#### Filter Results:

- Full text PDF available (82)

#### Publication Year

1997

2018

- This year (1)
- Last 5 years (36)
- Last 10 years (56)

#### Publication Type

#### Co-author

#### Journals and Conferences

Learn More

- Eric FourniÃ©, Jean-Michel Lasry, JÃ©rÃ´me Lebuchoux, Pierre-Louis Lions, Nizar Touzi
- Finance and Stochastics
- 1999

This paper presents an original probabilistic method for the numerical computations of Greeks (i.e. price sensitivities) in finance. Our approach is based on theintegration-by-partsformula, whichâ€¦ (More)

We consider the problem of optimal risk sharing of some given total risk between two economic agents characterized by law-invariant monetary utility functions or equivalently, law-invariant riskâ€¦ (More)

- Bruno Bouchard, Nizar Touzi
- SIAM J. Control and Optimization
- 2011

We prove a weak version of the dynamic programming principle for standard stochastic control problems and mixed control-stopping problems, which avoids the technical difficulties related to theâ€¦ (More)

- Halil Mete Soner, Nizar Touzi
- SIAM J. Control and Optimization
- 2002

In this paper, we de ne and study a new class of optimal stochastic control problems which is closely related to the theory of Backward SDE's and forward-backward SDE's. The controlled process (X ; Yâ€¦ (More)

This paper considers the nonlinear theory of G-martingales as introduced by Peng (2007) in [16,17]. A martingale representation theorem for this theory is proved by using the techniques and theâ€¦ (More)

- Umut Ã‡etin, Halil Mete Soner, Nizar Touzi
- Finance and Stochastics
- 2010

Following the framework of Ã‡etin, Jarrow and Protter [4] we study the problem of super-replication in presence of liquidity costs under additional restrictions on the gamma of the hedging strategiesâ€¦ (More)

- Ibrahim Ekren, Nizar Touzi, Jianfeng Zhang
- 2014

Let X : [0, T ] Ã— Î© âˆ’â†’ R be a bounded cÃ dlÃ g process with positive jumps defined on the canonical space of continuous paths Î© . We consider the problem of optimal stopping the process X under aâ€¦ (More)

- ElyÃ¨s Jouini, Moncef Meddeb, Nizar Touzi
- Finance and Stochastics
- 2004

We define (d, n)âˆ’coherent risk measures as set-valued maps from Ld into IR satisfying some axioms. We show that this definition is a convenient extension of the real-valued risk measures introducedâ€¦ (More)

- M. Romano, Nizar Touzi
- 1997

In an incomplete market framework, contingent claims are of particular interest since they improve the market efficiency. This paper addresses the problem of market completeness when trading inâ€¦ (More)

- BY A. GALICHON, Pierre Henry-LabordÃ¨re, Nizar Touzi
- 2014

We consider the problem of superhedging under volatility uncertainty for an investor allowed to dynamically trade the underlying asset, and statically trade European call options for all possibleâ€¦ (More)