معرفی
Marcel Nutz is a Professor at Columbia University in the Department of Statistics, with secondary affiliations in the Department of Mathematics and the Data Science Institute. He holds a PhD in Mathematics from ETH Zurich and is recognized for his contributions to quantitative finance and optimal transport.
His research integrates stochastic control, game theory, and machine learning to address problems in financial markets and probabilistic modeling. Key themes include martingale transport, regularized optimal transport, and mean-field analysis, with applications to market microstructure and risk management.
Marcel’s recent work focuses on regularization techniques to mitigate the curse of dimensionality in optimal transport, stability analysis of variational methods, and martingale Schrödinger bridges for portfolio optimization. His publications emphasize numerical algorithms like Sinkhorn’s method and theoretical guarantees for financial models.
Scientific Awards:
- IMS Medallion Award
- Alfred P. Sloan Fellowship
- IMS Fellow
Marcel acknowledges support from five NSF grants and the Center for Digital Finance and Technologies. He currently serves on the editorial boards of Annals of Applied Probability (AAP), Mathematical Finance (MF), and others, with past roles at Stochastic Processes and their Applications (SPA) and Finance and Mathematics (FMF).
