|July 5, 2020|
2010 (Winter/Spring) Thematic Program on Quantitative Finance: Foundations and Applications
January - June, 2010
Coxeter Lecture Series
Nicole El Karoui is Professor of Applied Mathematics at both University of Paris VI and Ecole Polytechnique, France. She is a well known for her many contributions on probabilistic aspects of stochastic control and their applications to partially observable optimization problems. In 1989, after a sabbatical semester in a bank, she started working on various mathematical problems in finance.
She has been the leader in many fields of mathematical finance and related stochastic analysis, most notable are: backward stochastic differential equations, dynamic risk measure, portfolio insurance, indifference pricing. She also made important contributions in interest rate models, stochastic volatilities and calibration, and directed many PhD dissertations in these areas.
In 1990, with H. Geman, she founded one of the first graduate programs in quantitative finance at Paris VI University, co-accredited with the Ecole Polytechnique. The program has been highly successful, and was widely reported in the French and US media (e.g., Le Monde and Wall Street Journal in 2006), which has greatly increased the visibility of French Quants in the world.
The Fields Institute Coxeter Lecture Series (CLS) is intended to bring a
leading international mathematician in the field of the thematic program of
the Institute to give a series of three lectures. One talk will be an overview
to a general mathematical audience including post-doctoral fellows and graduate
students. The other two talks can target program participants in their choice
of topic(s), in collaboration with the organizers of the related thematic