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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 (5)


BEN AMEUR, Hatem, CHERIF, Rim, RÉMILLARD, Bruno; « Dynamic programming for valuing American options under a variance-gamma process », Journal of Futures Markets, vol. 40, no 10, 2020, p. 1548-1561.

AYADI, Mohamed, BEN AMEUR, Hatem, CHANNOUF, Nabil, TRAN, Quang Khoi; « NORTA for portfolio credit risk », Annals of Operations Research, vol. 281, no 1/2, 2019, p. 99-119.

AYADI, Mohamed, BEN AMEUR, Hatem, FAKHFAKH, Tarek; « A dynamic program for valuing corporate securities », European Journal of Operational Research, vol. 249, no 2, 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, 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, 2016, p. 57-94.



This selection of supervision activities covers the last five years.

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Dissertation direction – PhD in Administration (2)

In codirection with : RÉMILLARD, Bruno
Valuing financial derivatives under Lévy processes, by Rim Cherif
September 2017

In codirection with : RÉMILLARD, Bruno
Dynamic programming and parallel computing for valuing two-dimensional financial derivatives, by Malek Ben Abdellatif
September 2017

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Supervised project supervision – MSc in Management (2)

In codirection with : DORION, Christian
Évaluation d'options américaines dans un cadre LSMC avec réseau de neurones et réduction de variance , by Marianne Fabry-Chaussé
November 2020

In codirection with : DORION, Christian
Tarification d'options américaines à l'aide de l'algorithme de Longstaff et Schwartz en incluant un réseau de neurones , by Achref Ajroudi
November 2020


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