Nicole El Karoui

Nicole El Karoui is a French mathematician, and pioneer in the development of Mathematical Finance. The courses she teaches are regarded by many as the most prestigious in this field.^{[citation needed]} She is currently professor of Applied Mathematics at the Pierre and Marie Curie University and previously at Ecole Polytechnique. Her research has contributed to the application of probability and stochastic differential equations to modeling and risk management in financial markets.

Nicole El Karoui, 2008.

Teaching

The reputation of Professor El Karoui's classes are such that Wall Street Journal opines that there may be too many of her students in important positions handling financial derivatives^[1]

She is the director, with Marc Yor and Gilles Pagès, of the Master of Advanced Studies program Probability & Finance,^[2] jointly operated by Ecole Polytechnique^[3] and the Pierre and Marie Curie University (Paris VI). This program, usually called as "DEA El Karoui", is one of the most prestigious program in quantitative finance in the world and absolutely No 1 in France. The class size is around 60 - 70 students yearly, most of whom are from grandes écoles and universities in France.

Her students are well recognized by the quantitative finance industry. Every year, almost every investment banks in London and Paris will come to make presentations and recuite many students from her class. 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."

Selected publications

• Changes of Numeraire, Changes of Probability Measure and Option Pricing, with Helyette Geman, Jean-Charles Rochet

Journal of Applied Probability, Vol. 32, No. 2 (Jun., 1995), pp. 443–458

• Dynamic Pricing and Hedging of Derivatives: Stochastic and Numerical Methods, ISBN 978-1439803172

• Constrained optimization with respect to stochastic dominance: applications to portfolio insurance. (with S Hamadene) ^[4]

Awards

Professor El Karoui is a Chevalier de l'ordre de la légion d'honneur,^[5] the highest honour in France.

References

1. ^ http://online.wsj.com/article/SB114187184703793317-search.html?KEYWORDS=%22Carnegie%2BMellon%22&COLLECTION=wsjie/6month
2. ^ http://www.master-finance.proba.jussieu.fr/index2.php
3. ^ http://fr.wikipedia.org/wiki/%C3%89cole_polytechnique_(France)
4. ^ http://www.cmap.polytechnique.fr/~elkaroui/papers/NEKAM.pdf
5. ^ http://www.france-phaleristique.com/lh_promo_14-04-06.htm

External links

• The mathematics genealogy project http://genealogy.math.ndsu.nodak.edu/id.php?id=57381
• The City Genius Of France http://www.lexpress.fr/emploi-carriere/les-g-eacute-nies-fran-ccedil-ais-de-la-city_479283.html

Persondata
Name	El Karoui, Nicole
Alternative names
Short description	French mathematician
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