Marcel Nutz

Columbia University

SCHOLARLY PAPERS

12

DOWNLOADS

2,299

SSRN CITATIONS

31

CROSSREF CITATIONS

5

Scholarly Papers (12)

1.

Unwinding Stochastic Order Flow: When to Warehouse Trades

Number of pages: 48 Posted: 02 Nov 2023
Marcel Nutz, Kevin Webster and Long Zhao
Columbia University, Columbia University and Columbia University - Departments of Statistics and Mathematics
Downloads 525 (101,157)

Abstract:

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Internalization, Optimal Execution, Price Impact, Central Risk Book, Market Making

2.
Downloads 445 (123,302)
Citation 8

Shorting in Speculative Markets

Journal of Finance, Forthcoming
Number of pages: 59 Posted: 18 May 2017 Last Revised: 31 Jul 2019
Marcel Nutz and José A. Scheinkman
Columbia University and Columbia University
Downloads 413 (133,122)
Citation 4

Abstract:

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Speculation, Heterogeneous Beliefs, Asset-Supply, Resale Option, Delay Option, Shorting, Bubble-Implosion

Supply and Shorting in Speculative Markets

NBER Working Paper No. w23751
Number of pages: 40 Posted: 06 Sep 2017 Last Revised: 26 May 2023
Marcel Nutz and José A. Scheinkman
Columbia University and Columbia University
Downloads 32 (874,334)

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3.

Bounds for VIX Futures Given S&P 500 Smiles

Number of pages: 24 Posted: 20 Sep 2016 Last Revised: 23 Jun 2017
Julien Guyon, Romain Menegaux and Marcel Nutz
Ecole des Ponts ParisTech, Bloomberg L.P. and Columbia University
Downloads 367 (153,522)
Citation 4

Abstract:

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VIX Futures, Price bounds, Superreplication, Subreplication, Model-free, Robust hedging, S&P 500 smile

4.

Superhedging and Dynamic Risk Measures Under Volatility Uncertainty

Swiss Finance Institute Research Paper No. 10-52
Number of pages: 31 Posted: 15 Jan 2011
Marcel Nutz and Halil Mete Soner
Columbia University and ETH Zürich
Downloads 326 (174,519)
Citation 2

Abstract:

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Volatility Uncertainty, Risk Measure, Time Consistency, Nonlinear Martingale, Superhedging, Replication, Second Order BSDE, G-Expectation AMS 2000 Subject

5.

Weak Approximation of G-Expectations

Swiss Finance Institute Research Paper No. 11-09
Number of pages: 17 Posted: 26 Mar 2011
Marcel Nutz, Halil Mete Soner and Yan Dolinsky
Columbia University, ETH Zürich and ETH Zürich
Downloads 255 (224,707)
Citation 1

Abstract:

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G-expectation, volatility uncertainty, weak limit theorem

6.

Asset Pricing with Heterogeneous Beliefs and Illiquidity

Number of pages: 37 Posted: 04 Jun 2019 Last Revised: 26 Mar 2020
Imperial College London - Department of Mathematics, Columbia University and Columbia University - Department of Mathematics
Downloads 92 (520,231)
Citation 1

Abstract:

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Equilibrium, Liquidity, Heterogeneous Beliefs

7.

A Risk-Neutral Equilibrium Leading to Uncertain Volatility Pricing

Number of pages: 18 Posted: 31 Dec 2016 Last Revised: 05 Jan 2018
Johannes Muhle-Karbe and Marcel Nutz
Imperial College London - Department of Mathematics and Columbia University
Downloads 76 (583,779)
Citation 2

Abstract:

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Heterogeneous Beliefs, Equilibrium, Derivative Price Bubble, Uncertain Volatility Model, Nonlinear Expectation

8.

A Mean Field Competition

Number of pages: 33 Posted: 04 Aug 2017
Marcel Nutz and Yuchong Zhang
Columbia University and University of Toronto - Department of Statistics
Downloads 68 (620,269)
Citation 6

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Mean Field Game, Rank-Based Reward, Optimal Contract, R and D Competition

9.

Conditional Optimal Stopping: A Time-Inconsistent Optimization

Annals of Applied Probability, 30(4), 1669-1692, 2020
Number of pages: 34 Posted: 25 Jun 2019 Last Revised: 06 Nov 2021
Marcel Nutz and Yuchong Zhang
Columbia University and University of Toronto - Department of Statistics
Downloads 50 (719,106)

Abstract:

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Conditional optimal stopping, time-inconsistency, equilibrium

10.

Climate Change Adaptation under Heterogeneous Beliefs

Number of pages: 28 Posted: 12 Mar 2021
Marcel Nutz and Florian Stebegg
Columbia University and Columbia University
Downloads 47 (738,286)
Citation 1

Abstract:

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Climate Change Adaptation, Heterogeneous Beliefs, Cournot Equilibrium

11.

Mean Field Contest with Singularity

Number of pages: 29 Posted: 09 Mar 2021
Marcel Nutz and Yuchong Zhang
Columbia University and University of Toronto - Department of Statistics
Downloads 24 (921,852)
Citation 1

Abstract:

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Mean Field Game, Stochastic Contest, Optimal Contract, Stackelberg Game

12.

Reward Design in Risk-Taking Contests

SIAM Journal on Financial Mathematics, forthcoming
Number of pages: 16 Posted: 09 Mar 2021 Last Revised: 06 Nov 2021
Marcel Nutz and Yuchong Zhang
Columbia University and University of Toronto - Department of Statistics
Downloads 24 (921,852)
Citation 2

Abstract:

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Stochastic contest, Stackelberg game, optimal stopping