Concepedia
Statistics
Publications
98
Citations
7.6K
H-Index
45
Active since
1993
Affiliations
École Polytechnique(Current)
Centre de Recherche en Mathématiques de la Décision
Université Paris Dauphine-PSL
Centre de Mathématiques Appliquées de l'École polytechnique
Centre de Recherche en Économie et Statistique
Nizar Touzi is an author at École Polytechnique specializing in engineering, business, and probability theory.
Top concepts
EngineeringProbabilityBusinessFinanceStochastic CalculusAsset PricingEconomicsMathematical ProgrammingOperations ResearchOption Pricing
Publications per year
1993–2023
97
Applications of Malliavin calculus to Monte Carlo methods in finance
Éric Fournié, Jean‐Michel Lasry, Jérôme Lebuchoux et al. · Finance and Stochastics · 1999 · 557 citations
Stochastic Simulation, Engineering, Monte Carlo +8
Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
Bruno Bouchard, Nizar Touzi · Stochastic Processes and their Applications · 2004 · 517 citations
Numerical Analysis, Discrete-time Approximation, Engineering +9
Wellposedness of second order backward SDEs
H. Meté Soner, Nizar Touzi, Jianfeng Zhang · Probability Theory and Related Fields · 2011 · 287 citations · Full text
Stochastic Differential Equation, Probability Theory, Stochastic Dynamical System
OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL<sup>1</sup>
Éric Renault, Nizar Touzi · Mathematical Finance · 1996 · 247 citations
Option Pricing, Multivariate Stochastic Volatility, Financial Economics +15
OPTIMAL RISK SHARING FOR LAW INVARIANT MONETARY UTILITY FUNCTIONS
Elyès Jouini, Walter Schachermayer, Nizar Touzi · Mathematical Finance · 2008 · 242 citations
Financial Risk Management, Market Equilibrium Computation, Financial Mathematics +18
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