Marcel Nutz

Full Professor, Columbia University

Joined

July 2019

Names

Marcel Nutz

Emails

****@columbia.edu (Confirmed)

Personal Links

Career & Education History

Full Professor

Columbia University (columbia.edu)

2011 – Present

Advisors, Relations & Conflicts

PhD Advisor

Martin Schweizer

2007 – 2010

Expertise

optimal transport

Present

mathematical finance

Present

Publications

Estimating the Rate-Distortion Function by Wasserstein Gradient Descent
Yibo Yang, Stephan Eckstein, Marcel Nutz, Stephan Mandt
- NCW ICML 2023
- Readers: Everyone
Estimating the Rate-Distortion Function by Wasserstein Gradient Descent
Yibo Yang, Stephan Eckstein, Marcel Nutz, Stephan Mandt
- NeurIPS 2023 poster
- Readers: Everyone
Quantitative Stability of Regularized Optimal Transport and Convergence of Sinkhorn's Algorithm
Stephan Eckstein, Marcel Nutz
- Published: 01 Jan 2022, Last Modified: 12 May 2023
- SIAM J. Math. Anal. 2022
- Readers: Everyone
Reward Design in Risk-Taking Contests
Marcel Nutz, Yuchong Zhang
- Published: 01 Jan 2022, Last Modified: 13 May 2023
- SIAM J. Financial Math. 2022
- Readers: Everyone
A Mean Field Competition
Marcel Nutz, Yuchong Zhang
- Published: 01 Jan 2019, Last Modified: 13 May 2023
- Math. Oper. Res. 2019
- Readers: Everyone
A risk-neutral equilibrium leading to uncertain volatility pricing
Johannes Muhle-Karbe, Marcel Nutz
- Published: 01 Jan 2018, Last Modified: 13 May 2023
- Finance Stochastics 2018
- Readers: Everyone
A Mean Field Game of Optimal Stopping
Marcel Nutz
- Published: 01 Jan 2018, Last Modified: 13 May 2023
- SIAM J. Control. Optim. 2018
- Readers: Everyone
Bounds for VIX futures given S&P 500 smiles
Julien Guyon, Romain Menegaux, Marcel Nutz
- Published: 01 Jan 2017, Last Modified: 12 May 2023
- Finance Stochastics 2017
- Readers: Everyone
Consistent price systems under model uncertainty
Bruno Bouchard, Marcel Nutz
- Published: 01 Jan 2016, Last Modified: 13 May 2023
- Finance Stochastics 2016
- Readers: Everyone
Stochastic Target Games and Dynamic Programming via Regularized Viscosity Solutions
Bruno Bouchard, Marcel Nutz
- Published: 01 Jan 2016, Last Modified: 13 May 2023
- Math. Oper. Res. 2016
- Readers: Everyone

View all 16 publications

Co-Authors