Marcel Nutz

Marcel Nutz

Department of Statistics
Room 910 SSW
1255 Amsterdam Avenue
New York, NY 10027
Phone (+1) 212-854-5165

Also affiliated with:

Department of Mathematics
2990 Broadway
New York, NY 10027

mnutz@columbia.edu

Photo credit: Sara Kerens
Marcel’s research focuses on mathematical finance, stochastic optimal control, game theory and probability theory. He holds a PhD in mathematics from ETH Zurich. Marcel currently serves on the editorial boards of MOR, SIFIN, SPA and as co-Chair of the IMS-FIPS. Support by an Alfred P. Sloan Fellowship and several NSF grants is gratefully acknowledged (CV).


Links

Google Scholar page
ArXiv page
CV
Seminars: Mathematical Finance, Probability, Applied Probability and Risk, Statistics, Minerva
Conferences: MAFIA, MB75, FIPS, METE, Berkeley-Columbia

Teaching

Probability III (GR6303), Stochastic Control and Applications in Finance (GR5266)

Publications and Preprints

J. Muhle-Karbe, M. Nutz, X. Tan:
Asset Pricing with Heterogeneous Beliefs and Illiquidity
Preprint (submitted), 2019 [PDF, arXiv, SSRN]

M. Beiglb÷ck, M. Nutz, F. Stebegg:
Fine Properties of the Optimal Skorokhod Embedding Problem
Preprint (submitted), 2019 [PDF, arXiv]

M. Nutz, Y. Zhang:
Conditional Optimal Stopping: A Time-Inconsistent Optimization
Preprint (submitted), 2019 [PDF, arXiv]

M. Nutz, J.A. Scheinkman:
Shorting in Speculative Markets
Preprint (submitted), 2017 [PDF, SSRN, arXiv]

M. Nutz, J. San Martin, X. Tan:
Convergence to the Mean Field Game Limit: A Case Study
Annals of Applied Probability, forthcoming 2018 [PDF, arXiv]

M. Nutz, Y. Zhang:
A Mean Field Competition
Mathematics of Operations Research, forthcoming [PDF, arXiv]

M. Nutz, F. Stebegg, X. Tan:
Multiperiod Martingale Transport
Stochastic Processes and their Applications, forthcoming [PDF, arXiv, DOI]

M. Nutz, F. Stebegg:
Canonical Supermartingale Couplings
Annals of Probability, Vol. 46, No. 6, pp. 3351-3398, 2018 [PDF, arXiv, DOI]

J. Muhle-Karbe, M. Nutz:
A Risk-Neutral Equilibrium Leading to Uncertain Volatility Pricing
Finance & Stochastics, Vol. 22, No. 2, pp. 281-295, 2018 [PDF, arXiv, DOI]

M. Nutz:
A Mean Field Game of Optimal Stopping
SIAM Journal on Control and Optimization, Vol. 56, No. 2, pp. 1206-1221, 2018 [PDF, arXiv, DOI]

A. Neufeld, M. Nutz:
Robust Utility Maximization with LÚvy Processes
Mathematical Finance, Vol. 28, No. 1, pp. 82-105, 2018 [PDF, arXiv, DOI]

J. Guyon, R. Menegaux, M. Nutz:
Bounds for VIX Futures given S&P 500 Smiles
Finance & Stochastics, Vol. 21, No. 3, pp. 593-630, 2017 [PDF, arXiv, DOI]

M. Beiglb÷ck, M. Nutz, N. Touzi:
Complete Duality for Martingale Optimal Transport on the Line
Annals of Probability, Vol. 45, No. 5, pp. 3038-3074, 2017 [PDF, arXiv, DOI]

S. Biagini, B. Bouchard, C. Kardaras, M. Nutz:
Robust Fundamental Theorem for Continuous Processes
Mathematical Finance, Vol. 27, No. 4, pp. 963-987, 2017 [PDF, arXiv, DOI]

A. Neufeld, M. Nutz:
Nonlinear LÚvy Processes and their Characteristics
Transactions of the American Mathematical Society, Vol. 369, No. 1, pp. 69-95, 2017 [PDF, arXiv, DOI]

B. Bouchard, M. Nutz:
Consistent Price Systems under Model Uncertainty
Finance & Stochastics, Vol. 20, No. 1, pp. 83-98, 2016 [PDF, arXiv, DOI]

B. Bouchard, M. Nutz:
Stochastic Target Games and Dynamic Programming via Regularized Viscosity Solutions
Mathematics of Operations Research, Vol. 41, No. 1, pp. 109-124, 2016 [PDF, arXiv, DOI]

M. Nutz:
Utility Maximization under Model Uncertainty in Discrete Time
Mathematical Finance, Vol. 26, No. 2, pp. 252-268, 2016 [PDF, arXiv, DOI]

