Nicole El Karoui

Q: What Schools Are Affiliated With Nicole El Karoui

Nicole El Karoui is affiliated with the following schools: Polytechnic Institute of Paris, Le Mans University, Sorbonne University

Nicole El Karoui's AcademicInfluence.com Rankings

Nicole El Karoui

Mathematics

#273

World Rank

#589

Historical Rank

Measure Theory

#2781

World Rank

#3319

Historical Rank

mathematics Degrees

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Mathematics

Why Is Nicole El Karoui Influential?

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According to Wikipedia, Nicole El Karoui is a French mathematician and pioneer in the development of mathematical finance, born 29 May 1944 in Paris. She is considered one of the pioneers on the French school of mathematical finance and trained many engineers and scientists in this field. She is Professor Emeritus of Applied Mathematics at Sorbonne University, and held professorship positions 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.

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Nicole El Karoui's Published Works

Number of citations in a given year to any of this author's works

Total number of citations to an author for the works they published in a given year. This highlights publication of the most important work(s) by the author

Published Works

Backward Stochastic Differential Equations in Finance (1997) (2191)
Reflected solutions of backward SDE's, and related obstacle problems for PDE's (1997) (732)
Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market (1995) (693)
Changes of numéraire, changes of probability measure and option pricing (1995) (683)
Pricing Via Utility Maximization and Entropy (2000) (510)
Robustness of the Black and Scholes Formula (1998) (391)
Inf-convolution of risk measures and optimal risk transfer (2005) (286)
Pricing, Hedging and Optimally Designing Derivatives via Minimization of Risk Measures (2007) (182)
Optimization of consumption with labor income (1998) (164)
Backward Stochastic Differential Equations (1997) (164)
CASH SUBADDITIVE RISK MEASURES AND INTEREST RATE AMBIGUITY (2007) (164)
A dynamic maximum principle for the optimization of recursive utilities under constraints (2001) (163)
Optimal portfolio management with American capital guarantee (2005) (142)
Optimal derivatives design under dynamic risk measures (2004) (136)
Numerical Methods in Finance: Reflected Backward SDEs and American Options (1997) (133)
Non-linear pricing theory and backward stochastic differential equations (1997) (121)
What happens after a default: The conditional density approach (2009) (119)
Understanding, modelling and managing longevity risk: key issues and main challenges (2012) (112)
CHANGES OF NUMERAIRE, CHANGES OF PROBABILITY MEASURE (1995) (110)
Monotone stability of quadratic semimartingales with applications to unbounded general quadratic BSDEs (2011) (106)
Optimal investment decisions when time-horizon is uncertain (2008) (103)
Dynamic Allocation Problems in Continuous Time (1994) (100)
A new approach to the skorohod problem, and its applications (1991) (93)
A stochastic representation theorem with applications to optimization and obstacle problems (2004) (90)
Capacities, Measurable Selection and Dynamic Programming Part II: Application in Stochastic Control Problems (2013) (81)
Martingale measures and stochastic calculus (1990) (77)
Dynamic Asset Pricing Theory with Uncertain Time-Horizon (2001) (65)
An Exact Connection between Two Solvable SDEs and a Nonlinear Utility Stochastic PDE (2010) (58)
Probabilistic aspects of finite-fuel, reflected follower problems (1988) (46)
Optimal design of derivatives in illiquid markets (2002) (44)
Identification of an infinite-dimensional parameter for stochastic diffusion equations (1988) (44)
Chapter Three. Pricing, Hedging, And Designing Derivatives With Risk Measures (2008) (41)
Wishart Stochastic Volatility: Asymptotic Smile and Numerical Framework (2008) (40)
