June 2, 2009
Ramzi Ben-Abdallah (PhD 2008) has received the Mercure award for the best doctoral thesis in 2008, along with a cash prize of $3,000. His thesis, co-directed by professors Michèle Breton and Hatem Ben Ameur, of the Department of Management Sciences, is entitled Essays on the Valuation of Derivatives on Long Maturity Treasury Bonds. It was chosen from the 17 theses eligible for the award in 2008.
In his thesis, Ramzi investigated the theoretical and empirical pricing of Chicago Board of Trade (CBOT) Treasury-bond futures. This contract is one of the most traded in the world, largely because of its ability to hedge long-term interest-rate risk. He also considered an optimal delivery strategy for traders (when and which bonds to deliver), in a context of uncertainty.
In methodological terms, Ramzi’s work contributes to the development of new procedures for pricing financial derivatives and their application to any type of futures contracts with embedded options. In empirical terms, his work helps to improve interest-rate risk management and coverage by proposing more effective strategies for exercising delivery options than those observed on the market. This is very important, especially in the current global financial and economic situation.
The quality of his thesis has already earned him some valuable recognition. Ramzi has made 10 presentations at major North American and international conferences, including the Third International Conference on Asia-Pacific Financial Markets, in December 2008, in Seoul, and the Melbourne Derivatives Research Group conference, in March 2008, in Melbourne, where he was the only doctoral student and the youngest invited researcher. In addition, he took part in the 2007 international conference of the Association française de finance, in December 2007, in Paris.
He has also published three articles based on his thesis, including one entitled “An Analysis of the True Notional Bond System Applied to the CBOT T-Bond Futures,” which appeared in the Journal of Banking & Finance.* The article won him one of the three 2009 Esdras Minville Awards, presented to doctoral students who have published an article in a scientific journal with a reading committee.
Ramzi Ben-Abdallah has been a professor in the Finance Department of the École des sciences de la gestion, at UQAM, since January 2009.
The winner of the Mercure award for the best doctoral thesis in 2008, Ramzi Ben-Abdallah, with Professor François Bellavance, Director of MSc and PhD Academic Programs.
The finalists for the Mercure award for the best doctoral thesis in 2008:
– Chahrazed Abdallah, specializing in Management
Thesis title: Le discours stratégique et son appropriation dans une organisation artistique : La construction de la stratégie de l’Office national du film du Canada entre 2001 et 2006
Director: Ann Langley
– Luc K. Audebrand, specializing in Management
Thesis title: La fabrique de la stratégie du commerce équitable
Co-directors: Richard Déry and Marie-Claire Malo (honorary professor since September 2008)
– Ramzi Ben-Abdallah, specializing in Financial Mathematics – winner
Thesis title: Essays on the Valuation of Derivatives on Long Maturity Treasury Bonds
Co-directors: Hatem Ben Ameur and Michèle Breton
– Khemaïs Hammami, specializing in Finance
Thesis title: Three Essays on Corporate Credit Spreads
Co-directors: Georges Dionne and Jean-Guy Simonato
– Simon Véronneau, specializing in Production and Operations Management
Thesis title: Three Essays on Cruise Ship Supply Chain Management
Director: Jacques Roy
* The article was published in volume 33 (March 2009) of the journal (published by Elsevier), pages 534-545.