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Jouini, Elyès Koehl, Pierre-François Renault, Eric Soner, Halil Mete Pham, Huyên Porchet, Arnaud Chemla, Gilles Aïd, René Possamaï, Dylan Romano, Marc Ai͏̈d, René Schachermayer, Walter Ekeland, Ivar Meddeb, Moncef Keppo, Jussi Zuo, Ruiting Possamaï, Dylan Bouchard, Bruno Aïd, René Elie, Romuald Carassus, Laurence Florens, Jean-Pierre Pastorello, Sergio Cvitanić, Jakša Scheinkman, José Alexandre Fermanian, Jean-David Schachmayer, Walter Kabanov, Jurij M. Hansen, Lars Peter Carlier, Guillaume Astic, Fabian Carmona, René Lasry, J. M. Schachermayer, Walter Fournié, E. Širjaev, Alʹbert N. Fabre, Emilie Royer, Guillaume Grossinho, Maria do Rosário Coulon, Christoph Reisinger Michael Ehrhardt, Matthias Hout, Karel J. in 't Oosterlle, Cornelis Warin, Xavier Jianfeng Zhang Kemper, Annika Çetin, Umut Campi, Luciano Huu, Adrien Nguyen Gouriéroux, Christian All co-authors optimal problem costs consumption agent asset transaction measures optionspreistheorie markets energy paper hedging model market contracts price vertical integration taxes existence law property stochastic control non transaktionskosten partner manager second result invariant option volatility where order introduced volatilität responsiveness valued coherent conditions time cost form case retail marginal vertragstheorie principal dynamic investor response theorem fatou functions options variance agents constraints pricing aversion contingent total study best actions consumer classical forward wealth subject elektrizitätswirtschaft contracting management approach small dimensional sharing prices random convex production value incentive producer constant notion derivat derivative capm zeitreihenanalyse problems homogenization risk martingale representation monetary incomplete effects super replication proportional continuous while
Composed option pricing theory moral hazard risk measures portfolio management portfolio selection transaction costs control problem prinzipal agent theorie agency theory stochastischer prozess stochastic process existence result law invariant contract theory optimal investment stochastic volatility mathematische optimierung mathematical programming monte carlo simulation electricity markets investment taxes coherent risk fatou property utility functions volatility model asset subject electric power industry investor partner hedging vertical integration electricity taxes existence optimal risk risk sharing option pricing total risk arbitrage pricing time series analysis unvollkommener markt incomplete market principal agent partner manager dynamic programming risk management invariant risk invariant monetary monetary utility option hedging consumption investment incomplete markets markets transaction costs liquidity liquidity effects super replication proportional transaction continuous time second best closed form average consumption risk averse optimal contract best price price energy marginal cost optimization problem utility function study deterministic deterministic control problem maximizing agent who who seeks seeks optimally optimally allocate allocate wealth subject taxes priority rule rule sales sales short short sales consumption restricted result non strict risk
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The information on the author is retrieved from: Entity Facts (by DNB = German National Library data service), DBPedia and Wikidata
Nizar Touzi Dr. Alternative spellings: N. Touzi Source:
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Profession Wirtschaftsmathematiker
Affiliations New York University. Tandon School of Engineering Université Paris-Saclay. Ecole polytechnique Université Paris-Dauphine. Centre de recherche de mathématiques de la décision Centre d'Etudes des Relations entre Stratégies et Technologies (Paris) Ecole nationale de la statistique et de l'administration économique (Frankreich)
Q19297331
Publishing years Series Série des documents de travail / Centre de Recherche en Économie et Statistique (12) Research paper series / Swiss Finance Institute (2) NYU Working Paper (2) Working papers / Universität Bielefeld, Center for Mathematical Economics (IMW) (1) Applied mathematical finance (1) EFA 2009 Bergen Meetings Paper (1) Discussion paper / Centre for Economic Policy Research (1) 
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