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News
Supply and Shorting in Speculative Markets | Marcel Nutz, Jose A....
www.econjobrumors.com
Supply and Shorting in Speculative Markets -- by Marcel Nutz, Jose A. Scheinkman We propose a continuous-time model of trading among risk-neutral agents ...
Video: Marcel Nutz, "Arbitrage and Duality in Discrete-Time Models"
www.birs.ca
Marcel Nutz speaking at BIRS workshop, Mathematical Finance: Arbitrage and Portfolio Optimization , on Wednesday, May 14, on the topic: Arbitrage and...
Video: Marcel Nutz, "Convergence to the Mean Field Game ...
www.birs.ca
May 14, · Marcel Nutz speaking at BIRS workshop, Stochastic Analysis and its Applications, on Monday, May 14, on the topic: Convergence to the Mean Field Game Limit: A Case Study.
Albstadt: Elf Konfirmanden in der Pauluskirche eingesegnet - Albstadt...
www.schwarzwaelder-bote.de
In der Pauluskirche Tailfingen hat Pfarrer Gottfried Engele elf Konfirmanden eingesegnet.
Telephone & Addresses
Superhedging and Dynamic Risk Measures under Volatility Uncertainty
ideas.repec.org
Marcel Nutz, "Robust Superhedging with Jumps and Diffusion," Papers , arXiv.org, revised Jul Ariel Neufeld & Marcel Nutz, " ...
Martingale Inequalities and Deterministic Counterparts
ideas.repec.org
Downloadable! We study martingale inequalities from an analytic point of view and show that a general martingale inequality can be reduced to a pair of...
Superreplication under Model Uncertainty in Discrete Time
ideas.repec.org
Downloadable! We study the superreplication of contingent claims under model uncertainty in discrete time. We show that optimal superreplicating strategies...
Network Profiles
Marcel Nutz - nber.org
www.nber.org
Marcel Nutz Amsterdam Ave New York, NY E-Mail: Institutional Affiliation: Columbia University. NBER Working Papers and Publications. August 2017: Supply and Shorting in Speculative Markets with José A. Scheinkman: w We propose a continuous-time model of trading among risk-neutral agents with heterogeneous beliefs. Agents face ...
Marcel Nutz | Semantic Scholar
www.semanticscholar.org
Semantic Scholar profile for Marcel Nutz, with 316 highly influential citations and 61 scientific research papers.
Education
Marcel Nutz, Columbia University | Operations Research and ...
orfe.princeton.edu
Marcel Nutz, Columbia University. Duality and Superreplication under Model Uncertainty. Bendheim Center Date: Monday, December 12, :30 to ...
Marcel Nutz :: homepage at Columbia
www.math.columbia.edu
homepage of marcel nutz at columbia university ... J.F. Ritt Assistant Professor, Minerva Fellow Columbia University Department of Mathematics
Department of Statistics - Marcel Nutz » Department Directory
stat.columbia.edu
Research Interests: mathematical finance, optimal transport, game theory, probability theory
Heritage
Martin Schweizer - The Mathematics Genealogy Project
www.genealogy.math.ndsu.nodak.edu
Marcel Nutz: ETH Zürich: 2010: 1: Christian Reichlin: ... The Mathematics Genealogy Project is in need of funds to help pay for student help and other associated costs.
Books & Literature
Lectures on Dynamical Systems: Hamiltonian Vector Fields and...
books.google.de
This book originated from an introductory lecture course on dynamical systems given by the author for advanced students in mathematics and physics at ETH...
Stochastic Analysis and Applications 2014: In Honour of Terry Lyons -...
books.google.de
Articles from many of the main contributors to recent progress in stochastic analysis are included in this volume, which provides a snapshot of the current...
Konzeption eines Reporting-Systems für das Musterbaucontrolling bei...
books.google.de
... Konzeption eines Reporting-Systems für das Musterbaucontrolling bei Siemens VDO. Author, Marcel Nutz. Published, Length, 65 pages. Export Citation ...
