Nizar Touzi

Ecole Polytechnique, Paris

1 rue Descartes

Paris, 75005

France

SCHOLARLY PAPERS

19

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3,368

SSRN CITATIONS
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Top 14,059

in Total Papers Citations

54

CROSSREF CITATIONS

37

Scholarly Papers (19)

1.

Dynamic Contracting in Asset Management under Investor-Partner-Manager Relationship

Number of pages: 88 Posted: 18 Feb 2021 Last Revised: 15 May 2023
Jussi Keppo, Nizar Touzi and Ruiting Zuo
National University of Singapore - NUS Business School, Ecole Polytechnique, Paris and National university of Singapore
Downloads 511 (89,201)

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Principal-agent model, moral hazard, stochastic optimal control

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 447 (103,672)

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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 (1,001,063)
Citation 1
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electricity markets, forward, hedging, producers, retailers, spot, vertical integration

3.

Exact Simulation of Multi-Dimensional Stochastic Differential Equations

Number of pages: 28 Posted: 26 Apr 2015
Qube Research & Technologies, Université Paris Dauphine - CEREMADE and Ecole Polytechnique, Paris
Downloads 353 (137,184)
Citation 6

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4.

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, Qube Research & Technologies and Ecole Polytechnique, Paris
Downloads 292 (167,766)
Citation 10

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Optimal control, volatility uncertainty, convex duality

5.

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 291 (168,388)
Citation 8

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

6.

Maximum Maximum of Martingales Given Marginals

Number of pages: 35 Posted: 01 Apr 2012 Last Revised: 10 Apr 2013
Qube Research & Technologies, University of Oxford - Mathematical Institute, University of Oxford and Ecole Polytechnique, Paris
Downloads 255 (192,545)
Citation 11

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

7.

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 234 (209,412)
Citation 11

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Fatou property, risk measures

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 188 (256,342)
Citation 7

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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 166 (285,701)
Citation 5

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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
Qube Research & Technologies and Ecole Polytechnique, Paris
Downloads 150 (310,982)
Citation 8

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11.

A Numerical Algorithm for a Class of BSDE Via Branching Process

Number of pages: 27 Posted: 06 Feb 2013
Qube Research & Technologies, Université Paris Dauphine - CEREMADE and Ecole Polytechnique, Paris
Downloads 142 (324,965)
Citation 2

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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
Qube Research & Technologies, Université Paris Dauphine - CEREMADE and Ecole Polytechnique, Paris
Downloads 129 (349,966)
Citation 8

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13.

Optimal Make-Take Fees for Market Making Regulation

Number of pages: 42 Posted: 22 May 2018 Last Revised: 27 Nov 2019
Ecole Polytechnique, Paris, Ecole Polytechnique, Palaiseau - CMAP CNRS-UMR 7641 and Ecole Polytechnique, Ecole Polytechnique, Palaiseau and Ecole Polytechnique, Paris
Downloads 109 (395,484)
Citation 3

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

14.

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 71 (516,682)
Citation 1

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responsiveness incentive, optimal contract, demand response

15.
Downloads 27 (591,951)
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 27 (781,647)

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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

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Optimal investment with taxes, Weak compactness, Levy convergence

16.

Large Liquidity Expansion of Super-Hedging Costs

Asymptotic Analysis, 79(1–2):45–64, 2012
Posted: 25 Jul 2022
Dylan Possamaï, H. Mete Soner and Nizar Touzi
ETH Zürich, Princeton University - Department of Operations Research & Financial Engineering (ORFE) and Ecole Polytechnique, Paris

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super-replication, liquidity, viscosity solutions, asymptotic expansions

17.

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

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

18.

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

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Consumption, investment problems, Deterministic optimal control, Endogenous delay

19.

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

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contingent claim, transaction costs, incomplete markets