Marcel Nutz

Columbia University

SCHOLARLY PAPERS

15

DOWNLOADS

1,418

SSRN CITATIONS

27

CROSSREF CITATIONS

15

Scholarly Papers (15)

1.
Downloads 380 (107,650)
Citation 4

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 Scheinkman
Columbia University and Columbia University
Downloads 369 (110,466)
Citation 4

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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: 25 Nov 2021
Marcel Nutz and José Scheinkman
Columbia University and Columbia University
Downloads 11 (786,253)

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2.

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 291 (143,533)
Citation 1

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

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
Bloomberg L.P., Bloomberg L.P. and Columbia University
Downloads 290 (144,057)
Citation 4

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

4.

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 226 (184,244)
Citation 1

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G-expectation, volatility uncertainty, weak limit theorem

5.

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 52 (504,541)
Citation 2

Abstract:

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

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 48 (531,538)
Citation 1

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Equilibrium, Liquidity, Heterogeneous Beliefs

Asset Pricing with Heterogeneous Beliefs and Illiquidity

Mathematical Finance, Vol. 30, Issue 4, pp. 1392-1421, 2020
Number of pages: 30 Posted: 07 Oct 2020
Imperial College London - Department of Mathematics, Columbia University and Columbia University - Department of Mathematics
Downloads 0
Citation 2

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equilibrium, heterogeneous beliefs, liquidity

7.

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 46 (530,876)
Citation 6

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

8.

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 30 (615,234)
Citation 1

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Climate Change Adaptation, Heterogeneous Beliefs, Cournot Equilibrium

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 25 (647,887)

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Conditional optimal stopping, time-inconsistency, equilibrium

10.

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 15 (723,218)
Citation 1

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Stochastic contest, Stackelberg game, optimal stopping

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 14 (731,603)

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

12.

Robust Utility Maximization with Lévy Processes

Mathematical Finance, Vol. 28, Issue 1, pp. 82-105, 2018
Number of pages: 24 Posted: 17 Jan 2018
Ariel Neufeld and Marcel Nutz
ETH Zürich and Columbia University
Downloads 1 (857,097)
Citation 2

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utility maximization, Knightian uncertainty, nonlinear Lévy process

13.

Robust Fundamental Theorem for Continuous Processes

Mathematical Finance, Vol. 27, Issue 4, pp. 963-987, 2017
Number of pages: 25 Posted: 19 Sep 2017
Sara Biagini, Bruno Bouchard and Marcel Nutz
LUISS University, Université Paris Dauphine - CEREMADE and Columbia University
Downloads 0 (875,040)

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fundamental theorem of asset pricing, arbitrage of the first kind, superhedging duality, nondominated model

14.

Utility Maximization Under Model Uncertainty in Discrete Time

Mathematical Finance, Vol. 26, Issue 2, pp. 252-268, 2016
Number of pages: 17 Posted: 10 Mar 2016
Marcel Nutz
Columbia University
Downloads 0 (875,040)
Citation 1

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utility maximization, Knightian uncertainty, nondominated model

15.

Power Utility Maximization in Constrained Exponential Lévy Models

Mathematical Finance, Vol. 22, Issue 4, pp. 690-709, 2012
Number of pages: 20 Posted: 23 Aug 2012
Marcel Nutz
Columbia University
Downloads 0 (875,040)
Citation 1

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power utility, Lévy process, constraints, dynamic programming