Related Documents
[ ] A Quasi-Sure Approach to the Control of Non-Markovian...
arxiv.org
From: Marcel Nutz [view email] [v1] Thu, 16 Jun :00:11 GMT (24kb) [v2] Mon, 7 May :43:45 GMT (24kb). Which authors of this ...
Shorting in Speculative Markets by Marcel Nutz, José Scheinkman ::...
papers.ssrn.com
We propose a continuous-time model of trading with heterogeneous beliefs. Risk-neutral agents face quadratic costs-of-carry on positions and thus their marginal
A Mean Field Game of Optimal Stopping
dl.acm.org
Author: Marcel Nutz ... Author image not provided, Marcel Nutz. No contact information provided yet View colleagues of Marcel Nutz ...
[ ] A Mean Field Game of Optimal Stopping
arxiv.org
Title: A Mean Field Game of Optimal Stopping. Authors: Marcel Nutz. (Submitted on 30 May (v1), last revised 30 Nov (this version, v2)). Abstract: We formulate a stochastic game of mean field type where the agents solve optimal stopping problems and interact through the proportion of players that have already ...
Scientific Publications
Stochastic Processes and their Applications | Vol 125, Issue 12,...
www.sciencedirect.com
Robust superhedging with jumps and diffusion. Original Research Article; Pages ; Marcel Nutz. Abstract; PDF (234 K). Entitled to full text ...
Suchergebnisse - MARCEL NUTZ
suche.thulb.uni-jena.de
Suche: MARCEL NUTZ. You may find additional resources here: MathSciNet. Database of reviews, abstracts and bibliographic information for much of the ...
Weak approximation of G-expectations - ScienceDirect
www.sciencedirect.com
Yan Dolinsky, ,; Marcel Nutz,; H. Mete Soner,,. a ETH Zurich, Department of Mathematics, CH Zurich, Switzerland; b Columbia University, Department of ...
Publications
The opportunity process for optimal consumption and investment with...
link.springer.com
We study the utility maximization problem for power utility random fields in a semimartingale financial market, with and without intermediate consumption.
Random G-expectations : Marcel Nutz : Free Download ...
archive.org
Sep 19, · We construct a time-consistent sublinear expectation in the setting of volatility uncertainty. This mapping extends Peng's G-expectation by …
Canonical Supermartingale Couplings - ICASQFicasqf.org wp-content/uploads Marcel-Nutz.pdf
icasqf.org
3 Supermartingale Couplings. 4 Duality for Supermartingale Optimal Transport. Marcel Nutz (Columbia). Canonical Supermartingale Couplings
Risk Aversion Asymptotics for Power Utility Maximization : Marcel...
archive.org
We consider the economic problem of optimal consumption and investment with power utility. We study the optimal strategy as the relative risk aversion tends...
Miscellaneous
Marcel Nutz | Professional Profile - LinkedIn
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View Marcel Nutz's profile on LinkedIn, the world's largest professional community. Marcel has 1 job listed on their profile. See the complete profile on LinkedIn and discover Marcel's connections and jobs at similar companies.
Marcel Nutz - Google Scholar Citations
scholar.google.com
Citations per year. Duplicate citations. The following articles are merged in Scholar. Their combined citations are counted only for the first article. Merged citations Marcel Nutz. Department of Statistics, Columbia University. Verified email at columbia.edu - Homepage.
Halil Mete Soner - Google Scholar Citations - Академия Google
scholar.google.ru
... Johannes Muhle-Karbe,; Fausto Gozzi,; Marcel Nutz,; Albert Altarovici,; Alexandre Roch,; Possamaï Dylan,; Umut Cetin,; Ganlin Xu,; Michael Fielding Barnsley ...
Sara Biagini - Citações do Google Académico
scholar.google.pt
CoautoresVer tudo… Marco Frittelli,; bruno bouchard,; Marcel Nutz,; Constantinos Kardaras,; Rama CONT,; Mustafa Çelebi Pinar,; Aleš Černý,; Paolo Guasoni, ...
