Nicole El Karoui

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Nicole El Karoui
Nicole El Karoui 2008.jpg
Nicole El Karoui, 2008
Born (1944-05-29) May 29, 1944 (age 70)
France
Nationality  France
Fields Mathematics
Institutions Paris VI University, Ecole Polytechnique
Doctoral students Jean-Pierre Fouque, Bernard Lapeyre, Marie-Claire Quenez
Known for Contributions to stochastic analysis and mathematical finance

Nicole El Karoui is a French mathematician, and pioneer in the development of Mathematical Finance, born May 29, 1944 in Paris (maiden name "Nicole Schvartz"). She is considered to be one of the very active mathematician that started heavily promoting Financial Mathematics in France and trained many engineers and scientists to this field. She is currently professor of Applied Mathematics at the Pierre and Marie Curie University and previously at the École Polytechnique and Université du Maine (France). Her research has contributed to the application of probability and stochastic differential equations to modeling and risk management in financial markets.

Teaching[edit]

The reputation of Professor El Karoui's classes is such that Wall Street Journal opines that there may be too many of her students in important positions handling financial derivatives.[1] In an interview with the Wall Street Journal, Rama Cont, a well-known mathematician, described a degree with Ms. El Karoui's name on it as "the magic word that opened doors for young people." [2]

El Karoui is the co-director, with Marc Yor and Gilles Pagès, of the Master of Advanced Studies program Probability & Finance,[3] jointly operated by École Polytechnique[4] and the Pierre and Marie Curie University (Paris VI), which she co-founded with Helyette Geman.[5] This program, usually called "DEA El Karoui", is one of the most prestigious program in quantitative finance in the world and No 1 in France.[6]

Scientific contributions[edit]

Nicole El Karoui's research is focused on probability theory, stochastic control theory and mathematical finance. Her contributions focused on the mathematical theory of [stochastic control], [backward stochastic differential equations] (BSDEs) and their application in [mathematical finance]. In [mathematical finance], she is known for her work on the robustness of the Black-Scholes hedging strategy (El Karoui, Jeanblanc, Shreve 1997), superhedging of contingent claims (El Karoui & Quenez, ) and the change of numeraire method for option pricing (Geman, El Karoui & Rochet 1995).

Selected publications[edit]

  • El Karoui, Nicole (1981). "Les Aspects Probabilistes Du Controle Stochastique". Lecture Notes in Mathematics 876: 73–238. doi:10.1007/BFb0097499. 
  • El Karoui, Nicole; Quenez, Marie-Claire (1995). "Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market". SIAM J. Control Optim. (Philadelphia, PA: SIAM) 33: 29–66. doi:10.1137/S0363012992232579. 
  • El Karoui, Nicole; Jeanblanc, Monique; Shreve, Steven (1998). "Robustness of the Black and Scholes Formula". Mathematical Finance (Blackwell) 8: 93–126. doi:10.1111/1467-9965.00047. 
  • El Karoui, Nicole; Quenez, Marie-Claire; Peng, Shige (1997). "Backward Stochastic Differential Equations in Finance". Mathematical Finance (Blackwell) 7: 1–71. doi:10.1111/1467-9965.00022. 
  • El Karoui, Nicole; Geman, Helyette; Rochet, Jean-Charles (1995). "Changes of Numeraire, Changes of Probability Measure and Option Pricing". Journal of Applied Probability (Applied Probability Trust) 32: 443–458. doi:10.2307/3215299. 

Awards[edit]

Professor El Karoui is a Chevalier de l'ordre de la légion d'honneur,.[7]

References[edit]

  1. ^ Mollenkamp, Carrick (2006-03-09). "Why Students Of Prof. El Karoui Are In Demand - WSJ.com". Online.wsj.com. Retrieved 2012-10-19. 
  2. ^ Mollenkamp, Carrick (2006-03-09). "Why Students Of Prof. El Karoui Are In Demand - WSJ.com". Online.wsj.com. Retrieved 2012-10-19. 
  3. ^ "Master : Probabilités et Finance (thématique)". Master-finance.proba.jussieu.fr. Retrieved 2012-10-19. 
  4. ^ Česky. "École polytechnique (France) - Wikipédia" (in French). Fr.wikipedia.org. Retrieved 2012-10-19. 
  5. ^ Mollenkamp (2006-03-09). "Why Students of Prof. El Karoui are in demand". Bloomberg. Retrieved 2013-01-02. 
  6. ^ "Classement thématique master finance de marché - Emploi stage finance de marche Ingenieur Master DEA DESS mastere Doctorat MSc MS Phd, Finance Quantitative, IT Finance, Mathematique financiere et informatique, ingénierie financière, France et international". Maths-fi.com. Retrieved 2012-10-19. 
  7. ^ Marc Champenois (2006-04-14). "Ordre de la Légion d'honneur - Nominations, promotions et élévations du 14-04-2006". France-phaleristique.com. Retrieved 2012-10-19. 

External links[edit]