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.