Nicole El Karoui
Nicole El Karoui (* as Nicole Schwartz, May 29, 1944 in Paris ) is a French mathematician who studies financial mathematics and stochastics .
Nicole El Karoui studied from 1964 at the École normal supérieure de jeunes filles in Paris, received the Agrégation in mathematics in 1967 and received her doctorate in 1971 from the University of Paris VI under Jacques Neveu . From 1968 to 1973 she was an assistant at the University of Paris in Orsay. From 1973 she taught as a professor at the Université du Maine in Le Mans , from 1979 she was a professor at the École normal supérieure de Fontenay-aux-Roses, and after a sabbatical year at a bank in 1988 became professor at the University of Paris VI (Pierre et Marie Curie) and has been a professor at the École Polytechnique since 1997, where she is director of the applied mathematics department. She has also been a professor at the University of Paris VI since 2008.
In 1988, on the occasion of a sabbatical year at a bank, she turned to financial mathematics and founded a course on financial mathematics (DEA degree) with Hélyette Gemain in 1990 at the École Polytechnique and the University of Paris VI (today Probability & Finance , which she did with Marc Yor and Gilles Pagès leads), which has become a leading apprenticeship for financial mathematicians (quants), especially when it comes to trading options. She heads the Financial Modeling Group at the École Polytechnique.
She dealt with stochastic control, Backward Stochastic Differential Equations (BSDE, introduced by Shige Peng ) and their applications in financial mathematics, stochastic modeling in financial mathematics such as robustness of the Black-Scholes formula , pricing for complex derivatives, credit risks.
She was invited speaker at the International Congress of Mathematicians 2002 in Beijing ( Measuring and Hedging Financial Risks in Dynamical World ). She is a Knight of the Legion of Honor .
El Karoui has French and Tunisian citizenship. She is married to a professor of Islamic legal anthropology at the Sorbonne and has five children, one of them the essayist and banker (at Rothschild) Hakim Karoui.
Fonts
- Les aspects probabilistes en controle stochastique , in: École d'Eté de Probabilités de Saint-Flour IX - 1979, Springer, Lecture Notes in Mathematics 876, 1981, pp. 73–238 (Reprint in Stochastic filtering at Saint-Flour , Springer 2012 )
- with Laurent Mazliak (Ed.): Backward stochastic differential equations , Pitman Research Notes in Mathematics, Harlow: Longman 1997 (lectures at the University of Paris VI 1995/96)
- with Marie-Claire Quenez: Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market , SIAM Journal of Control and Optimization, Volume 33, 1995, pp. 29-66
- with Monique Jeanblanc, Steven Shreve: Robustness of the Black and Scholes Formula , Mathematical Finance, Volume 8, 1998, pp. 93–126.
- with Marie-Claire Quenez, Shige Peng : Backward Stochastic Differential Equations in Finance , Mathematical Finance, Volume 7, 1997, pp. 1-71.
- with Helyette Geman, Jean-Charles Rochet: Changes of Numeraire, Changes of Probability Measure and Option Pricing , Journal of Applied Probability, Volume 32, 1995, pp. 443-458
- with R. Rouge: Prizing via utility maximization and entropy , Mathematical Finance, Volume 10, 2000, pp. 259-276
Web links
- Homepage at the École Polytechnique
- Literature by and about Nicole El Karoui in the SUDOC catalog (Association of French University Libraries)
Individual evidence
- ↑ Dates of birth in the interview with El Karoui in Easy Bourse, July 12, 2009, archived web link
- ^ Biography in Pajot, after Easy Bourse 1969
- ↑ Philippe Pajot, Parcours des mathématiciens, Le Cavalier Bleu, 2015, with biographical information.
- ↑ Nicole El Karoui in the Mathematics Genealogy Project (English)
- ↑ Lianna Brinded France is famous for its quants Because of this one woman, Business Insider, August 19, 2015
- ↑ Hakim El Karoui ou l'archétype d'une nouvelle génération d'immigrés, 2009
| personal data | |
|---|---|
| SURNAME | El Karoui, Nicole |
| BRIEF DESCRIPTION | French mathematician |
| DATE OF BIRTH | May 29, 1944 |
| PLACE OF BIRTH | Paris , France |