Econometrics of financial and textual data

Description

Development of econometric methods and applications to financial markets, risk management, and asset allocation.

Supervising professor

David Ardia

Real options and energy

Description

Development of dynamic optimization algorithms with hydro-power applications. Machine Learning and Approximate Dynamic Programming. Optimal design of contracts on energy markets.

Supervising professor

Michel Denault

Modelling extreme values – Weather derivatives and environmental issues

Description

Explore how modelling of extreme values and modelling of dependence can be applied to weather derivatives and environmental issues.

Supervising professor

Debbie J. Dupuis

Credit risk

Description

Evaluation of counterparts risk, effects of netting and margin call.

Supervising professor

Geneviève Gauthier

Realized variance and particle filters

Description

Model estimation using high frequency data and filtering approaches.

Supervising professor

Geneviève Gauthier�

Stochastic Control, Mean Field Games and Applications

Description

Using stochastic control and mean field games (large-population dynamic games), we address, among others, various problems that arise in the context of energy and financial markets. These problems include devising optimal trading strategies, quantifying and managing systemic risk, establishing equilibrium pricing, and designing effective market regulation. A diverse range of projects is available focusing on the theoretical, modeling or application aspects.

Supervising professor

Dena Firoozi