Nizar Touzi

Q: What Schools Are Affiliated With Nizar Touzi

Nizar Touzi is affiliated with the following schools: Polytechnic Institute of Paris, Paris Diderot University

Nizar Touzi's AcademicInfluence.com Rankings

Nizar Touzi

Mathematics

#3694

World Rank

#5401

Historical Rank

Probability Theory

#138

World Rank

#167

Historical Rank

Statistics

#714

World Rank

#801

Historical Rank

Measure Theory

#2543

World Rank

#3051

Historical Rank

mathematics Degrees

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Mathematics

Nizar Touzi's Degrees

PhD Mathematics Paris Diderot University

Why Is Nizar Touzi Influential?

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According to Wikipedia, Nizar Touzi is a Tunisian-French mathematician. He is a professor of applied mathematics at École polytechnique. His research focuses on analysis, statistics and algebra. He is being known for publications on optimization and stochastic control.

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Nizar Touzi's Published Works

Number of citations in a given year to any of this author's works

Total number of citations to an author for the works they published in a given year. This highlights publication of the most important work(s) by the author

Published Works

Applications of Malliavin calculus to Monte Carlo methods in finance (1999) (548)
Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations (2004) (548)
Law Invariant Risk Measures Have the Fatou Property (2005) (312)
Wellposedness of second order backward SDEs (2010) (285)
Option Hedging And Implied Volatilities In A Stochastic Volatility Model (1996) (264)
Second‐order backward stochastic differential equations and fully nonlinear parabolic PDEs (2005) (256)
Optimal Stochastic Control, Stochastic Target Problems, and Backward SDE (2012) (233)
Contingent Claims and Market Completeness in a Stochastic Volatility Model (1997) (232)
A Stochastic Control Approach to No-Arbitrage Bounds Given Marginals, with an Application to Lookback Options (2013) (232)
OPTIMAL RISK SHARING FOR LAW INVARIANT MONETARY UTILITY FUNCTIONS (2008) (210)
Weak Dynamic Programming Principle for Viscosity Solutions (2011) (207)
Vector-valued coherent risk measures (2002) (203)
OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS (2008) (201)
Martingale Representation Theorem for the G-Expectation (2010) (195)
On viscosity solutions of path dependent PDEs (2011) (187)
Quasi-sure Stochastic Analysis through Aggregation (2010) (180)
A Probabilistic Numerical Method for Fully Nonlinear Parabolic PDEs (2009) (173)
Dynamic programming for stochastic target problems and geometric flows (2002) (169)
Viscosity solutions of fully nonlinear parabolic path dependent PDEs: Part II (2012) (165)
Dual Formulation of Second Order Target Problems (2010) (147)
Option hedging for small investors under liquidity costs (2010) (143)
Stochastic Target Problems, Dynamic Programming, and Viscosity Solutions (2002) (138)
Super-replication in stochastic volatility models under portfolio constraints (1999) (133)
A closed-form solution to the problem of super-replication under transaction costs (1999) (133)
Spectral methods for identifying scalar diffusions (1998) (131)
Calibrarion By Simulation for Small Sample Bias Correction (1996) (130)
Stochastic Target Problems with Controlled Loss (2009) (110)
Complete Duality for Martingale Optimal Transport on the Line (2015) (107)
Optimal transportation under controlled stochastic dynamics (2013) (106)
OPTIMAL INVESTMENT UNDER RELATIVE PERFORMANCE CONCERNS (2015) (102)
Dynamic programming approach to principal–agent problems (2015) (95)
On the Malliavin approach to Monte Carlo approximation of conditional expectations (2004) (92)
Dual formulation of the utility maximization problem under transaction costs (2001) (87)
Homogenization and Asymptotics for Small Transaction Costs (2012) (87)
