Touzi, Nizar
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- Contributor of14
- Option hedging and implicit volatilities in a stochastic volatility model
- Arbitrage and super-replication cost with convex constraints
- Arbitrage and super-replication cost with convex constraints
- Calibration by simulation for small sample bias correction
- Super-replication under Gamma constraints
- Stochastic target problems, dynamic programming and viscosity solutions
- Option pricing under transation costs, a Martingale approach
- Testing for embeddability by stationary reversible continuous-time Markov processes
- Incomplete markets, transaction costs and liquidity effects
- Statistical inference for random variance option pricing
- Statistical inference for Random variance option pricing
- Intertemporal equilibrium risk premia in a stochastic volatility model
- Optimal investment with taxes, an optimal control problem with endogenous delay
- Contingent claims and market completeness in a stochastic volatility model
- Creator of3