BIOGRAPHY
Dr. Youssef El-Khatib is a professor in the Department of Mathematical Sciences at the United Arab Emirates University. He earned his Ph.D. from the University of La Rochelle in France. His research lies at the intersection of stochastic calculus and financial mathematics, with a particular emphasis on chaotic calculus and its applications in the analysis of financial derivatives. Dr. El-Khatib is also actively engaged in interdisciplinary research. Notably, he explores the role of stochastic calculus in epidemiological modeling, helping to capture the inherent randomness and uncertainty in the spread of infectious diseases. His cross-disciplinary approach reflects a broader interest in leveraging mathematical innovation to address real-world challenges. Dr. El-Khatib regularly supervises graduate students, contributes to curriculum development, and collaborates on international research initiatives.
EDUCATION
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Doctorate Degree, Doctorat, Mathematics, University of La Rochelle, 2003
RESEARCH AREAS
- Financial Mathematics, Stochastic calculus, Chaotic calculus and applications to finance
- Pricing and hedging financial derivatives, European and Exotic options
- Stochastic volatility models, Discontinuous models, Computations of price sensitivities
RECENT PUBLICATIONS
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(2022). "Exact solution for the portfolio diversification problem based on maximizing the risk adjusted return A Hatemi-J, MA Hajji, Y El-Khatib Research in International Business and Finance 59, 101548". Co-Authors:
. Research in International Business and Finance. .
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(2022). "Approximate pricing formula to capture leverage effect and stochastic volatility of a financial asset Y El-Khatib, S Goutte, ZS Makumbe, J Vives 44, 102072". Co-Authors:
. Finance Research Letters. .
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(2022). "Option pricing with illiquidity during a high volatile period Y El‐Khatib, A Hatemi‐J Mathematical Methods in the Applied Sciences". Co-Authors: . Mathematical Methods in the Applied Sciences. .
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(2021). "The Transmission Dynamics of Hepatitis B Virus via the Fractional-Order Epidemiological Model T Khan, ZS Qian, R Ullah, B Al Alwan, G Zaman, QM Al-Mdallal, ... Complexity 2021". Co-Authors: . Complexity. .
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(2021). "Stochastic covid-19 model with fractional global and classical piecewise derivative S Jain, Y El-Khatib Results in Physics 30, 104788". Co-Authors: . Results in Physics. .
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(2020). "The second order price sensitivities for markets in a crisis Y El-Khatib, A Hatemi-J Journal of King Saud University-Science 32 (1), 131-135". Co-Authors: . Journal of King Saud University-Science. .
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(2020). "The nexus of trade-weighted dollar rates and the oil prices: an asymmetric approach A Hatemi-J, Y El-Khatib Journal of Economic Studies". Co-Authors: . Journal of Economic Studies. .
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(2019). "Option pricing in high volatile markets with illiquidity Y El-Khatib, A Hatemi-J AIP Conference Proceedings 2116 (1), 110007". Co-Authors: . AIP Conference Proceedings. .
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(2017). "Option valuation and hedging in markets with a crunch". Co-Authors: Abdulnasser Hatemi-J. Emerald Publishing Limited/Journal of Economic Studies. 44(5). 14
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(2017). "ASYM_CAUS: C++ module for Transforming an Integrated Variable with Deterministic Trend Parts into Negative and Positive Cumulative Partial Sums". Co-Authors: Abdulnasser Hatemi-J
. Boston College Department of Economics/Statistical Software Components. .