CONSTRAINED OPTIMIZATION WITH RESPECT TO STOCHASTIC DOMINANCE: APPLICATION TO PORTFOLIO INSURANCE (2006) (40)
Optimal Investment and Consumption Decisions when Time-Horizon is Uncertain (2003) (37)
On Az\'ema-Yor processes, their optimal properties and the Bachelier-drawdown equation (2009) (35)
Market inconsistencies of market-consistent European life insurance economic valuations: pitfalls and practical solutions (2017) (31)
Maturity randomization for stochastic control problems (2005) (30)
Boundary Sensitivities for Diffusion Processes in Time Dependent Domains (2006) (30)
Cause-of-Death Mortality: What Can Be Learned from Population Dynamics? (2017) (27)
Closedness results for BMO semi-martingales and application to quadratic BSDEs (2008) (27)
Monotone stability of quadratic semimartingales with applications to general quadratic BSDEs and unbounded existence result (2011) (25)
Stochastic Utilities With a Given Optimal Portfolio : Approach by Stochastic Flows (2010) (24)
Reinsuring Climatic Risk Using Optimally Designed Weather Bonds (2002) (24)
Stein’s method and zero bias transformation for CDO tranche pricing (2009) (23)
Density Approach in Modeling Successive Defaults (2015) (21)
Numerical Methods in Finance: Imperfect Markets and Backward Stochastic Differential Equations (1997) (21)
MAX-PLUS DECOMPOSITION OF SUPERMARTINGALES AND CONVEX ORDER. APPLICATION TO AMERICAN OPTIONS AND PORTFOLIO INSURANCE (2008) (20)
The Optimal Stopping Problem for a General American Put-Option (1995) (19)
1 SYNCHRONIZATION AND OPTIMALITY FOR MULTI-ARMED BANDIT PROBLEMS IN CONTINUOUS TIME (1996) (17)
A Theoretical Inspection of the Market Price for Default Risk (2001) (16)
Quadratic Exponential Semimartingales and Application to BSDEs with jumps (2016) (16)
Gaussian and Poisson approximation: applications to CDOs tranche pricing (2008) (16)
On the role of state variables in interest rates models (2000) (15)
Consistent utility of investment and consumption: a forward/backward SPDE viewpoint (2018) (15)
General Gittins index processes in discrete time. (1993) (15)
A non-linear Riesz respresentation in probabilistic potential theory (2005) (14)
Affine long term yield curves: An application of the Ramsey rule with progressive utility (2014) (13)
Conditional Default Probability and Density (2014) (13)
Chapter Eight. BSDEs And Applications (2008) (13)
Integration of the optimal risk in a stopping problem with absorption (1989) (12)
Optimal risk transfer (2004) (12)
Optimal stopping of controlled Markov processes (1982) (11)
Non-linear evolution equations and functionnals of measure-valued branching processes (1985) (11)
Capacities, Measurable Selection and Dynamic Programming Part I: Abstract Framework (2013) (10)
Dynamics of multivariate default system in random environment (2015) (10)
An Exact Connection between two Solvable SDEs and a Non Linear (2010) (10)
A Probabilistic Approach to the Valuation of General Floating-Rate Notes with an Application to Interest Rate Swaps (1998) (10)
Optimization of consumption with labor income (1998) (10)
Financial mathematics : lectures given at the 3rd session of the Centro internazionale matematico estivo (C.I.M.E.) held in Bressanone, Italy, July 8-13, 1996 (1997) (8)
Minimax optimality in robust detection of a disorder time in doubly-stochastic Poisson processes (2017) (8)
Insider Trading and Nonlinear Equilibria: Single Auction Case (2000) (8)
Coupling smiles (2007) (8)
Optimal design of weather derivatives (2002) (8)
Minimax Optimality in Robust Detection of a Disorder Time in Poisson Rate (2015) (7)
Density approach in modelling multi-defaults (2013) (7)
Bounds for the price of options (1992) (5)
Construction of an Aggregate Consistent Utility, Without Pareto Optimality. Application to Long-Term Yield Curve Modeling (2018) (5)
How can a cause-of-death reduction be compensated for by the population heterogeneity? A dynamic approach (2019) (4)
