Nicole El Karoui
Encyclopedia
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. 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 equation
s to modeling and risk management in financial markets.
She is the director, with Marc Yor
and Gilles Pagès, of the Master of Advanced Studies program Probability & Finance, jointly operated by Ecole Polytechnique
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."
Journal of Applied Probability, Vol. 32, No. 2 (Jun., 1995), pp. 443–458
.
Mathematical finance
Mathematical finance is a field of applied mathematics, concerned with financial markets. The subject has a close relationship with the discipline of financial economics, which is concerned with much of the underlying theory. Generally, mathematical finance will derive and extend the mathematical...
. The courses she teaches are regarded by many as the most prestigious in this field. She is currently professor of Applied Mathematics
Applied mathematics
Applied mathematics is a branch of mathematics that concerns itself with mathematical methods that are typically used in science, engineering, business, and industry. Thus, "applied mathematics" is a mathematical science with specialized knowledge...
at the Pierre and Marie Curie University
Pierre and Marie Curie University
The Paris VI University , or the Pierre and Marie Curie University , is a university located on the Jussieu Campus in the Latin Quarter of the 5th arrondissement of Paris, France....
and previously at Ecole Polytechnique
École Polytechnique
The École Polytechnique is a state-run institution of higher education and research in Palaiseau, Essonne, France, near Paris. Polytechnique is renowned for its four year undergraduate/graduate Master's program...
. Her research has contributed to the application of probability and stochastic differential equation
Stochastic differential equation
A stochastic differential equation is a differential equation in which one or more of the terms is a stochastic process, thus resulting in a solution which is itself a stochastic process....
s to modeling and risk management in financial markets.
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 derivativesShe is the director, with Marc Yor
Marc Yor
Marc Yor is a French mathematician well-known for his work on stochastic processes, especially properties of semimartingales, Brownian motion and other Lévy processes, the Bessel processes, and their applications to mathematical finance...
and Gilles Pagès, of the Master of Advanced Studies program Probability & Finance, jointly operated by Ecole Polytechnique
École Polytechnique
The École Polytechnique is a state-run institution of higher education and research in Palaiseau, Essonne, France, near Paris. Polytechnique is renowned for its four year undergraduate/graduate Master's program...
and the Pierre and Marie Curie University
Pierre and Marie Curie University
The Paris VI University , or the Pierre and Marie Curie University , is a university located on the Jussieu Campus in the Latin Quarter of the 5th arrondissement of Paris, France....
(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
Grandes écoles
The grandes écoles of France are higher education establishments outside the main framework of the French university system. The grandes écoles select students for admission based chiefly on national ranking in competitive written and oral exams...
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)
Awards
Professor El Karoui is a Chevalier de l'ordre de la légion d'honneur, the highest honour in FranceFrance
The French Republic , The French Republic , The French Republic , (commonly known as France , is a unitary semi-presidential republic in Western Europe with several overseas territories and islands located on other continents and in the Indian, Pacific, and Atlantic oceans. Metropolitan France...
.
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