Touzi Nizar

Nizar Touzi

Information about the author Nizar Touzi will soon be added to the site.
Found 4 papers in total
Hedging and Vertical Integration in Electricity Markets
Hedging and Vertical Integration in Electricity Markets
2011
This paper analyzes the interactions between competitive (wholesale) spot, retail, and...
Valuation of power plants by utility indifference and numerical computation
Valuation of power plants by utility indifference and numerical computation
2009
This paper presents a real option valuation model of a power plant, which accounts for...
The dynamic programming equation for the problem of optimal investment under capital gains taxes
The dynamic programming equation for the problem of optimal investment under capital gains taxes
2007
This paper considers an extension of the Merton optimal investment problem to the case...
Hedging in discrete time under transaction costs and continuous-time limit
Hedging in discrete time under transaction costs and continuous-time limit
1999
We consider a discrete-time financial market model with L 1 risky asset price process...
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