Go to main content
Logo HEC Montréal
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

Write to the supervising professor

 

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

Write to the supervising professor

 

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

Write to the supervising professor

 

Mean Field Games in Energy and Financial Markets

Description

Modeling energy and financial markets as large-population dynamic games (more specifically mean field games) and addressing problems such as optimal trading, equilibrium pricing, and contract design.

Supervising professor

Dena Firoozi

Write to the supervising professor

 

Credit risk

Description

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

Supervising professor

Geneviève Gauthier

Write to the supervising professor

 

Realized variance and particle filters

Description

Model estimation using high frequency data and filtering approaches.

Supervising professor

Geneviève Gauthier

Write to the supervising professor

 
Program details
Type
PhD
Level
PhD  
Credits  
90 Credits
Schedule
  • Full time
Time
  • Day
Location
  • Côte-des-Neiges

Future students, follow us

Share this page


Programs > PhD in Administration > PhD in Administration – Financial Engineering > Students wanted