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.