Nizar Touzi

Ecole Polytechnique, Paris

1 rue Descartes

Paris, 75005

France

SCHOLARLY PAPERS

21

DOWNLOADS
Rank 18,956

SSRN RANKINGS

Top 18,956

in Total Papers Downloads

2,500

CITATIONS
Rank 12,982

SSRN RANKINGS

Top 12,982

in Total Papers Citations

57

Scholarly Papers (21)

Hedging and Vertical Integration in Electricity Markets

EFA 2009 Bergen Meetings Paper
Number of pages: 28 Posted: 19 Feb 2009 Last Revised: 02 Feb 2011
Université Paris-Dauphine, Imperial College Business School, Citibank, N.A. and Ecole Polytechnique, Paris
Downloads 414 (68,698)

Abstract:

Loading...

hedging, forward, wholesale spot price, retail, vertical integration

Hedging and Vertical Integration in Electricity Markets

CEPR Discussion Paper No. DP8313
Number of pages: 32 Posted: 18 Apr 2011
Université Paris-Dauphine, Imperial College Business School, Citibank, N.A. and Ecole Polytechnique, Paris
Downloads 3 (654,630)
  • Add to Cart

Abstract:

Loading...

electricity markets, forward, hedging, producers, retailers, spot, vertical integration

2.

Exact Simulation of Multi-Dimensional Stochastic Differential Equations

Number of pages: 28 Posted: 26 Apr 2015
Société Générale - Paris, France, Université Paris Dauphine - CEREMADE and Ecole Polytechnique, Paris
Downloads 263 (115,189)
Citation 4

Abstract:

Loading...

3.

Martingale Representation Theorem for the G-Expectation

Swiss Finance Institute Research Paper No. 10-54
Number of pages: 30 Posted: 27 Dec 2010
Halil Mete Soner, Nizar Touzi and Jianfeng Zhang
ETH Zürich, Ecole Polytechnique, Paris and University of Southern California - Department of Mathematics
Downloads 255 (118,977)
Citation 3

Abstract:

Loading...

G-expectation, G-martingale, nonlinear expectation, stochastic target problem, singular measure, BSDE, 2BSDE, duality

4.

Maximum Maximum of Martingales Given Marginals

Number of pages: 35 Posted: 01 Apr 2012 Last Revised: 10 Apr 2013
Société Générale - Paris, France, University of Oxford - Mathematical Institute, University of Oxford and Ecole Polytechnique, Paris
Downloads 221 (137,214)
Citation 6

Abstract:

Loading...

Optimal control, robust pricing and hedging, volatility uncertainty, optimal transportation, pathwise inequalities, lookback option

5.

A Stochastic Control Approach to No-Arbitrage Bounds Given Marginals, with an Application to Lookback Options

Number of pages: 25 Posted: 22 Sep 2011 Last Revised: 20 Feb 2013
NYU, Department of Economics and Courant Institute, Société Générale - Paris, France and Ecole Polytechnique, Paris
Downloads 217 (139,663)
Citation 6

Abstract:

Loading...

Optimal control, volatility uncertainty, convex duality

6.

Law Invariant Risk Measures Have the Fatou Property

Number of pages: 23 Posted: 23 Aug 2007
Univ. Paris Dauphine - CEREMADE, Universität Wien, Fakultät für Mathematik and Ecole Polytechnique, Paris
Downloads 196 (153,692)
Citation 1

Abstract:

Loading...

Fatou property, risk measures

7.

Optimal Risk Sharing for Law Invariant Monetary Utility Functions

Mathematical Finance, Forthcoming
Number of pages: 28 Posted: 19 Jul 2007
Univ. Paris Dauphine - CEREMADE, Universität Wien, Fakultät für Mathematik and Ecole Polytechnique, Paris
Downloads 194 (155,184)

Abstract:

Loading...

8.

Homogenization and Asymptotics for Small Transaction Costs

Swiss Finance Institute Research Paper No. 12-13
Number of pages: 31 Posted: 02 Apr 2012
Halil Mete Soner and Nizar Touzi
ETH Zürich and Ecole Polytechnique, Paris
Downloads 175 (170,322)
Citation 4

Abstract:

Loading...

transaction costs, homogenization, viscosity solutions, asymptotic expansions

9.

Vector-Valued Coherent Risk Measures

Number of pages: 23 Posted: 15 Aug 2007
Elyes Jouini, Moncef Meddeb and Nizar Touzi
Univ. Paris Dauphine - CEREMADE, Université Paris I Panthéon-Sorbonne - Modelisations et Methodes Mathematiques en Economie and Ecole Polytechnique, Paris
Downloads 141 (204,203)
Citation 1

Abstract:

Loading...

risk measures, random portofolio

10.

An Explicit Martingale Version of Brenier's Theorem

Number of pages: 32 Posted: 22 Feb 2013 Last Revised: 10 Apr 2013
Pierre Henry-Labordere and Nizar Touzi
Société Générale - Paris, France and Ecole Polytechnique, Paris
Downloads 113 (241,931)
Citation 4

Abstract:

Loading...

11.

A Numerical Algorithm for a Class of BSDE Via Branching Process

Number of pages: 27 Posted: 06 Feb 2013
Société Générale - Paris, France, Université Paris Dauphine - CEREMADE and Ecole Polytechnique, Paris
Downloads 106 (253,143)
Citation 1

Abstract:

Loading...

numerical algorithm, BSDEs, branching process, viscosity solution, path dependent PDEs

12.

