Items where Author is "Touzi, Nizar"

Article

Soner, Halil Mete and Touzi, Nizar (2009) The dynamic programming equation for second order stochastic target problems. SIAM Journal on Control and Optimization, 48 (4). pp. 2344-2365. ISSN 0363-0129 (print) 1095-7138 (online)

Ben-Tahar, Imen and Soner, Halil Mete and Touzi, Nizar (2007) The dynamic programming equation for the problem of optimal investment under capital gains taxes. (Accepted)

Cheridito, Patrick and Soner, Halil Mete and Touzi, Nizar and Victoir, Nicolai (2006) Second order backward stochastic differential equations and fully non-linear parabolic PDEs. (Accepted)

Working Paper / Technical Report

Ben-Tahar, Imen and Soner, Halil Mete and Touzi, Nizar (2007) Modeling continuous-time financial markets with capital gains taxes. [Working Paper / Technical Report] Sabanci University ID:SU_FMAN_2007/0018

Çetin, Umut and Soner, Halil Mete and Touzi, Nizar (2007) Options hedging under liquidity costs. [Working Paper / Technical Report] Sabanci University ID:SU_FMAN_2007/0017