Professor of Applied Mathematics, Ecole Polytechnique .

Director of the Department of Applied Mathematics, Ecole Polytechnique.

Head of the Financial Modeling Group, at the Center for Applied Mathematics, Ecole Polytechnique.

**Research interests:** backward stochastic differential equations,
stochastic models in finance, term structure modeling, credit risk, stochastic
control theory.

- List of recent mathematical publications: (PDF format) or MATHSCI
NET Link (for MathsciNet subscribers).

- Cours de DEA Couverture des risques dans
les marches financiers.

- Recent papers online:

N ElKaroui, A Meziou:

Constrained optimization with respect to stochastic dominance: applications to portfolio insurance.

N ElKaroui, S Hamadene:

BSDEs and risk-sensitive control, zero-sum and nonzero-sum game problems of stochastic functional differential equations., Stochastic processes and applications, Vol 107, 145-169, 2003.

P Barrieu, N ElKaroui:

Optimal design of derivatives under dynamic risk measures. , Proceedings of the AMS, Spring 2004.

P Barrieu, N ElKaroui:

Optimal design of derivatives and quadratic backward stochastic differential equations. , Slide Presentation, Bachelier Seminar, 8 Nov 2002. P Barrieu & N El Karoui (2002): Optimal design of derivatives in illiquid markets, Quantitative Finance, Vol 2, No 3.

Presented at the AMS SMF Special session on Mathematical methods in financial modeling, Lyon, July 2002.

R Rouge & N El Karoui (2000) : Pricing via utility maximization and entropy,

Mathematical Finance, April 2000, vol. 10, no. 2, pp. 259-276(18)

N ElKaroui, M Jeanblanc, V Lacoste:

Optimal portfolio management with American capital guarantees, submitted to: Journal of Economic Dynamics and Control.

P Bank, N ElKaroui:

A stochastic representation theorem with applications to obstacle problems and optimization. - The Financial
Modeling Group at Ecole Polytechnique.

- Seminaire
Bachelier.
- Master Probabilités
et Applications, Ecole Polytechnique - Université de Paris
VI.

*Centre de
Mathématiques Appliquées* *Ecole Polytechnique* *F-91128
Palaiseau, France.* *Fax 00 33 1 69 33 30 11.*