.)
2
2004
A stochastic representation for mean curvature type geometric flows. Zbl 1080.60076
Soner, H. Mete; Touzi, Nizar
15
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
41
2002
Stochastic target problems, dynamic programming, and viscosity solutions. Zbl 1011.49019
Soner, H. Mete; Touzi, Nizar
33
2002
Continuous-time Dynkin games with mixed strategies. Zbl 1020.60028
Touzi, Nizar; Vieille, Nicolas
32
2002
A stochastic representation for the level set equations. Zbl 1036.49010
Soner, H. Mete; Touzi, Nizar
12
2002
Dual formulation of the utility maximization problem under transaction costs. Zbl 1012.60059
Deelstra, Griselda; Pham, Huyên; Touzi, Nizar
29
2001
Option pricing by large risk aversion utility under transaction costs. Zbl 1011.91043
Bouchard, B.; Kabanov, Yu. A.; Touzi, N.
12
2001
No arbitrage in discrete time under portfolio constraints. Zbl 1055.91018
Carassus, Laurence; Pham, Huyên; Touzi, Nizar
12
2001
Superreplication under gamma constraints. Zbl 0960.91036
Soner, H. Mete; Touzi, Nizar
27
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
13
2000
Direct characterization of the value of super-replication under stochastic volatility and portfolio constraints. Zbl 1048.91072
Touzi, Nizar
9
2000
Optimal insurance demand under marked point processes shocks. Zbl 1161.91419
Touzi, Nizar
8
2000
Optimal investment with taxes: An existence result. Zbl 0978.91043
Jouini, Elyès; Koehl, Pierre-F.; Touzi, Nizar
8
2000
On super-replication in discrete time under transaction costs. Zbl 0994.60048
Koehl, P. F.; Pham, H.; Touzi, N.
7
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
23
1999
Optimal investment with taxes: An optimal control problem with endogeneous delay. Zbl 1126.91370
Jouini, Elyès; Koehl, Pierre-F.; Touzi, Nizar
9
1999
Super-replication under proportional transaction costs: From discrete to continuous-time models. Zbl 0942.91049
Touzi, Nizar
7
1999
Hedging in discrete time under transaction costs and continuous-time limit. Zbl 0937.91063
Koehl, Pierre-F.; Pham, Huyên; Touzi, Nizar
7
1999
American options exercise boundary when the volatility changes randomly. Zbl 0937.60039
Touzi, N.
6
1999
Spectral methods for identifying scalar diffusions. Zbl 0962.62094
Hansen, Lars Peter; Scheinkman, José Alexandre; Touzi, Nizar
42
1998
...and 5 more Documents
all top 5

Cited by 1,711 Authors

52 Touzi, Nizar
35 Bouchard, Bruno
29 Soner, Halil Mete
26 Zhang, Jianfeng
22 Bayraktar, Erhan
20 Possamaï, Dylan
18 Muhle-Karbe, Johannes
18 Pham, Huyên
17 Beiglböck, Mathias
17 Tan, Xiaolu
16 Nutz, Marcel
16 Zhao, Weidong
15 Kupper, Michael
14 Dolinsky, Yan
14 Warin, Xavier
13 Obloj, Jan K.
12 Bender, Christian
12 Chassagneux, Jean-François
12 Elie, Romuald
12 Rudloff, Birgit
12 Svindland, Gregor
11 Henry-Labordère, Pierre
11 Hu, Mingshang
11 Hu, Yijun
11 Ji, Shaolin
11 Schachermayer, Walter
11 Song, Yongsheng
11 Wang, Ruodu
10 dos Reis, Gonçalo
10 Gobet, Emmanuel
10 Hamel, Andreas H.
10 Peng, Shige
10 Wang, Falei
9 Cosso, Andrea
9 Cox, Alexander Matthew Gordon
9 Kharroubi, Idris
9 Mnif, Mohamed
9 Ren, Zhenjie
9 Zhou, Chao
8 Bartl, Daniel
8 Campi, Luciano
8 Chen, Yanhong
8 Delbaen, Freddy
8 Ekren, Ibrahim
8 Fouque, Jean-Pierre
8 Guasoni, Paolo
8 Lin, Yiqing
8 Matoussi, Anis
8 Pichler, Alois
8 Rüschendorf, Ludger
8 Russo, Francesco
7 Carmona, René A.
7 Grechuk, Bogdan
7 Guo, Gaoyue
7 Hobson, David G.
7 Huesmann, Martin
7 Jouini, Elyès
7 Leung, Tim
7 Neufeld, Ariel David
7 Tangpi, Ludovic
7 Young, Virginia R.
7 Zabarankin, Michael
6 Acciaio, Beatrice
6 Alòs, Elisa
6 Backhoff Veraguas, Julio D.
6 Boonen, Tim J.
6 Cheridito, Patrick
6 Dana, Rose-Anne
6 Ekeland, Ivar
6 Feinstein, Zachary
6 Gourieroux, Christian
6 Hamadene, Saïd
6 Ludkovski, Michael
6 Ma, Jin
6 Mastrolia, Thibaut
6 Orihuela, José
6 Renault, Eric
6 Schoenmakers, John G. M.
6 Seifried, Frank Thomas
6 Sircar, Ronnie
6 Yang, Shuzhen
5 Balbás, Alejandro
5 Bank, Peter
5 Biagini, Francesca
5 Bouveret, Géraldine
5 Burzoni, Matteo
5 Carlier, Guillaume
5 Christensen, Soren
5 Crisan, Dan O.
5 Dai, Min
5 Di Bernardino, Elena
5 Frittelli, Marco
5 Fuhrman, Marco
5 Herdegen, Martin
5 Hu, Ying
5 Huang, Yu-Jui
5 Jacquier, Antoine
5 Jentzen, Arnulf
5 Kabanov, Yuriĭ Mikhaĭlovich
5 Kallsen, Jan
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Cited in 210 Serials

