THEMATIC PROGRAMS
November 23, 2024
2010 (Winter/Spring) Thematic Program on Quantitative Finance: Foundations and Applications
January - June, 2010

Coxeter Lecture Series
April 6- 8, 2010

Nicole El Karoui
Professor of Applied Mathematics, Center for Applied Mathematics, Ecole Polytechnique

Backward Stochastic Differential Equations:
Are you really looking back?
Answers in Finance, Stochastic control and PDE's (abstract)

Thematic Home page Audio and slides of talks Distinguished and Coxeter Lecturers
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 program.

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