An Explicit Martingale Version of the One-Dimensional Brenier's Theorem with Full Marginals Constraint

Number of pages: 36 Posted: 14 Feb 2014
Société Générale - Paris, France, Université Paris Dauphine - CEREMADE and Ecole Polytechnique, Paris
Downloads 97 (268,719)

Abstract:

Loading...

13.

Optimal Make-Take Fees for Market Making Regulation

Number of pages: 35 Posted: 22 May 2018
Ecole Polytechnique, Paris, Ecole Polytechnique, Palaiseau - CMAP CNRS-UMR 7641 and Ecole Polytechnique, Ecole Polytechnique, Palaiseau and Ecole Polytechnique, Paris
Downloads 49 (389,281)
Citation 1

Abstract:

Loading...

Make-take fees, market making, financial regulation, high-frequency trading, principal-agent problem, stochastic control

14.
Downloads 14 (479,452)
Citation 3

Optimal Investment with Taxes: An Existence Result

NYU Working Paper No. S-MF-99-05
Number of pages: 16 Posted: 12 Nov 2008
Univ. Paris Dauphine - CEREMADE, CREST-ENSAE and Ecole Polytechnique, Paris
Downloads 14 (575,676)

Abstract:

Loading...

optimal investment with taxes, weak compactness, Levy convergence

Optimal Investment with Taxes: An Existence Result

Journal of Mathematical Economics, Vol. 33, pp. 373-388, 2000
Posted: 15 Aug 2007
Univ. Paris Dauphine - CEREMADE, National Institute of Statistics and Economic Studies (INSEE) - National School for Statistical and Economic Administration (ENSAE) and Ecole Polytechnique, Paris

Abstract:

Loading...

Optimal investment with taxes, Weak compactness, Levy convergence

15.

Hedging Under Gamma Constraints By Optimal Stopping and Face-Lifting

Mathematical Finance, Vol. 17, No. 1, pp. 59-79, January 2007
Number of pages: 21 Posted: 13 Dec 2006
Halil Mete Soner and Nizar Touzi
Koc University - College of Administrative Sciences and Economics and Ecole Polytechnique, Paris
Downloads 24 (495,793)
  • Add to Cart

Abstract:

Loading...

16.

Optimal Electricity Demand Response Contracting With Responsiveness Incentives

Number of pages: 36 Posted: 26 Nov 2018 Last Revised: 09 Jun 2019
René Aïd, Dylan Possamaï and Nizar Touzi
Université Paris-Dauphine, Columbia University and Ecole Polytechnique, Paris
Downloads 17 (536,175)

Abstract:

Loading...

responsiveness incentive, optimal contract, demand response

17.

Liquidation of an Indivisible Asset with Independent Investment

Mathematical Finance, Vol. 28, Issue 1, pp. 153-176, 2018
Number of pages: 24 Posted: 17 Jan 2018
Emilie Fabre, Guillaume Royer and Nizar Touzi
Ecole Polytechnique, Paris, Ecole Polytechnique, Paris and Ecole Polytechnique, Paris
Downloads 1 (648,128)
  • Add to Cart

Abstract:

Loading...

optimal stopping, optimal control, viscosity solutions

18.

Optimal Investment Under Relative Performance Concerns

Mathematical Finance, Vol. 25, Issue 2, pp. 221-257, 2015
Number of pages: 37 Posted: 04 Mar 2015
Gilles‐Edouard Espinosa and Nizar Touzi
Ecole Polytechnique, Paris and Ecole Polytechnique, Paris
Downloads 0 (666,078)
  • Add to Cart

Abstract:

Loading...

portfolio optimization, relative concerns, Nash equilibrium, differential game, backward stochastic differential equations

19.

A Structural Risk-Neutral Model of Electricity Prices

International Journal of Theoretical and Applied Finance, Vol. 12, No. 7, pp. 925-947, 2009
Posted: 25 Apr 2010
René Aïd, Luciano Campi and Nizar Touzi
Université Paris-Dauphine, London School of Economics & Political Science (LSE) and Ecole Polytechnique, Paris

Abstract:

Loading...

Energy markets, electricity prices, fuel prices, risk-neutral probability, no-arbitrage pricing, forward contract

20.

Optimal Investment with Taxes: An Optimal Control Problem with Endogeneous Delay

Nonlinear Analysis, Vol. 37, pp. 31-56, 1999
Posted: 16 Aug 2007
Univ. Paris Dauphine - CEREMADE, National Institute of Statistics and Economic Studies (INSEE) - National School for Statistical and Economic Administration (ENSAE) and Ecole Polytechnique, Paris

Abstract:

Loading...

Consumption, investment problems, Deterministic optimal control, Endogenous delay

21.

Incomplete Markets, Transaction Costs and Liquidity Effects

The European Journal of Finance, Vol. 3, pp. 325-347, 1997
Posted: 15 Aug 2007
Univ. Paris Dauphine - CEREMADE, National Institute of Statistics and Economic Studies (INSEE) - National School for Statistical and Economic Administration (ENSAE) and Ecole Polytechnique, Paris

Abstract:

Loading...

contingent claim, transaction costs, incomplete markets