M. Nutz:
Robust Superhedging with Jumps and Diffusion
Stochastic Processes and their Applications,  Vol. 125, No. 12, pp. 4543-4555, 2015 [PDF, arXiv, DOI]

B. Bouchard, M. Nutz:
Arbitrage and Duality in Nondominated Discrete-Time Models
Annals of Applied Probability, Vol. 25, No. 2, pp. 823-859, 2015 [PDF, arXiv, DOI]

M. Nutz, J. Zhang:
Optimal Stopping under Adverse Nonlinear Expectation and Related Games
Annals of Applied Probability, Vol. 25, No. 5, pp. 2503-2534, 2015 [PDF, arXiv, DOI]

M. Beiglb÷ck, M. Nutz:
Martingale Inequalities and Deterministic Counterparts
Electronic Journal of Probability, Vol. 19, No. 95, pp. 1-15, 2014 [PDF, arXiv, DOI]

A. Neufeld, M. Nutz:
Measurability of Semimartingale Characteristics with Respect to the Probability Law
Stochastic Processes and their Applications, Vol. 124, No. 11, pp. 3819-3845, 2014 [PDF, arXiv, DOI]

M. Nutz:
Superreplication under Model Uncertainty in Discrete Time
Finance & Stochastics, Vol. 18, No. 4, pp. 791-803, 2014 [PDF, arXiv, DOI]

B. Bouchard, L. Moreau, M. Nutz:
Stochastic Target Games with Controlled Loss
Annals of Applied Probability, Vol. 24, No. 3, pp. 899-934, 2014 [PDF, arXiv, DOI]

A. Neufeld, M. Nutz:
Superreplication under Volatility Uncertainty for Measurable Claims
Electronic Journal of Probability, Vol. 18, No. 48, pp. 1-14, 2013 [PDF, arXiv, DOI]

M. Nutz, R. van Handel:
Constructing Sublinear Expectations on Path Space
Stochastic Processes and their Applications, Vol. 123, No. 8, pp. 3100-3121, 2013 [PDF, arXiv, DOI]

M. Nutz:
Random G-Expectations
Annals of Applied Probability, Vol. 23, No. 5, pp. 1755-1777, 2013 [PDF, arXiv, DOI]

M. Nutz:
Pathwise Construction of Stochastic Integrals
Electronic Communications in Probability, Vol. 17, No. 24, pp. 1-7, 2012 [PDF, arXiv, DOI]

M. Nutz:
A Quasi-Sure Approach to the Control of Non-Markovian Stochastic Differential Equations
Electronic Journal of Probability, Vol. 17, No. 23, pp. 1-23, 2012 [PDF, arXiv, DOI]

B. Bouchard, M. Nutz:
Weak Dynamic Programming for Generalized State Constraints
SIAM Journal on Control and Optimization, Vol. 50, No. 6, pp. 3344-3373, 2012 [PDF, arXiv, DOI]

Y. Dolinsky, M. Nutz, H.M. Soner:
Weak Approximation of G-Expectations
Stochastic Processes and their Applications, Vol. 122, No. 2, pp. 664-675, 2012 [PDF, arXiv, DOI]

M. Nutz, H.M. Soner:
Superhedging and Dynamic Risk Measures under Volatility Uncertainty
SIAM Journal on Control and Optimization, Vol. 50, No. 4, pp. 2065-2089, 2012 [PDF, arXiv, DOI]

M. Nutz:
Risk Aversion Asymptotics for Power Utility Maximization
Probability Theory and Related Fields, Vol. 152, No. 3-4, pp. 703-749, 2012 [PDF, arXiv, DOI]

M. Nutz:
Power Utility Maximization in Constrained Exponential LÚvy Models
Mathematical Finance, Vol. 22, No. 4, pp. 690-709, 2012 [PDF, arXiv, DOI]

M. Nutz:
The Bellman Equation for Power Utility Maximization with Semimartingales
Annals of Applied Probability, Vol. 22, No. 1, pp. 363-406, 2012 [PDF, arXiv, DOI]

J. Muhle-Karbe, M. Nutz:
Small-Time Asymptotics of Option Prices and First Absolute Moments
Journal of Applied Probability, Vol. 48, No. 4, pp. 1003-1020, 2011 [PDF, arXiv, DOI]

M. Nutz:
The Opportunity Process for Optimal Consumption and Investment with Power Utility
Mathematics and Financial Economics, Vol. 3, No. 3, pp. 139-159, 2010 [PDF, arXiv, DOI]

M. Nutz:
Optimal Consumption and Investment with Power Utility
PhD Thesis ETH Zurich, Diss. ETH No. 19272, 2010 [PDF, DOI]

Last update: June 16, 2019