Marcel Nutz

According to our database1, Marcel Nutz
  • authored at least 9 papers between 2009 and 2017.
  • has a "Dijkstra number"2 of six.

Timeline

Legend:

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In proceedings 
Article 
PhD thesis 
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Links

On csauthors.net:

Bibliography

2017
Bounds for VIX futures given S&P 500 smiles.
Finance and Stochastics, 2017

2016
Stochastic Target Games and Dynamic Programming via Regularized Viscosity Solutions.
Math. Oper. Res., 2016

Consistent price systems under model uncertainty.
Finance and Stochastics, 2016

2014
Superreplication under model uncertainty in discrete time.
Finance and Stochastics, 2014

2012
Superhedging and Dynamic Risk Measures under Volatility Uncertainty.
SIAM J. Control and Optimization, 2012

Weak Dynamic Programming for Generalized State Constraints.
SIAM J. Control and Optimization, 2012

2011
A Quasi-Sure Approach to the Control of Non-Markovian Stochastic Differential Equations
CoRR, 2011

Weak Dynamic Programming for Generalized State Constraints
CoRR, 2011

2009
The Bellman equation for power utility maximization with semimartingales.
CoRR, 2009


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