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Contingent claims and market completeness in a stochastic volatility model
Romano, Marc - In: Mathematical finance : an international journal of … 7 (1997) 4, pp. 399-412
Persistent link: https://www.econbiz.de/10001232776
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Critical stock price near expiration
Barles, Guy; Burdeau, Julien; Romano, Marc; Samsœn, Nicolas - In: Mathematical finance : an international journal of … 5 (1995) 2, pp. 77-95
Persistent link: https://www.econbiz.de/10001185060
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Super-replication under proportional transaction costs : from discrete to continuous-time models
Touzi, Nizar - In: Mathematical methods of operations research 50 (1999) 2, pp. 297-320
Persistent link: https://www.econbiz.de/10001428812
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Law invariant risk measures have the Fatou property
Jouini, Elyès; Schachmayer, Walter; Touzi, Nizar - In: Advances in mathematical economics 9 (2006), pp. 49-71
Persistent link: https://www.econbiz.de/10003331355
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Valuation of power plants by utility indifference and numerical computation
Porchet, Arnaud; Touzi, Nizar; Warin, Xavier - In: Mathematical methods of operations research 70 (2009) 1, pp. 47-75
Persistent link: https://www.econbiz.de/10003881242
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Optimal lifetime consumption and investment under a drawdown constraint
Elie, Romuald; Touzi, Nizar - In: Finance and stochastics 12 (2008) 3, pp. 299-330
Persistent link: https://www.econbiz.de/10003899189
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No arbitrage conditions and liquidity
Astic, Fabian; Touzi, Nizar - In: Journal of mathematical economics 43 (2007) 6, pp. 692-708
Persistent link: https://www.econbiz.de/10003490462
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A structural risk-neutral model of electricity prices
Ai͏̈d, René; Campi, Luciano; Huu, Adrien Nguyen; … - In: International journal of theoretical and applied finance 12 (2009) 7, pp. 925-947
Persistent link: https://www.econbiz.de/10003928763
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Optimal derivatives design for mean-variance agents under adverse selection
Carlier, Guillaume; Ekeland, Ivar; Touzi, Nizar - In: Mathematics and financial economics 1 (2007) 1, pp. 57-80
Persistent link: https://www.econbiz.de/10003576940
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Optimal multiple stopping and valuation of swing options
Carmona, René; Touzi, Nizar - In: Mathematical finance : an international journal of … 18 (2008) 2, pp. 239-268
Persistent link: https://www.econbiz.de/10003683246