Nizar Touzi

According to our database1, Nizar Touzi authored at least 29 papers between 1999 and 2020.

Collaborative distances:
  • Dijkstra number2 of five.
  • Erdős number3 of four.

Timeline

Legend:

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PhD thesis 
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Links

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Bibliography

2020
On the Root Solution to the Skorokhod Embedding Problem Given Full Marginals.
SIAM J. Control. Optim., 2020

Comparison of Viscosity Solutions of Semilinear Path-Dependent PDEs.
SIAM J. Control. Optim., 2020

2018
Special Issue: Optimization and Stochastic Control in Finance, Journal of Optimization Theory and Applications.
J. Optim. Theory Appl., 2018

Dynamic programming approach to principal-agent problems.
Finance Stochastics, 2018

2017
Comparison of Viscosity Solutions of Fully Nonlinear Degenerate Parabolic Path-Dependent PDEs.
SIAM J. Math. Anal., 2017

Moral Hazard in Dynamic Risk Management.
Manag. Sci., 2017

2016
On the Monotonicity Principle of Optimal Skorokhod Embedding Problem.
SIAM J. Control. Optim., 2016

Optimal Skorokhod Embedding Under Finitely Many Marginal Constraints.
SIAM J. Control. Optim., 2016

An explicit martingale version of the one-dimensional Brenier theorem.
Finance Stochastics, 2016

2013
Homogenization and Asymptotics for Small Transaction Costs.
SIAM J. Control. Optim., 2013

2012
Detecting the Maximum of a Scalar Diffusion with Negative Drift.
SIAM J. Control. Optim., 2012

Large liquidity expansion of super-hedging costs.
Asymptot. Anal., 2012

2011
Weak Dynamic Programming Principle for Viscosity Solutions.
SIAM J. Control. Optim., 2011

Hedging and Vertical Integration in Electricity Markets.
Manag. Sci., 2011

2010
Merton Problem with Taxes: Characterization, Computation, and Approximation.
SIAM J. Financial Math., 2010

Option hedging for small investors under liquidity costs.
Finance Stochastics, 2010

2009
The Dynamic Programming Equation for Second Order Stochastic Target Problems.
SIAM J. Control. Optim., 2009

Stochastic Target Problems with Controlled Loss.
SIAM J. Control. Optim., 2009

Valuation of power plants by utility indifference and numerical computation.
Math. Methods Oper. Res., 2009

2008
Optimal lifetime consumption and investment under a drawdown constraint.
Finance Stochastics, 2008

2007
The Dynamic Programming Equation for the Problem of Optimal Investment Under Capital Gains Taxes.
SIAM J. Control. Optim., 2007

2004
Vector-valued coherent risk measures.
Finance Stochastics, 2004

On the Malliavin approach to Monte Carlo approximation of conditional expectations.
Finance Stochastics, 2004

2002
Continuous-Time Dynkin Games with Mixed Strategies.
SIAM J. Control. Optim., 2002

Stochastic Target Problems, Dynamic Programming, and Viscosity Solutions.
SIAM J. Control. Optim., 2002

2000
Superreplication Under Gamma Constraints.
SIAM J. Control. Optim., 2000

1999
Super-replication under proportional transaction costs: From discrete to continuous-time models.
Math. Methods Oper. Res., 1999

Applications of Malliavin calculus to Monte Carlo methods in finance.
Finance Stochastics, 1999

A closed-form solution to the problem of super-replication under transaction costs.
Finance Stochastics, 1999


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