MS1 en-us
MS2 Assistant Professor
MS3 Assistant Professor (f)
MS4 Assistant Professor
MS2 Assistant Professor
MS3 Assistant Professor (f)
MS4 Assistant Professor
Dena Firoozi
Assistant Professor, Department of Decision Sciences
Contact information
HEC Montréal3000, chemin de la Côte-Sainte-Catherine
Montréal (Québec)
Canada H3T 2A7
Email : dena.firoozi@hec.ca
Phone : 514 340-6350
Secretary: 514 340-6472
Fax : n/a
Office : 4.811
Personal page
Education
- Ph. D. (Electrical Engineering), McGill University
- M. Sc. (Electrical Engineering), Sharif University of Technology
Expertise
- Mathematical Finance
- Mean Field Games
- Stochastic Control
- Estimation
Current research
- Forthcoming
This publication selection covers the last five years.
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Journal articles (6)
SHRIVATS, Arvind, FIROOZI, Dena, JAIMUNGAL, Sebastian;
« A mean-field game approach to equilibrium pricing in solar renewable energy certificate markets »,
Mathematical Finance, vol. 32, no 3, 2022, p. 779-824.
FIROOZI, Dena;
« LQG mean field games with a major agent: Nash certainty equivalence versus probabilistic approach »,
Automatica, vol. 146, 2022, p. 1-5.
FIROOZI, Dena, PAKNIYAT, Ali, CAINES, Peter E.;
« A class of hybrid LQG mean field games with state-invariant switching and stopping strategies »,
Automatica, vol. 141, 2022, p. 1-14.
FIROOZI, Dena, JAIMUNGAL, Sebastian;
« Exploratory LQG mean field games with entropy regularization »,
Automatica, vol. 139, 2022, p. 1-12.
FIROOZI, Dena, CAINES, Peter E.;
« ϵ -Nash Equilibria for Major–Minor LQG Mean Field Games With Partial Observations of All Agents »,
IEEE Transactions on Automatic Control, vol. 66, no 6, 2021, p. 2778-2786.
FIROOZI, Dena, JAIMUNGAL, Sebastian, CAINES, Peter E.;
« Convex analysis for LQG systems with applications to major–minor LQG mean–field game systems »,
Systems & Control Letters, vol. 142, 2020, p. 1-12.
This selection of supervision activities covers the last five years.
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Master's thesis direction – MSc in Management (3)
In codirection with : BENATIA, David
Analysis of Sector Connectedness Within Canadian Stock Market From an Uncertainty Perspective, by Huiru Liu
March 2024
Analysis of Sector Connectedness Within Canadian Stock Market From an Uncertainty Perspective, by Huiru Liu
March 2024
Risk-Sensitive Mean Field Games with Common Noise and Applications to Interbank Markets, by Xin Yue Ren
October 2023
October 2023
Systemic risk in an interbank market with a large bank and many small banks, by Yuanyuan Chang
November 2022
November 2022
Winter 2024
Fall 2023
MATH 60646
MATH 60699A
Winter 2023
MATH 10620A
MATH 60646A
Fall 2022
Winter 2022
MATH 10620A
MATH 80646A