Marcel Nutz and Optimal - Free people check

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A Mean Field Game of Optimal Stopping by Marcel Nutz | Center for...

cfmar.pstat.ucsb.edu

Marcel Nutz — Columbia University. Title: A Mean Field Game of Optimal Stopping. Abstract: We formulate a stochastic game of mean field type where the ...

: Bloomberg Quant Seminar - June 24th, | HFSL

kolmogorov.fsc.stevens.edu

Marcel Nutz Optimal Transport and Hedging Satish Vedantam What makes a good TED talk? Suyan Liu Shifting Interest Rates Charles Tapiero

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...

Department of Statistics - Marcel Nutz » Department Directory

stat.columbia.edu

Research Interests: mathematical finance, optimal transport, game theory, probability theory

[ ] 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 ...

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 ...

HIM: Workshop: Optimal transport and stochastics

www.him.uni-bonn.de

... Claude Martini (Zeliade Systems); Peter Mörters (Bath); Marcel Nutz (Columbia); Jan Obloj (University of Oxford); Walter Schachermayer (Universität Wien) ...

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.

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...

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

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

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 ...

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 ...

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...

NSF Award Search: Award# Model Uncertainty and Optimal...

www.nsf.gov

divider line. End Date: June 30, (Estimated). divider line. Awarded Amount to Date: $208, divider line. Investigator(s):, Marcel Nutz (Principal Investigator). divider line. Sponsor: Columbia University Broadway NEW YORK, NY (212) divider line.

Speakers - A SYMPOSIUM ON OPTIMAL STOPPING JUNE , 2018

www.optimalstopping.com

Marcel Nutz · · Richard Olshen Mariana Olvera-Cravioto · Jan Palczewski · Zbigniew Palmowski · Juan Carlos Pardo · Jesper Pedersen

The opportunity process for optimal consumption and investment with...

www.proquest.com

Marcel Nutz. Received: 17 April Accepted: 3 June Published online: 17 June Springer-Verlag Abstract We study the utility maximization ...

مقاله Superreplication تحت عدم قطعیت مدل در زمان گسسته - سا

www.scipers.com

Marcel Nutz ] - Department of Mathematics, Columbia University, New York, USA. خلاصه مقاله: We study the superreplication of contingent claims under model uncertainty in discrete time. We show that optimal superreplicating strategies exist in a general measure-theoretic setting; moreover, we characterize the minimal ...

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