El Karoui Nicole
El Karoui Nicole
Professeur Emerite Université Pierre et Marie Curie
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Citata da
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Backward stochastic differential equations in finance
N El Karoui, S Peng, MC Quenez
Mathematical finance 7 (1), 1-71, 1997
Changes of numeraire, changes of probability measure and option pricing
H Geman, N El Karoui, JC Rochet
Journal of Applied probability, 443-458, 1995
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
Reflected solutions of backward SDE's, and related obstacle problems for PDE's
N El Karoui, C Kapoudjian, É Pardoux, S Peng, MC Quenez
the Annals of Probability 25 (2), 702-737, 1997
Les aspects probabilistes du contrôle stochastique
N El Karoui
École d’été de Probabilités de Saint-Flour IX-1979, 73-238, 1981
Pricing via utility maximization and entropy
R Rouge, N El Karoui
Mathematical Finance 10 (2), 259-276, 2000
Robustness of the Black and Scholes formula
NE Karoui, M Jeanblanc‐Picquè, SE Shreve
Mathematical finance 8 (2), 93-126, 1998
Inf-convolution of risk measures and optimal risk transfer
P Barrieu, N El Karoui
Finance and stochastics 9 (2), 269-298, 2005
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
A general result of existence and uniqueness of backward stochastic differential equations
N El Karoui, SJ Huang
Pitman Research Notes in Mathematics Series, 27-38, 1997
Pricing, hedging and optimally designing derivatives via minimization of risk measures
P Barrieu, NE Karoui
arXiv preprint arXiv:0708.0948, 2007
Optimization of consumption with labor income
N El Karoui, M Jeanblanc-Picqué
Finance and Stochastics 2 (4), 409-440, 1998
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
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
Reflected backward SDEs and American options
N El Karoui, É Pardoux, MC Quenez
Numerical methods in finance 13, 215-231, 1997
Non-linear pricing theory and backward stochastic differential equations
N El Karoui, MC Quenez
Financial mathematics, 191-246, 1997
Optimal derivatives design under dynamic risk measures
P Barrieu, N El Karoui
Contemporary Mathematics 351, 13-26, 2004
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
What happens after a default: the conditional density approach
N El Karoui, M Jeanblanc, Y Jiao
Stochastic processes and their applications 120 (7), 1011-1032, 2010
Backward stochastic differential equations
N El Karoui, L Mazliak
CRC Press, 1997
Il sistema al momento non può eseguire l'operazione. Riprova più tardi.
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