Nicole EL KAROUI.
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.