Optimal lifetime consumption and investment under a drawdown constraint (2008) (85)
Branching diffusion representation of semilinear PDEs and Monte Carlo approximation (2016) (85)
Superreplication Under Gamma Constraints (2000) (84)
A numerical algorithm for a class of BSDEs via branching process (2013) (81)
Moral Hazard in Dynamic Risk Management (2014) (78)
The fundamental theorem of asset pricing with cone constraints (1999) (75)
Statistical Inference for Random-Variance Option Pricing (2000) (74)
The multi-dimensional super-replication problem under gamma constraints (2005) (71)
A structural risk-neutral model of electricity prices (2009) (71)
An explicit martingale version of the one-dimensional Brenier theorem (2016) (69)
Optimal Stopping under Nonlinear Expectation (2012) (69)
Hedging and Vertical Integration in Electricity Markets (2009) (63)
Homogenization and Asymptotics for Small Transaction Costs: The Multidimensional Case (2012) (59)
A stochastic representation for mean curvature type geometric flows (2003) (57)
Paris-Princeton Lectures on Mathematical Finance 2002 (2003) (56)
On the Monte Carlo simulation of BSDEs: An improvement on the Malliavin weights (2010) (55)
On the Robust superhedging of measurable claims (2013) (51)
EQUILIBRIUM STATE PRICES IN A STOCHASTIC VOLATILITY MODEL1 (1996) (51)
Discrete-Time Approximation of BSDEs and Probabilistic Schemes for Fully Nonlinear PDEs (2009) (49)
Explicit solution to the multivariate super-replication problem under transaction costs (2000) (48)
The Dynamic Programming Equation for Second Order Stochastic Target Problems (2009) (47)
An Explicit Martingale Version of the One-Dimensional Brenier's Theorem with Full Marginals Constraint (2014) (45)
Monotone martingale transport plans and Skorokhod embedding (2017) (44)
Optimal Skorokhod embedding given full marginals and Azema-Yor peacocks (2015) (44)
Continuous-Time Dynkin Games with Mixed Strategies (2002) (44)
A STOCHASTIC REPRESENTATION FOR THE LEVEL SET EQUATIONS (2002) (43)
Comparison of Viscosity Solutions of Fully Nonlinear Degenerate Parabolic Path-Dependent PDEs (2015) (42)
Dual formulation of the utility maximization problem: the case of nonsmooth utility (2004) (41)
Small noise expansion and importance sampling (1997) (39)
A Numerical Algorithm for a Class of BSDE Via Branching Process (2013) (39)
Irreducible convex paving for decomposition of multidimensional martingale transport plans (2017) (39)
Tightness and duality of martingale transport on the Skorokhod space (2015) (38)
Valuation of power plants by utility indifference and numerical computation (2009) (37)
The maximum maximum of a martingale with given $n$ marginals (2016) (37)
Optimal Skorokhod Embedding Under Finitely Many Marginal Constraints (2015) (36)
Path-dependent equations and viscosity solutions in infinite dimension (2015) (35)
Singular Forward-Backward Stochastic Differential Equations and Emissions Derivatives (2012) (35)
An Explicit Martingale Version of Brenier's Theorem (2013) (35)
American Options Exercise Boundary When the Volatility Changes Randomly (1999) (34)
The Dynamic Programming Equation for the Problem of Optimal Investment Under Capital Gains Taxes (2007) (34)
An overview of Viscosity Solutions of Path-Dependent PDEs (2014) (34)
Small time path behavior of double stochastic integrals and applications to stochastic control (2005) (34)
Option pricing by large risk aversion utility¶under transaction costs (2001) (34)
Maximum Maximum of Martingales Given Marginals (2013) (34)
Hedging in discrete time under transaction costs and continuous-time limit (1999) (32)
Maturity randomization for stochastic control problems (2005) (30)
On the Monotonicity Principle of Optimal Skorokhod Embedding Problem (2015) (28)
Unbiased simulation of stochastic differential equations (2015) (28)
TESTING FOR EMBEDDABILITY BY STATIONARY REVERSIBLE CONTINUOUS-TIME MARKOV PROCESSES (1998) (27)
The Problem of Super-replication under Constraints (2003) (27)
