Students Supervision

M.Sc. Thesis Supervision

  • Yan Geng: Equity risks and the cross-section of stock returns.
  • Gabriel Bédard: Implementation of liquidity risk assessment measures for fixed income strategies.
  • Jihane Guennouni: Implementation of monitoring analytics for private placement portfolios.
  • Dominic Bouchard: The Pricing, replication, and hedging of TSX-VIX Futures using stochastic volatility models.
  • Rémi Galarneau-Vincent: The pricing of the yield curve: US high yield corporate yield curve and the sovereign yield curve of emerging countries.
  • Tom Imbernon: Application of the Heston model for pricing equity derivatives based on Monte-Carlo methods.
  • Alexis Gosselin Masson: Risk factors and risk premia in equally weighted portfolios of emerging countries.
  • Zhu Yanfang: Downside risk in Chinese ADRs – Co-supervised with Pascal François.

P.hD. Thesis Committee

  • Antoine Noel:  Derivatives, information tansmission and informed trading.