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Ph.D. Thesis Committee
- Antoine Noel: Derivatives, information transmission and informed trading.
- Denada Ibrushi: Three Empirical Essays on Asset Pricing
- Ali Abolghasemi: Asset Prices in Granular Economies
- Ella Dias Saraiva-Patelli: Essays on Investors’ Expectations and Asset Prices
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.