111 Stochastic Processes and their Applications
96 Finance and Stochastics
78 The Annals of Applied Probability
77 Mathematical Finance
53 Mathematics and Financial Economics
49 International Journal of Theoretical and Applied Finance
46 SIAM Journal on Control and Optimization
46 Insurance Mathematics & Economics
38 SIAM Journal on Financial Mathematics
30 Journal of Econometrics
30 Quantitative Finance
25 Journal of Mathematical Economics
24 Mathematical Methods of Operations Research
23 The Annals of Probability
23 European Journal of Operational Research
22 Applied Mathematics and Optimization
22 Applied Mathematical Finance
22 Stochastics
19 Stochastic Analysis and Applications
17 Journal of Mathematical Analysis and Applications
15 Mathematics of Operations Research
15 Annals of Operations Research
15 Bernoulli
14 Journal of Optimization Theory and Applications
14 Journal of Economic Dynamics & Control
13 Automatica
13 Journal of Computational and Applied Mathematics
13 Annals of Finance
12 Probability Theory and Related Fields
12 Scandinavian Actuarial Journal
12 Probability, Uncertainty and Quantitative Risk
11 Stochastics and Dynamics
11 ASTIN Bulletin
9 Statistics & Probability Letters
9 Electronic Journal of Probability
9 European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations
8 Journal of Scientific Computing
8 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques
8 Mathematical Problems in Engineering
8 Mathematical Control and Related Fields
7 Monte Carlo Methods and Applications
7 Methodology and Computing in Applied Probability
7 Comptes Rendus. Mathématique. Académie des Sciences, Paris
7 Asia-Pacific Financial Markets
6 Journal of Economic Theory
6 Mathematical Programming. Series A. Series B
6 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
6 Positivity
6 Review of Derivatives Research
6 East Asian Journal on Applied Mathematics
6 European Series in Applied and Industrial Mathematics (ESAIM): Proceedings and Surveys
5 Advances in Applied Probability
5 Mathematics of Computation
5 The Annals of Statistics
5 Applied Mathematics and Computation
5 Journal of Applied Probability
5 Journal of Functional Analysis
5 Systems & Control Letters
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 European Actuarial Journal
5 Dependence Modeling
4 Computers & Mathematics with Applications
4 Transactions of the American Mathematical Society
4 Operations Research Letters
4 Communications in Statistics. Theory and Methods
4 SIAM Journal on Mathematical Analysis
4 SIAM Journal on Scientific Computing
4 Applied Mathematics. Series B (English Edition)
4 Calculus of Variations and Partial Differential Equations
4 NoDEA. Nonlinear Differential Equations and Applications
4 Discrete and Continuous Dynamical Systems. Series B
4 Frontiers of Mathematics in China
4 Statistics & Risk Modeling
3 Journal of Computational Physics
3 Archiv der Mathematik
3 Journal of Differential Equations
3 Journal of Multivariate Analysis
3 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods
3 Numerische Mathematik
3 Operations Research
3 Proceedings of the American Mathematical Society
3 SIAM Journal on Numerical Analysis
3 Applied Numerical Mathematics
3 Journal of Theoretical Probability
3 Journal of Global Optimization
3 Communications in Partial Differential Equations
3 Computational Statistics and Data Analysis
3 Journal of Mathematical Sciences (New York)
3 Random Operators and Stochastic Equations
3 Abstract and Applied Analysis
3 Discrete Dynamics in Nature and Society
3 Statistical Inference for Stochastic Processes
3 Journal of Industrial and Management Optimization
3 Dynamic Games and Applications
3 SN Partial Differential Equations and Applications
2 Archive for Rational Mechanics and Analysis
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Cited in 37 Fields

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

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