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An Explicit Martingale Version of Brenier's Theorem
Henry-Labordere, Pierre; Touzi, Nizar - arXiv.org - 2013
By investigating model-independent bounds for exotic options in financial mathematics, a martingale version of the Monge-Kantorovich mass transport problem was introduced in \cite{BeiglbockHenry LaborderePenkner,GalichonHenry-LabordereTouzi}. In this paper, we extend the one-dimensional...
Persistent link: https://www.econbiz.de/10010636589
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The fundamental theorem of asset pricing with cone constraints
Pham, Huyên; Touzi, Nizar - In: Journal of mathematical economics 31 (1999) 2, pp. 265-280
Persistent link: https://www.econbiz.de/10006052953
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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/10006626462
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Spectral methods for identifying scalar diffusions
Hansen, Lars Peter; Scheinkman, José Alexandre; Touzi, … - In: Journal of econometrics 86 (1998) 1, pp. 1-32
Persistent link: https://www.econbiz.de/10006788949
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On the Malliavin approach to Monte Carlo approximation of conditional expectations
Bouchard, Bruno; Ekeland, Ivar; Touzi, Nizar - In: Finance and stochastics 8 (2004) 1, pp. 45-72
Persistent link: https://www.econbiz.de/10008215023
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ARTICLES - No Arbitrage in Discrete Time under Portfolio Constraints
Carassus, Laurence; Pham, Huyên; Touzi, Nizar - In: Mathematical finance : an international journal of … 11 (2001) 3, pp. 315-330
Persistent link: https://www.econbiz.de/10008216988
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Statistical Inference for Random-Variance Option Pricing
Pastorello, Sergio; Renault, Eric; Touzi, Nizar - In: Journal of business & economic statistics : JBES ; a … 18 (2000) 3, pp. 358-367
Persistent link: https://www.econbiz.de/10008217757
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Applications of Malliavin calculus to Monte Carlo methods in finance
Fournié, Eric; Lasry, Jean-Michel; Lebuchoux, Jérôme; … - In: Finance and stochastics 3 (1999) 4, pp. 391-412
Persistent link: https://www.econbiz.de/10008218048
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A closed-form solution to the problem of super-replication under transaction costs
Cvitanic, Jaksa; Pham, Huyên; Touzi, Nizar - In: Finance and stochastics 3 (1999) 1, pp. 35-54
Persistent link: https://www.econbiz.de/10008218083
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Equilibrium State Prices in a Stochastic Volatility Model
Pham, Huyên; Touzi, Nizar - In: Mathematical finance : an international journal of … 6 (1996) 2, pp. 215
Persistent link: https://www.econbiz.de/10008220411