Nicole El Karoui

Publication Activity (10 Years)

Years Active: 1998-2021
Publications (10 Years): 1

Top Topics

Nonlinear Partial Differential Equations

Stochastic Processes

Top Venues

SIAM J. Financial Math.

Publications

Nicole El Karoui, Mrad Mohamed
Recover Dynamic Utility from Observable Process: Application to the Economic Equilibrium. SIAM J. Financial Math. 12 (1) (2021)
Nicole El Karoui, Monique Jeanblanc, Ying Jiao
Density Approach in Modeling Successive Defaults. SIAM J. Financial Math. 6 (1) (2015)
Nicole El Karoui, Mrad Mohamed
An Exact Connection between Two Solvable SDEs and a Nonlinear Utility Stochastic PDE. SIAM J. Financial Math. 4 (1) (2013)
Nicole El Karoui, Ying Jiao
Stein's method and zero bias transformation for CDO tranche pricing. Finance Stochastics 13 (2) (2009)
Pauline Barrieu, Nicole El Karoui
Inf-convolution of risk measures and optimal risk transfer. Finance Stochastics 9 (2) (2005)
Nicole El Karoui, Monique Jeanblanc-Picqué
Optimization of consumption with labor income. Finance Stochastics 2 (4) (1998)