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Hatem Ben Ameur

Professor,  Department of Decision Sciences


Hatem Ben Ameur

Contact information

HEC Montréal
3000, chemin de la Côte-Sainte-Catherine
Montréal (Québec)
Canada H3T 2A7

Email: hatem.ben-ameur@hec.ca
Phone: 514 340-6480
Secretary: 514 340-6473
Fax: 514 340-5634
Office: 4.323

Personal page

Other title(s)

Education

  • Ph.D. – Financial Engineering, HEC Montréal, Montréal, Canada

  • Engineer in statistics and economics and INSEE administrator, Ecole Nationale de la Statistique et de l’Administration Economique (ENSAE), Paris, France
  • Maîtrise de Mathématiques, Faculté des Sciences de Tunis, Tunis, Tunisia

Expertise

  • Financial engineering
  • Stochastic processes
  • Stochastic simulation
  • Stochastic dynamic programming
  • Option Pricing
  • Risk measurement
  • Bankruptcy prediction

This publication selection covers the last five years.


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Journal articles (7)


AYADI, Mohamed, BEN AMEUR, Hatem, FAKHFAKH, Tarek; « A dynamic program for valuing corporate securities », European Journal of Operational Research, vol. 249, no 2, Mars 2016, p. 751-770.

BEN AMEUR, Hatem, CHERIF, Rim, RÉMILLARD, Bruno; « American-style options in jump-diffusion models: estimation and evaluation », Quantitative Finance, vol. 16, no 8, Mars 2016, p. 1313-1324.

AYADI, Mohamed, BEN AMEUR, Hatem, KRYZANOWSKI, Lawrence; « Typical and Tail Performance of Canadian Equity SRI Mutual Funds », Journal of Financial Services Research, vol. 50, no 1, Août 2016, p. 57-94.

BEN AMEUR, Hatem, KAROUI, Lotfi, MNIF, Walid; « Pricing Interest-Rate Derivatives with Piecewise Multi linear Interpolations and Transition Parameters », Journal of Derivatives, vol. 22, no 2, Winter 2014, p. 82-109.

AYADI, Mohamed, BEN AMEUR, Hatem, KIRILLOV, Tymur, WELCH, Robert; « A STOCHASTIC DYNAMIC PROGRAM FOR VALUING OPTIONS ON FUTURES », Journal of Futures Markets, vol. 34, no 12, 2014, p. 1185-1201.

AYADI, Mohamed, BEN AMEUR, Hatem, LAZRAK, Skander, WANG, Yue; « Canadian Investors and the Discount on Closed-End Funds », Journal of Financial Services Research, vol. 43, no 1, Février 2013, p. 69-98.

BEN ABDALLAH, Ramzi, BEN AMEUR, Hatem, BRETON, Michèle; « Pricing the Chicago Board of Trade T-Bond futures », Quantitative Finance, vol. 12, no 11, Novembre 2012, p. 1663-1678.



This selection of supervision activities covers the last five years.

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Supervised project supervision – MSc in Management (2)

Modèles factoriels alternatifs de risque de crédit. Simulation de martingales empiriques , by Quang Khoi Tran
October 2014

Gestion et exploitation informatique des données financières , by Abdellilah Nafia
September 2014


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