Nizar Touzi

Ecole Polytechnique, Paris

1 rue Descartes

Paris, 75005

France

SCHOLARLY PAPERS

22

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3,047

SSRN CITATIONS
Rank 13,272

SSRN RANKINGS

Top 13,272

in Total Papers Citations

38

CROSSREF CITATIONS

50

Scholarly Papers (22)

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 426 (93,701)

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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 (867,771)
Citation 1
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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
Natixis - Paris, France, Université Paris Dauphine - CEREMADE and Ecole Polytechnique, Paris
Downloads 306 (136,331)
Citation 6

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3.

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

Number of pages: 76 Posted: 18 Feb 2021 Last Revised: 23 Mar 2022
Jussi Keppo, Nizar Touzi and Ruiting Zuo
National University of Singapore - NUS Business School, Ecole Polytechnique, Paris and National university of Singapore
Downloads 272 (153,942)

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Principal-agent model, moral hazard, stochastic optimal control

4.

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 272 (153,942)
Citation 8

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

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, Natixis - Paris, France and Ecole Polytechnique, Paris
Downloads 264 (158,647)
Citation 10

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Optimal control, volatility uncertainty, convex duality

6.

Maximum Maximum of Martingales Given Marginals

Number of pages: 35 Posted: 01 Apr 2012 Last Revised: 10 Apr 2013
Natixis - Paris, France, University of Oxford - Mathematical Institute, University of Oxford and Ecole Polytechnique, Paris
Downloads 232 (179,960)
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 218 (190,795)
Citation 11

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Fatou property, risk measures

8.

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 205 (202,071)

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9.

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 177 (230,050)
Citation 7

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transaction costs, homogenization, viscosity solutions, asymptotic expansions

10.

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 151 (262,694)
Citation 4

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risk measures, random portofolio

11.

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
Natixis - Paris, France and Ecole Polytechnique, Paris
Downloads 128 (298,605)
Citation 8

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12.

A Numerical Algorithm for a Class of BSDE Via Branching Process

Number of pages: 27 Posted: 06 Feb 2013
Natixis - Paris, France, Université Paris Dauphine - CEREMADE and Ecole Polytechnique, Paris
Downloads 121 (311,299)
Citation 2

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

13.

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

Number of pages: 36 Posted: 14 Feb 2014
Natixis - Paris, France, Université Paris Dauphine - CEREMADE and Ecole Polytechnique, Paris
Downloads 104 (345,542)
Citation 7

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14.

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 88 (384,164)
Citation 3

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

15.

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 36 (581,343)
Citation 1

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responsiveness incentive, optimal contract, demand response

16.
Downloads 16 (615,759)
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 16 (740,999)

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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

17.

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 25 (648,487)

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18.

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 2 (844,597)

Abstract:

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optimal stopping, optimal control, viscosity solutions

19.

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 1 (858,155)
Citation 2

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

20.

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

21.

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

22.

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