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El Karoui Nicole
El Karoui Nicole
Professeur Emerite Université Pierre et Marie Curie
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Backward stochastic differential equations in finance
N El Karoui, S Peng, MC Quenez
Mathematical finance 7 (1), 1-71, 1997
32001997
Changes of numeraire, changes of probability measure and option pricing
H Geman, N El Karoui, JC Rochet
Journal of Applied probability 32 (2), 443-458, 1995
10051995
Dynamic programming and pricing of contingent claims in an incomplete market
N El Karoui, MC Quenez
SIAM journal on Control and Optimization 33 (1), 29-66, 1995
9531995
Reflected solutions of backward SDE's, and related obstacle problems for PDE's
N El Karoui, C Kapoudjian, E Pardoux, S Peng, MC Quenez
the Annals of Probability 25 (2), 702-737, 1997
9211997
Les aspects probabilistes du contrôle stochastique
PJ Bickel, N El Karoui, M Yor, N El Karoui
École d’été de Probabilités de Saint-Flour IX-1979, 73-238, 1981
7431981
Pricing via utility maximization and entropy
R Rouge, N El Karoui
Mathematical Finance 10 (2), 259-276, 2000
6632000
Robustness of the Black and Scholes formula
NE Karoui, M Jeanblanc‐Picquè, SE Shreve
Mathematical finance 8 (2), 93-126, 1998
5361998
Inf-convolution of risk measures and optimal risk transfer
P Barrieu, N El Karoui
Finance and stochastics 9 (2), 269-298, 2005
3252005
Compactification methods in the control of degenerate diffusions: existence of an optimal control
K Nicole el, N Du'hŪŪ, JP Monique
Stochastics: an international journal of probability and stochastic …, 1987
3081987
Pricing, hedging, and designing derivatives with risk measures
P Barrieu, N El Karoui
Indifference pricing: Theory and applications, 77-146, 2009
2302009
Optimization of consumption with labor income
N El Karoui, M Jeanblanc-Picqué
Finance and Stochastics 2, 409-440, 1998
2231998
BSDEs and risk-sensitive control, zero-sum and nonzero-sum game problems of stochastic functional differential equations
N El-Karoui, S Hamadène
Stochastic Processes and their Applications 107 (1), 145-169, 2003
2182003
Reflected backward SDEs and American options
N El Karoui, É Pardoux, MC Quenez
Numerical methods in finance 13, 215-231, 1997
1941997
A dynamic maximum principle for the optimization of recursive utilities under constraints
N El Karoui, S Peng, MC Quenez
Annals of applied probability, 664-693, 2001
1902001
Non-linear pricing theory and backward stochastic differential equations
B Biais, T Björk, J Cvitanić, N El Karoui, E Jouini, JC Rochet, N El Karoui, ...
Financial Mathematics: Lectures given at the 3rd Session of the Centro …, 1997
1841997
Understanding, modelling and managing longevity risk: key issues and main challenges
P Barrieu, H Bensusan, N El Karoui, C Hillairet, S Loisel, C Ravanelli, ...
Scandinavian actuarial journal 2012 (3), 203-231, 2012
1792012
Optimal portfolio management with American capital guarantee
N El Karoui, M Jeanblanc, V Lacoste
Journal of Economic Dynamics and Control 29 (3), 449-468, 2005
1662005
Interest rate theory
B Biais, T Björk, J Cvitanić, N El Karoui, E Jouini, JC Rochet, T Björk
Financial Mathematics: Lectures given at the 3rd Session of the Centro …, 1997
1621997
Cash subadditive risk measures and interest rate ambiguity
N El Karoui, C Ravanelli
Mathematical Finance: An International Journal of Mathematics, Statistics …, 2009
1612009
Optimal derivatives design under dynamic risk measures
P Barrieu, N El Karoui
Contemporary Mathematics 351, 13-26, 2004
1612004
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