Marcel Nutz

Finance · 2010–2021

A researcher in the Science corpus: 15 papers; trusts 58 researchers and is trusted by 35 researchers here, as inferred from the citation graph.

Subfields

• Finance — 138 citations into it; #964 of 10,518 by trust here, #1,605 by citations
• Management Science and Operations Research — 58 citations into it; #717 of 11,946 by trust here, #1,309 by citations
• Economics and Econometrics — 46 citations into it; #19,743 of 23,481 by trust here, #12,444 by citations
• Demography — 33 citations into it
• Applied Mathematics — 28 citations into it; #3,297 of 7,620 by trust here, #4,234 by citations
• Mathematical Physics — 19 citations into it
• Geometry and Topology — 14 citations into it; #5,459 of 7,422 by trust here, #6,910 by citations
• Modeling and Simulation — 13 citations into it

Whom Marcel Nutz trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

1. Shige Peng
2. H. M. Soner
3. Nizar Touzi
4. Laurent Denis
5. Jianfeng Zhang
6. Mathias Beiglbock
7. Claude Martini
8. Ariel Neufeld
9. Bruno Bouchard
10. Marco Cuturi

Who trusts Marcel Nutz overall

1. Daniel Bartl
2. Ariel Neufeld
3. Bruno Bouchard
4. Nicole El Karoui
5. Xiaolu Tan
6. Sara Biagini
7. Dylan Possamaï
8. Shige Peng
9. Sinho Chewi
10. Mathias Beiglbock

Papers from Marcel Nutz's perspective

Ordered by how strongly the researchers Marcel Nutz trusts endorse each paper. Same corpus, a different order for every researcher.

1. A THEORETICAL FRAMEWORK FOR THE PRICING OF CONTINGENT CLAIMS IN THE PRESENCE OF MODEL UNCERTAINTY
2. Random G-expectations.
3. Multi-dimensional G-Brownian motion and related stochastic calculus under G-expectation
4. Dual Formulation of Second Order Target Problems
5. Some properties on G-evaluation and its applications to G-martingale decomposition
6. Filtration Consistent Nonlinear Expectations and Evaluations of Contingent Claims
7. Topics in Optimal Transportation
8. The Skorokhod Embedding Problem and Model-Independent Bounds for Option Prices
9. Controlled Markov processes and viscosity solutions
10. Wellposedness of second order backward SDEs

Their papers

• Random G-expectations. (2010) — 67 citations
• Constructing Sublinear Expectations on Path Space (2012) — 142 citations
• Superreplication under Volatility Uncertainty for Measurable Claims (2012) — 101 citations
• Arbitrage and duality in nondominated discrete-time models (2013) — 257 citations
• ROBUST FUNDAMENTAL THEOREM FOR CONTINUOUS PROCESSES (2014) — 89 citations
• Pathwise construction of stochastic integrals (2011) — 111 citations
• Measurability of semimartingale characteristics with respect to the probability law (2013) — 63 citations
• Optimal stopping under adverse nonlinear expectation and related games (2012) — 71 citations
• Nonlinear Lévy Processes and their Characteristics (2016) — 98 citations
• Complete Duality for Martingale Optimal Transport on the Line (2015) — 146 citations
• Small-Time Asymptotics of Option Prices and First Absolute Moments (2010) — 52 citations
• Weak approximation of G-expectations (2011) — 50 citations
• Stability of entropic optimal transport and Schrödinger bridges (2021) — 68 citations
• Entropic optimal transport: convergence of potentials (2021) — 101 citations
• UTILITY MAXIMIZATION UNDER MODEL UNCERTAINTY IN DISCRETE TIME (2013) — 78 citations