30 citations · 100 across the 9 of their papers we have counts for
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q-fin.PR2013★ 9 cited
On the Robust superhedging of measurable claims
Dylan Possamaï, Guillaume Royer, Nizar Touzi
The problem of robust hedging requires to solve the problem of superhedging under a nondominated family of singular measures. Recent progress was achieved by [9,11]. We show that t…
q-fin.CP2013
An Explicit Martingale Version of Brenier's Theorem
Pierre Henry-Labordere, Nizar Touzi
By investigating model-independent bounds for exotic options in financial mathematics, a martingale version of the Monge-Kantorovich mass transport problem was introduced in \cite{…
math.AP2013★ 4 cited
Homogenization and asymptotics for small transaction costs: the multidimensional case
Dylan Possamaï, H. Mete Soner, Nizar Touzi
In the context of the multi-dimensional infinite horizon optimal consumption-investment problem with proportional transaction costs, we provide the first order expansion in small t…