PhD in administration - Financial Engineering
Students wanted | PhD in Financial Engineering | HEC Montréal
“I acquired cutting-edge knowledge on a number of current topics, surrounded by dynamic and motivated researchers. It was a highly stimulating and interesting experience!”
— Frédéric Godin, PhD. Assistant Professor, Concordia University
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 |
Econometrics of financial and textual data
| Description |
Development of econometric methods and applications to financial markets, risk management, and asset allocation. |
| Faculty Supervisor |
Professor David Ardia |
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 |
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