Marcel Nutz
Marcel Nutz
J.F. Ritt Assistant Professor,
Minerva Fellow

Columbia University
Department of Mathematics
Room 618, MC 4419
2990 Broadway
New York, NY 10027
Phone (+1) 212-851-9307
Email mnutz@math.columbia.edu

Marcel Nutz obtained his Ph.D. from ETH Zurich in 2010 and joined Columbia University in 2011. His research focuses on probability theory, stochastic optimal control and mathematical finance (CV).

Links

Probability, Control and Finance - A Conference in Honor of Ioannis Karatzas, June 4-8, 2012, New York
Columbia Probability Seminar
Risk Seminar

Teaching

Not teaching in the Fall Semester

Publications and Preprints

M. Nutz, R. van Handel:
Constructing Sublinear Expectations on Path Space
Preprint (submitted), 2012
PDF, arXiv

M. Nutz:
Pathwise Construction of Stochastic Integrals
Preprint (submitted), 2011
PDF, arXiv

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
Preprint (submitted), 2011
PDF, arXiv

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
Preprint (submitted), 2010
PDF, arXiv

M. Nutz:
Random G-Expectations
Preprint (submitted), 2010
PDF, arXiv

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:
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 Lévy Models
Mathematical Finance, forthcoming
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

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, ETH e-collection 
Last update: May 14, 2012