Dena Firoozi

Assistant Professor, Department of Decision Sciences

Contact information

HEC Montréal
3000, 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.

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.

Book chapters (1)

FIROOZI, Dena, CAINES, Peter E.; « The Execution Problem in Finance with Major and Minor Traders: A Mean Field Game Formulation », Advances in Dynamic and Mean Field Games: Theory, Applications, and Numerical Method, Springer, 2017, p. 107-130.

This selection of supervision activities covers the last five years.

Master's thesis direction – MSc in Management (1)

Systemic risk in an interbank market with a large bank and many small banks, by Yuanyuan Chang
November 2022

Winter 2023

MATH 10620A

Statistics

MATH 60646A

Stochastic Calculus

Fall 2022

MATH 20602A

Probabilistic and Stochastic Models in Business

Winter 2022

MATH 10620A

Statistics

MATH 80646A

Stochastic Calculus I