Any closed cell insulation will do!
The best approach is to regard all walls, floor and ceiling as being points where your heat will escape and to insulate them all.
The key thing with a bathroom is loosing the water vapor without loosing your heat. Therefore, you need to think in terms of making an water vapor proof plastic box. With an exhaust fan fitted with a heat exchanger and preferably a air tight box, where you can shut out the cold winds when bathing/washing and open the box/turn on the fan when you have finished.
When lining the room with a water vapor proof plastic sheet, be sure to fit it over sheets of polystyrene of at least three inches thick, this will ensure that the room side of the plastic sheet is always at room temperature and will avoid condensation. Do not have any exposed framing or any metal, anything that will cause a heat bridge
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