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Intertemporal equilibrium risk premia in a stochastic volatility model

Pham, Huyên; Touzi, Nizar - 1993

Persistent link: https://www.econbiz.de/10000878550

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

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

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

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

Martingale representation theorem for the G-expectation

Soner, Halil Mete; Touzi, Nizar; Jianfeng Zhang - 2010

This paper considers the nonlinear theory of G-martingales as introduced by Peng in [16, 17]. A martingale representation theorem for this theory is proved by using the techniques and the results established in [20] for the second order stochastic target problems and the second order backward...