Le contenu
PhD in administration - Financial Engineering

Students wanted | PhD in Financial Engineering | HEC Montréal

You may propose your own research projects. However, this specialization is actively seeking students interested in the following research topic :

CREDIT RISK, HIGH FREQUENCY DATA

Description Evaluation of counterparts risk, effects of netting and margin call. Filtering latent factors, hedging.
Faculty Supervisor Professor Geneviève Gauthier

High frequency limit order book data

Description Understanding the dynamics of high frequency limit order book data and forecasting market conditions by exploiting information content of high frequency limit order book data via machine learning.
Faculty Supervisor Professor Tolga Cenesizoglu

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.
Faculty Supervisor Professor Debbie Dupuis

Pricing Idiosyncratic Variance and Jumps

Description The trading of variance has grown exponentially in the last decade. But our understanding of what drives returns in a variance portfolio is still rudimentary. We seek to explore the pricing of variance on individual assets, accounting for potential jumps.
Faculty Supervisor Professor Christian Dorion

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.
Faculty Supervisor Professor Michel Denault
 
Program details
Type
PhD
Credits  
90 credits
Schedule
  • Full time
Time
  • Day
Level
PhD

Future students, follow us

Share this page


English-language Programs > PhD in Administration > PhD in Administration – Financial Engineering > Students wanted