Merton Problem with Taxes: Characterization, Computation, and Approximation (2010) (26)
On Super-Replication in Discrete Time under Transaction Costs (2001) (25)
Super-replication under proportional transaction costs: From discrete to continuous-time models (1999) (25)
The Root solution to the multi-marginal embedding problem: an optimal stopping and time-reversal approach (2015) (25)
The maximum maximum of a martingale with given $\mathbf{n}$ marginals (2012) (24)
Optimal Make-Take Fees for Market Making Regulation (2018) (24)
Numerical Methods in Finance: Monte Carlo Methods for Stochastic Volatility Models (1997) (24)
Direct Characterization of the Value of Super-Replication under Stochastic Volatility and Portfolio Constraints (2000) (24)
No Arbitrage in Discrete Time Under Portfolio Constraints (2001) (24)
Option Hedging and Implicit Volatilities (1993) (22)
Optimal Investment with Taxes: An Existence Result (1999) (21)
Optimal derivatives design for mean–variance agents under adverse selection (2007) (21)
Optimal Electricity Demand Response Contracting With Responsiveness Incentives (2018) (21)
Optimal investment with taxes: an optimal control problem with endogeneous delay (1999) (21)
Second order backward SDE with random terminal time (2018) (20)
Zero-sum path-dependent stochastic differential games in weak formulation (2018) (19)
Stochastic control problems, viscosity solutions and application to finance (2017) (18)
No arbitrage conditions and liquidity (2007) (17)
Wellposedness of second order backward SDEs (2011) (17)
Optimal insurance demand under marked point processes shocks (2000) (17)
Options hedging under liquidity costs (2006) (17)
HEDGING UNDER GAMMA CONSTRAINTS BY OPTIMAL STOPPING AND FACE‐LIFTING (2007) (16)
Martingale Inequalities for the Maximum via Pathwise Arguments (2014) (16)
Comparison of Viscosity Solutions of Semilinear Path-Dependent PDEs (2014) (13)
Stochastic Target Problems (2013) (13)
Dynamic programming equation for the mean field optimal stopping problem (2021) (13)
Kernel estimation of Greek weights by parameter randomization (2007) (13)
Modeling continuous-time financial markets with capital gains taxes (2007) (13)
Large deviations for non-Markovian diffusions and a path-dependent Eikonal equation (2014) (11)
Detecting the Maximum of a Scalar Diffusion with Negative Drift (2012) (11)
Large liquidity expansion of super-hedging costs (2012) (10)
Optimal make–take fees for market making regulation (2020) (10)
Random horizon principal-agent problem (2020) (9)
MARTINGALE INEQUALITIES, OPTIMAL MARTINGALE TRANSPORT, AND ROBUST SUPERHEDGING (2014) (9)
Penalty approximation and analytical characterization of the problem of super-replication under portfolio constraints (2005) (9)
Exact Simulation of Multi-Dimensional Stochastic Differential Equations (2015) (7)
Second Order Backward SDEs, Fully Nonlinear PDEs, and Applications in Finance (2011) (6)
Is there a Golden Parachute in Sannikov's principal-agent problem? (2020) (6)
On the Root Solution to the Skorokhod Embedding Problem Given Full Marginals (2018) (6)
Incomplete markets, transaction costs and liquidity effects (1997) (6)
Optimal Production Policy under the Carbon Emission Market (2011) (5)
OPTIMAL TRANSPORTATION UNDER CONTROLLED STOCHASTIC DYNAMICS 1 (2013) (5)
Viscosity solutions for obstacle problems on Wasserstein space (2022) (5)
Controlled diffusion Mean Field Games with common noise and McKean-Vlasov second order backward SDEs (2020) (5)
Monte Carlo Estimation of a Joint Density Using Malliavin Calculus, and Application to American Options (2006) (4)
Vertical Integration and Risk Management in Competitive Markets of Non-Storable Goods (2006) (4)
LIQUIDATION OF AN INDIVISIBLE ASSET WITH INDEPENDENT INVESTMENT (2013) (4)
Martingale Optimal Transport and Robust Hedging (2013) (4)
From finite population optimal stopping to mean field optimal stopping (2022) (3)
Continuous-Time Principal-Agent Problem in Degenerate Systems (2019) (3)
