It's a conundrum. You don't know what else the wizard has prepared. Aside from misty step, there are multiple other spells that the wizard may be able to use to escape that rely only on verbal components and do not require sight, for instance, dimension door and teleport. And you mentioned this is a homebrew campaign, so we can't know what other spells might be available.
Examine his possessions
You can learn a great deal just from his possessions. Any maps, letters, notes? Items that tell a story, like a signet ring, or badge of office? Also useful to note that there may be items he would be loath to part with, like a spellbook or magic items.
Eliminate his ability to cast spells
Hopefully.
Verbal spells
Definitely start with the gag. There are no rules for gagging that I am aware of, so it's possible your DM could rule that if the captive can talk around the gag, even a little, they can get a verbal-only spell off, so to be safe, make it a really thorough gag.
Sight spells
And you definitely need a blindfold, to stop line of sight spells, should the captive manage to get one off. Maybe even a couple layers over the eyes, like a bag and a cloak, just so there's no chance of seeing around a blindfold.
Somatic spells
And immobilize your captive's hands to prevent spells with only a somatic component. It doesn't seem like there's much in the way of somatic-only spells that would be useful to a captive, but unless you know all the spells that exist in your (homebrewed) world, you can't be sure.
Put 'em in armor
Pyrotechnical's answer makes the excellent suggestion of putting your captive in armor, which by RAW will stop the ability to cast unless the captive is proficient in that sort of armor. This is pretty good. I have some slight concern that it seems somewhat dubious that being in armor stops a caster from verbal-only spells, but that's the RAW of it.
So . . . double-blindfolded, well-gagged, hands immobilized, possibly armor-bound, maybe, just maybe, you've eliminated this caster's ability to cast.
Maybe. Of course, there could be some shenanigans that neither you the player nor you the character are aware of that will allow a tricksy trickster to still somehow do something clever.
Having counterspell available, or even antimagic field (see Dale M's answer), is highly advisable.
Hard-core solutions
Of course, you could go hard-core, and poke out eyes, cut out tongues, cut off hands, and the like. Me, as a player, playing that sort of game doesn't seem much fun, and so I generally avoid that sort of thing. And practically, that sort of mutilation, however, reversable in D&D, is perhaps not likely to encourage cooperation.
Having the conversation
Having secured the subject, you're ready to talk.
Perhaps obviously, at this point, limit your conversation to questions that can be answered with nods or headshakes.
Once you've obtained some level of at least apparent agreement, you can proceed to remove the gag. Of course, there are no guarantees at this point, but hopefully you've convinced your captive that it's in his best interest to at least talk before unleashing teleport or power word kill, or whatever.
Negotiate
So maybe you can negotiate. Give him a reason to want to talk with you. You may be able to get agreement just through head nods to where you're willing to take the gag out. "Look we just want to talk. There's a way you can walk away from this, with your stuff, nod your head if you're willing to talk about it, no funny business, and we'll take the gag out."
Give him a way out
For instance, suggest that there's a way he gets to walk away, with his possessions, he just needs to answer a few questions. (Or even make a suggestion.) Of course, under duress, it is reasonable to assume that any answer is false. But since you've got his stuff, you have a bargaining chip. And if he teleports away, at least you've got his stuff.
Find common ground
Suggest that you can find common ground. (Again, maybe make a suggestion.) You may have goals or enemies in common.
Speak with dead
Of course, sometimes you have to nuke them from orbit. You may decide he's just too dangerous to let go. Speak with dead is imperfect in many ways, but at least you know he'll stay in one place for the conversation.