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Limits of semistatic trading s...
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ECONIS (ZBW)
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1
Martingale Schrödinger bridges and optimal semistatic portfolios
Nutz, Marcel
;
Wiesel, Johannes
;
Zhao, Long
- In:
Finance and stochastics
27
(
2023
)
1
,
pp. 233-254
Persistent link: https://www.econbiz.de/10013489593
Saved in:
2
Utility maximization under model uncertainty in discrete time
Nutz, Marcel
- In:
Mathematical finance : an international journal of …
26
(
2016
)
2
,
pp. 252-268
Persistent link: https://www.econbiz.de/10011577139
Saved in:
3
Consistent price systems under model uncertainty
Bouchard, Bruno
;
Nutz, Marcel
- In:
Finance and stochastics
20
(
2016
)
1
,
pp. 83-98
Persistent link: https://www.econbiz.de/10011459977
Saved in:
4
A mean field competition
Nutz, Marcel
;
Zhang, Yuchong
- In:
Mathematics of operations research
44
(
2019
)
4
,
pp. 1245-1263
Persistent link: https://www.econbiz.de/10012128355
Saved in:
5
Robust utility maximization with Lévy processes
Neufeld, Ariel
;
Nutz, Marcel
- In:
Mathematical finance : an international journal of …
28
(
2018
)
1
,
pp. 82-105
Persistent link: https://www.econbiz.de/10011969154
Saved in:
6
Bounds for VIX futures given S&P 500 smiles
Guyon, Julien
;
Menegaux, Romain
;
Nutz, Marcel
- In:
Finance and stochastics
21
(
2017
)
3
,
pp. 593-630
Persistent link: https://www.econbiz.de/10011944412
Saved in:
7
A risk-neutral equilibrium leading to uncertain volatility pricing
Muhle-Karbe, Johannes
;
Nutz, Marcel
- In:
Finance and stochastics
22
(
2018
)
2
,
pp. 281-295
Persistent link: https://www.econbiz.de/10011945712
Saved in:
8
Robust fundamental theorem for continuous processes
Biagini, Sara
;
Bouchard, Bruno
;
Kardaras, Constantinos
; …
- In:
Mathematical finance : an international journal of …
27
(
2017
)
4
,
pp. 963-987
Persistent link: https://www.econbiz.de/10011764999
Saved in:
9
Supply and shorting in speculative markets
Nutz, Marcel
;
Scheinkman, José Alexandre
-
2017
Persistent link: https://www.econbiz.de/10011738675
Saved in:
10
Convergence rates for regularized optimal transport via quantization
Eckstein, Stephan
;
Nutz, Marcel
- In:
Mathematics of operations research
49
(
2024
)
2
,
pp. 1223-1240
Persistent link: https://www.econbiz.de/10014564975
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