Forward Hedging and Vertical Integration in Electricity Markets (2009) (2)
Random Horizon Principal-Agent Problems (2020) (2)
Diagnostic tests for volatility models (2008) (2)
On super-replication in discrete time under transaction costs@@@On super-replication in discrete time under transaction costs (2000) (2)
Optimal Stopping and Dynamic Programming (2013) (1)
Optimal stochastic control schemes within a structural reliability framework (2013) (1)
Mean Field Game of Mutual Holding (2021) (1)
Controlled Diffusion Mean Field Games with Common Noise and McKean--Vlasov Second Order Backward SDEs (2022) (1)
An arbitrage-free interest rate model consistent with economic constraints for Long-Term Asset Liability Management (2012) (1)
The Root solution to the multi-marginal embedding problem: an optimal stopping and time-reversal approach (2018) (1)
Entropic optimal planning for path-dependent mean field games (2022) (1)
Moral hazard and continuous-time contract theory (2018) (1)
Stochastic analysis: papers from the International Conference on Stochastic Analysis and Applications, October 19–23, 2015. Hammamet,Tunisia (2017) (0)
Arbitrage and Super-Replication Cost with Convex Constraints (1997) (0)
Dynamic Contracting in Asset Management under Investor-Partner-Manager Relationship (2021) (0)
Dynamic programming approach to principal–agent problems (2017) (0)
BSDEs, Numerics and Finance (2014) (0)
Nonlinear predictable representation and L1-solutions of backward SDEs and second-order backward SDEs (2018) (0)
Probabilistic Numerical Methods for Nonlinear PDEs (2013) (0)
Quadratic Backward SDEs (2013) (0)
UNBIASED SIMULATION OF STOCHASTIC DIFFERENTIAL EQUATIONS BY PIERRE HENRY-LABORDÈRE, (2017) (0)
On path-dependent multidimensional forward-backward SDEs (2022) (0)
Modeling continuous-time financial markets (2003) (0)
Backward SDEs and Stochastic Control (2013) (0)
Introduction to Viscosity Solutions (2013) (0)
Conditional Expectation and Linear Parabolic PDEs (2013) (0)
Mean field game of mutual holding with defaultable agents, and systemic risk (2023) (0)
Optimal Greek Weight by Kernel Estimation (2004) (0)
Second Order Stochastic Target Problems (2013) (0)
Special Issue on Optimization and Stochastic Control in Finance (2018) (0)
Stochastic Analysis in Finance and Insurance (2008) (0)
Optimal Liquidation of an Indivisible Asset with Independant Investment (2010) (0)
Special Issue: Optimization and Stochastic Control in Finance, Journal of Optimization Theory and Applications (2018) (0)
An explicit martingale version of the one-dimensional Brenier theorem (2016) (0)
O C ] 8 A pr 2 02 1 Mean Field Game of Mutual Holding Mao (2021) (0)
A Principal-Agent Framework for Optimal Incentives in Renewable Investments (2023) (0)
Stochastic Control and Dynamic Programming (2013) (0)
Electricity demand response and responsiveness incentives (2019) (0)
Special Issue: Optimization and Stochastic Control in Finance, Journal of Optimization Theory and Applications (2018) (0)
Recent advances on market making regulation (2019) (0)
Forward Hedging and Vertical Integration: Theory and Evidence from the French Electricity Market (2008) (0)
Solving Control Problems by Verification (2013) (0)
Dynamic Programming Equation in the Viscosity Sense (2013) (0)
2 The Brenier Theorem in One-dimensional Optimal Transportation 2 . 1 The two-marginals optimal transportation problem (2013) (0)
VISCOSITY SOLUTIONS OF FULLY NONLINEAR PDES II (2016) (0)
Nonlinear predictable representation and $L^1$-solutions of second-order backward SDEs (2018) (0)

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Nizar Touzi's Degrees

Why Is Nizar Touzi Influential?

Nizar Touzi's Published Works

Published Works

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What Schools Are Affiliated With Nizar Touzi?

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Nizar Touzi's AcademicInfluence.com Rankings