Ramsey Rule with Progressive Utility in Long Term Yield Curves Modeling (2014) (4)
Gauss and Poisson approximation: applications to CDO tranches pricing (2017) (4)
Arret optimal previsible (1978) (4)
Measuring mortality heterogeneity with multi-state models and interval-censored data☆ (2017) (4)
Phenomenology of the Interest Curve: A Statistical Analysis of Term Structure Deformations (1997) (4)
Stochastic control methods in optimal design of life testing (1994) (4)
Nisio semi-group associated to the control of Markov processes (1982) (3)
Partial splitting of longevity and financial risks: The longevity nominal choosing swaptions (2016) (3)
Modelling of Successive Default Events (2008) (3)
Stochastic filtering at Saint-Flour (2012) (2)
Max Plus Decomposition of Supermartingale with application to Portfolio Insurance (2)
How can a cause-of-death reduction be compensated for in the presence of heterogeneity? A population dynamics approach based on English data by deprivation (2018) (2)
Martingale measures and partially observable diffusions (1991) (2)
Recover Dynamic Utility from Observable Process: Application to the Economic Equilibrium (2020) (2)
Dynamic financial risk management (2008) (2)
Ramsey Rule with Progressive utility and Long Term Affine Yields Curves (2014) (2)
Valuation and VaR Computation for CDOs Using Stein’s Method (2009) (2)
Birth Death Swap population in random environment and aggregation with two timescales (2018) (2)
Ramsey rule with forward/backward utility for long-term yield curves modeling (2022) (2)
Phenomenology of the interest curve (1997) (1)
Gauss and Poisson Approximation : Applications to CDOs Tranche Pricing September 22 , 2008 (2008) (1)
ON AZÉMA–YOR PROCESSES, THEIR OPTIMAL PROPERTIES AND THE BACHELIER–DRAWDOWN EQUATION BY LAURENT CARRARO, (2011) (1)
Simulating long-term impacts of mortality shocks: learning from the cholera pandemic (2021) (1)
Measuring and hedging financial risks in dynamical world (2003) (1)
Recover Dynamic Utility from Monotonic Characteristic/Extremal Processes. * (2018) (1)
Ramsey rule with forward/backward utility for long-term yield curves modeling (2022) (0)
A pathwise construction of Birth-Death-Swap systems leading to an averaging result in the presence of two timescales (2018) (0)
Programme Overview Tuesday Wednesday Thursday Friday Accardi Pham Bouchard El Karoui Djehiche Denis Hilbert Beiglböck Tankov Gozzi Rüdiger Di Nunno Matoussi Fuhrman Bahlali Hillairet , Yakhlef Essaky , Hajjej Alasseur (2017) (0)
COMONOTONIC MEASURES OF MULTIVARIATE RISKS IVAR EKELAND University of British Columbia ALFRED GALICHON (2010) (0)
2 First-Order Correction of Conditional Losses 2 . 1 First-order Gaussian correction (2008) (0)
STOCHASTIC ANALYSIS OF DYNAMICAL SYSTEMS, STOCHASTIC CONTROL AND GAMES (2016) (0)
Dynamic Financial Risk Management December 8 , 2005 (2005) (0)
Contemporary Mathematics Optimal Derivatives Design under Dynamic Risk Measures (2003) (0)
Recent advances in Finance and Stochastics (2014) (0)
On the Bachelier{DrawDown equation and Az ema-Yor martingales (2008) (0)
Locality in time of the European insurance regulation "risk-neutral" valuation framework, a pre-and post-Covid analysis and further developments (2020) (0)
APPLICATION TO AMERICAN OPTIONS AND PORTFOLIO INSURANCE By (2008) (0)
Preface to the special issue on Stochastic Analysis (2009) (0)
Quickest detection in practice in presence of seasonality: An illustration with call center data. (2020) (0)
Market inconsistencies of market-consistent European life insurance economic valuations: pitfalls and practical solutions (2017) (0)
Inextricable complexity of two centuries of demographic changes: A fascinating modeling challenge (2018) (0)
Partially observable control of diffusions with correlated noise (1987) (0)

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What Schools Are Affiliated With Nicole El Karoui?

Nicole El Karoui is affiliated with the following schools:

Nicole El Karoui's Academic­Influence.com Rankings