Hatem Ben Ameur

Professor, Department of Decision Sciences

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)

Member of the Group for Research in Decision Analysis (GERAD)

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.

Journal articles (3)

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, 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.

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

Master's thesis direction – MSc in Management (3)

In codirection with : BRETON, Michèle
Évaluation d'options bi-dimensionnelles par programmation dynamique et analyse en composantes principales, by Martin Blanchard
November 2019

Ratios comptables versus ratios économiques pour la prévision de la faillite corporative, by Guillaume Painchaud
March 2017

In codirection with : LE MAUX, Julien
Apport des flux de trésorerie en prévision de faillite corporative, by Nidhal Gharsellaoui
March 2017

Supervised project supervision – MSc in Management (3)

In codirection with : DORION, Christian
Évaluation d'une option de vente américaine par simulation Monte-Carlo à l'aide de l'algorithme de Longstaff et Schwartz en incluant un réseau de neurones , by Antoine Léger
September 2021

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