Nicole El Karoui

Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees

Palaiseau Cedex, 91128

France

  • Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees

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SCHOLARLY PAPERS

12

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11

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40

Scholarly Papers (12)

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1.

Phenomenology of the Interest Curve: A Statistical Analysis of Term Structure Deformations

Number of pages: 32 Posted: 10 Feb 1998
Jean-Philippe Bouchaud, Nicholas Sagna, Rama Cont, Nicole El Karoui and Marc Potters
Capital Fund Management, Credit Suisse First Boston Fixed Income Research, University of Oxford, Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees and Capital Fund Management
Downloads 1,302 (16,058)
Citation 1

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2.

Dynamic Asset Pricing Theory with Uncertain Time-Horizon

USC FBE Working Paper No. 02-6
Number of pages: 35 Posted: 26 Mar 2002
Nicole El Karoui and Lionel Martellini
Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees and EDHEC Business School
Downloads 1,057 (21,933)
Citation 1

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3.

A Theoretical Inspection of the Market Price for Default Risk

USC Finance & Business Econ. Working Paper No. 01-9
Number of pages: 27 Posted: 16 Feb 2001
Lionel Martellini and Nicole El Karoui
EDHEC Business School and Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees
Downloads 829 (31,182)
Citation 4

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4.

Coupling Smiles

Number of pages: 26 Posted: 07 Aug 2007
Valdo Durrleman and Nicole El Karoui
Ecole Polytechnique - Centre de Mathematiques Appliquees - CNRS and Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees
Downloads 583 (50,038)
Citation 4

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Implied volatility, foreign exchange options.

5.

Cash Sub-additive Risk Measures and Interest Rate Ambiguity

Swiss Finance Institute Research Paper No. 08-09
Number of pages: 34 Posted: 24 Jan 2007 Last Revised: 08 Jul 2008
Nicole El Karoui and Claudia Ravanelli
Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees and Center for Finance and Insurance
Downloads 483 (63,344)
Citation 3

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Risk measures, Fenchel-Legendre transform, model uncertainty, inf-convolution, backward stochastic differential equations

6.

Pricing, Hedging and Optimally Designing Derivatives via Minimization of Risk Measures

VOLUME ON INDIFFERENCE PRICING, Rene Carmona, ed., Princeton University Press
Number of pages: 71 Posted: 17 Mar 2009
Pauline M. Barrieu and Nicole El Karoui
London School of Economics & Political Science (LSE) and Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees
Downloads 407 (77,938)
Citation 1

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risk measure, risk transfer, optimal design, hedging strategy, indifference pricing, BSDE

7.

Longevity Risk and Capital Markets: The 2015-16 Update

Pensions Institute, Working Paper No. 1704
Number of pages: 44 Posted: 26 Oct 2017
David P. Blake, Nicole El Karoui, Richard D. MacMinn and Stéphane Loisel
City, University of London, Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees, National Chengchi University and University of Claude Bernard Lyon 1 - Institute of Finance and Insurance Science (ISFA)
Downloads 89 (309,048)
Citation 7

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8.

Cause-of-Death Mortality: What Can Be Learned from Population Dynamics?

Number of pages: 33 Posted: 10 Jul 2015
Severine Arnold (-Gaille), Héloïse Labit Hardy, Nicole El Karoui and Alexandre Boumezoued
University of Lausanne - Faculty of Business and Economics, University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies, Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees and Université Paris VI Pierre et Marie Curie - Laboratoire de Probabilités et Modèles Aléatoires (LPMA)
Downloads 25 (532,329)
Citation 1

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Cause-of-Death Mortality, Population Dynamics, Birth and Death Process, Individual-Based Model, Age Pyramid, Age Dependency Ratio, Macroscopic Behavior

9.

Constrained Optimization with Respect to Stochastic Dominance: Application to Portfolio Insurance

Mathematical Finance, Vol. 16, No. 1, pp. 103-117, January 2006
Number of pages: 15 Posted: 21 Jun 2006
Nicole El Karoui and Asma Meziou
Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees and Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees
Downloads 23 (544,480)
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10.

Cash Subadditive Risk Measures and Interest Rate Ambiguity

Mathematical Finance, Vol. 19, Issue 4, pp. 561-590, October 2009
Number of pages: 30 Posted: 21 Oct 2009
Nicole El Karoui and Claudia Ravanelli
Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees and Center for Finance and Insurance
Downloads 2 (690,083)
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11.

A Probabilistic Approach to the Valuation of General Floating-Rate Notes with an Application to Interest Rate Swaps

ADVANCES IN FUTURES AND OPTIONS RESEARCH, Volume 7, 1994
Posted: 29 Dec 1998
Hélyette Geman and Nicole El Karoui
University of London - Economics, Mathematics and Statistics and Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees

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12.

Optimization of Consumption with Labor Income

Finance and Stochastics, Vol. 2, No. 4, 1998
Posted: 26 Aug 1998
Nicole El Karoui and Monique Jeanblanc
Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees and Université d'Évry - Departement de Mathematiques

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