M.Sc. Thesis Supervision

• Aldriche-chirlet Moussavou: The modeling of convenience yield in the commodity market.
• 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.