PhD in administration - Financial Engineering

Students wanted

Would you like to do your PhD in a community of world-renowned researchers? This exciting learning experience will introduce you to university-level research and teaching.

Econometrics of financial and textual data

Description

Development of econometric methods and applications to financial markets, risk management, and asset allocation.

Supervising professor

David Ardia

 

Real options and energy

Description

Development of dynamic optimization algorithms with hydro-power applications. Machine Learning and Approximate Dynamic Programming. Optimal design of contracts on energy markets.

Supervising professor

Michel Denault

 

Modelling extreme values – Weather derivatives and environmental issues

Description

Explore how modelling of extreme values and modelling of dependence can be applied to weather derivatives and environmental issues.

Supervising professor

Debbie J. Dupuis

 

Credit risk

Description

Evaluation of counterparts risk, effects of netting and margin call.

Supervising professor

Geneviève Gauthier

 

Realized variance and particle filters

Description

Model estimation using high frequency data and filtering approaches.

Supervising professor

Geneviève Gauthier

 

Stochastic Control, Mean Field Games and Applications

Description

Using stochastic control and mean field games (large-population dynamic games), we address, among others, various problems that arise in the context of energy and financial markets. These problems include devising optimal trading strategies, quantifying and managing systemic risk, establishing equilibrium pricing, and designing effective market regulation. A diverse range of projects is available focusing on the theoretical, modeling or application aspects.

Supervising professor

Dena Firoozi

 
Program details
Type
PhD
Level
Graduate  
Credits  
90 Credits
Schedule
  • Full time
Time
  • Day
Instruction mode
  • On-site
Location
  • Côte-des-Neiges

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