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Marcel Nutz

Orcid: 0000-0003-2936-2315

According to our database1, Marcel Nutz authored at least 16 papers between 2009 and 2024.

Collaborative distances:
  • Dijkstra number2 of five.
  • Erdős number3 of four.

Timeline

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Links

Online presence:

On csauthors.net:

Bibliography

2024
Convergence Rates for Regularized Optimal Transport via Quantization.
[BibTeX]
[DOI]
Stephan Eckstein
,
Marcel Nutz
Math. Oper. Res., 2024

2023
Mean Field Contest with Singularity.
[BibTeX]
[DOI]
Marcel Nutz
,
Yuchong Zhang
Math. Oper. Res., May, 2023

Estimating the Rate-Distortion Function by Wasserstein Gradient Descent.
[BibTeX]
[DOI]
Yibo Yang
,
Stephan Eckstein
,
Marcel Nutz
,
Stephan Mandt
Proceedings of the Advances in Neural Information Processing Systems 36: Annual Conference on Neural Information Processing Systems 2023, 2023

2022
Quantitative Stability of Regularized Optimal Transport and Convergence of Sinkhorn's Algorithm.
[BibTeX]
[DOI]
Stephan Eckstein
,
Marcel Nutz
SIAM J. Math. Anal., 2022

Reward Design in Risk-Taking Contests.
[BibTeX]
[DOI]
Marcel Nutz
,
Yuchong Zhang
SIAM J. Financial Math., 2022

2019
A Mean Field Competition.
[BibTeX]
[DOI]
Marcel Nutz
,
Yuchong Zhang
Math. Oper. Res., 2019

2018
A Mean Field Game of Optimal Stopping.
[BibTeX]
[DOI]
Marcel Nutz
SIAM J. Control. Optim., 2018

A risk-neutral equilibrium leading to uncertain volatility pricing.
[BibTeX]
[DOI]
Johannes Muhle-Karbe
,
Marcel Nutz
Finance Stochastics, 2018

2017
Bounds for VIX futures given S&P 500 smiles.
[BibTeX]
[DOI]
Julien Guyon
,
Romain Menegaux
,
Marcel Nutz
Finance Stochastics, 2017

2016
Stochastic Target Games and Dynamic Programming via Regularized Viscosity Solutions.
[BibTeX]
[DOI]
Bruno Bouchard
,
Marcel Nutz
Math. Oper. Res., 2016

Consistent price systems under model uncertainty.
[BibTeX]
[DOI]
Bruno Bouchard
,
Marcel Nutz
Finance Stochastics, 2016

2014
Superreplication under model uncertainty in discrete time.
[BibTeX]
[DOI]
Marcel Nutz
Finance Stochastics, 2014

2012
Superhedging and Dynamic Risk Measures under Volatility Uncertainty.
[BibTeX]
[DOI]
Marcel Nutz
,
H. Mete Soner
SIAM J. Control. Optim., 2012

Weak Dynamic Programming for Generalized State Constraints.
[BibTeX]
[DOI]
Bruno Bouchard
,
Marcel Nutz
SIAM J. Control. Optim., 2012

2011
A Quasi-Sure Approach to the Control of Non-Markovian Stochastic Differential Equations
[BibTeX]
[DOI]
Marcel Nutz
CoRR, 2011

2009
The Bellman equation for power utility maximization with semimartingales.
[BibTeX]
[DOI]
Marcel Nutz
CoRR, 2009


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