Nationality France Tunisia Name Nicole Karoui | Fields Mathematics Children Hakim El Karoui | |
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Born May 29, 1944 (age 79) France ( 1944-05-29 ) 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 Books Stochastic Filtering at Saint-Flour Institution Pierre-and-Marie-Curie University, Ecole Polytechnique | ||
Math matiques un d paysement soudain nicole el karoui interview 2011
Nicole El Karoui is a French-Tunisian 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 mathematicians 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 Pierre and Marie Curie University, a post she previously held at the École Polytechnique and Université du Maine. Her research has contributed to the application of probability and stochastic differential equations to modeling and risk management in financial markets.
Contents
- Math matiques un d paysement soudain nicole el karoui interview 2011
- Introduction to credit risk prof nicole el karoui p1
- Teaching
- Scientific contributions
- Selected publications
- Awards
- References
Introduction to credit risk prof nicole el karoui p1
Teaching
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. 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."
El Karoui is the co-director, with Marc Yor and Gilles Pagès, of the Master of Advanced Studies program Probability & Finance, jointly operated by École Polytechnique and the Pierre and Marie Curie University (Paris VI), which she co-founded with Helyette Geman. This program, usually called "DEA El Karoui", is one of the most prestigious programs in quantitative finance in the world and No 1 in France.
Scientific contributions
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 and their application in mathematical finance. She is particularly known for her work on the robustness of the Black-Scholes hedging strategy, superhedging of contingent claims and the change of numéraire method for option pricing.
Selected publications
Awards
Professor El Karoui is a Chevalier de l'ordre de la légion d'honneur,.