Marcel Nutz

Publication Activity (10 Years)

Years Active: 2009-2024
Publications (10 Years): 12

Top Topics

Optimal Stopping

Top Venues

Finance Stochastics

Math. Oper. Res.

SIAM J. Financial Math.

Publications

Stephan Eckstein, Marcel Nutz
Convergence Rates for Regularized Optimal Transport via Quantization. Math. Oper. Res. 49 (2) (2024)
Yibo Yang, Stephan Eckstein, Marcel Nutz, Stephan Mandt
Estimating the Rate-Distortion Function by Wasserstein Gradient Descent. CoRR (2023)
Yibo Yang, Stephan Eckstein, Marcel Nutz, Stephan Mandt
Estimating the Rate-Distortion Function by Wasserstein Gradient Descent. NeurIPS (2023)
Marcel Nutz, Yuchong Zhang
Mean Field Contest with Singularity. Math. Oper. Res. 48 (2) (2023)
Stephan Eckstein, Marcel Nutz
Quantitative Stability of Regularized Optimal Transport and Convergence of Sinkhorn's Algorithm. SIAM J. Math. Anal. 54 (6) (2022)
Marcel Nutz, Yuchong Zhang
Reward Design in Risk-Taking Contests. SIAM J. Financial Math. 13 (1) (2022)
Marcel Nutz, Yuchong Zhang
A Mean Field Competition. Math. Oper. Res. 44 (4) (2019)
Marcel Nutz
A Mean Field Game of Optimal Stopping. SIAM J. Control. Optim. 56 (2) (2018)
Johannes Muhle-Karbe, Marcel Nutz
A risk-neutral equilibrium leading to uncertain volatility pricing. Finance Stochastics 22 (2) (2018)
Julien Guyon, Romain Menegaux, Marcel Nutz
Bounds for VIX futures given S&P 500 smiles. Finance Stochastics 21 (3) (2017)
Bruno Bouchard, Marcel Nutz
Consistent price systems under model uncertainty. Finance Stochastics 20 (1) (2016)
Bruno Bouchard, Marcel Nutz
Stochastic Target Games and Dynamic Programming via Regularized Viscosity Solutions. Math. Oper. Res. 41 (1) (2016)
Marcel Nutz
Superreplication under model uncertainty in discrete time. Finance Stochastics 18 (4) (2014)
Marcel Nutz, H. Mete Soner
Superhedging and Dynamic Risk Measures under Volatility Uncertainty. SIAM J. Control. Optim. 50 (4) (2012)
Bruno Bouchard, Marcel Nutz
Weak Dynamic Programming for Generalized State Constraints. SIAM J. Control. Optim. 50 (6) (2012)
Bruno Bouchard, Marcel Nutz
Weak Dynamic Programming for Generalized State Constraints CoRR (2011)
Marcel Nutz
A Quasi-Sure Approach to the Control of Non-Markovian Stochastic Differential Equations CoRR (2011)
Marcel Nutz
The Bellman equation for power utility maximization with semimartingales. CoRR (2009)