Marcel Nutz | Free Listening on SoundCloud
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Listen to Marcel Nutz | SoundCloud is an audio platform that lets you listen to what you love and share the sounds you create.. 1 Followers. Stream Tracks and...
Marcel F. Nutz. Employment and Education. Visiting Positions and...
docplayer.net
... Processes and their Applications 122 (2012) www.elsevier.com/locate/spa Weak approximation of G-expectations Yan Dolinsky a, Marcel Nutz b,,.
Author Page for Marcel Nutz :: SSRN
papers.ssrn.com
Total downloads of all papers by Marcel Nutz. If you need immediate assistance, call 877-SSRNHelp ( ) in the United States, or + outside of the United States, 8:30AM to 6:00PM U.S. Eastern, Monday - Friday.
Sara Biagini - Google Scholar Citations
scholar.google.be
MedeauteursAlle weergeven… Marco Frittelli,; bruno bouchard,; Marcel Nutz,; Constantinos Kardaras,; Mustafa Çelebi Pinar,; Rama CONT,; Aleš Černý,; Paolo ...
Marcel F. Nutz. Employment and Education. Visiting Positions and...
financedocbox.com
Martingale Optimal Transport and Robust Finance Marcel Nutz Columbia University (with Mathias Beiglböck and Nizar Touzi) April
Details for Marcel Nutz
owpdb.mfo.de
Christoph Czichowsky, Yan Dolinsky, Sergey Nadtochiy, Marcel Nutz, Scott Robertson. C. Czichowsky; Y. Dolinsky; S. Nadtochiy; M. Nutz; S. Robertson; (2011) ...
[Random] Seminar at Luiss - Marcel Nutz
fields.dm.unipi.it
[Random] Seminar at Luiss - Marcel Nutz. Sara sara.biagini a gmail.com. Mar 12 Set :09:23 CEST. Messaggio precedente: [Random] Workshop Optimization & Big Data in Bicocca; Prossimo messaggio: [Random] Postdoc positions. A reminder; Messages sorted by: [ date ] [ thread ] [ subject ] [ author ] ...
Marcel NUTZ | Fédération de Recherche Mathématiques des Pays de Loire
www.fpl.math.cnrs.fr
Geanpyl. Mr Marcel NUTZ sera l'invité d'Anis MATOUSSI membre du laboratoire Manceau de Mathématiques au Mans du 10 au 20 juin
Department Colloquium - Marcel Nutz | Applied Mathematics |...
www.colorado.edu
Convergence to the Mean Field Game Limit: A Case S
CRFMS
crfms.pstat.ucsb.edu
Tuesday, November 26, South Hall 5607F, 3:30-5PM, Refreshments served at 3:15 PM. Dr. Marcel Nutz (Columbia University) Title: On Model Uncertainty in Discrete
Pathwise construction of stochastic integrals Marcel Nutz ∗
studylib.net
Free essys, homework help, flashcards, research papers, book report, term papers, history, science, politics
Quant-Arxiv Sanity Preserver
quant-arxiv-sanity.com
We study the convergence of Nash equilibria in a game of optimal stopping. If the associated mean field game has a unique equilibrium, any sequence of n n ...
Stochastic Control under Model Uncertainty - Marcel Nutz
grantome.com
The problem of model uncertainty has recently received widespread attention in applied mathematics, especially after being identified as a cause for the...
Complete Duality for Martingale Optimal Transport on the Line
scirate.com
Marcel Nutz, Nizar Touzi; We study the optimal transport between two probability measures on the real line, where the transport plans are laws of one-step martingales ...
AMS :: Transactions of the American Mathematical Society
www.ams.org
Ariel Neufeld and Marcel Nutz, Measurability of semimartingale characteristics with respect to the probability law, Stochastic Process. Appl. Appl (2014), no. 11, 3819–3845.
Model Uncertainty and Optimal Transport - Marcel Nutz
grantome.com
The problem of model uncertainty has recently received widespread attention in financial mathematics. On the application side, this is due to the recent...
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