Michel Denault
Professor

M.Math., University of Waterloo, 1992
Ph.D.(Management Science), McGill University, 1998.
Post-doc, ETH-Zurich, 1999

Teaching

  • 3-671-12 Programmation de modèles quantitatifs en finance
  • 6-609-08 Calcul numérique en ingénierie financière

See also our degree in Financial Engineering in the master's program at HEC Montréal (in French).

Michel Denault

Research Interests

Environmental Finance :

  • management of power utilities
  • carbon markets
  • pricing of greenhouse gases emissions allowances

Financial Engineering :

  • energy derivatives
  • numerical techniques in option pricing
  • robust portfolio optimization
  • quantitative risk management

Earlier interests were in capital allocation, variational inequalities and equilibrium programming, as well as game theory.

My main papers were published in

 Computational Optimization and Applications (1999), Computers and Operations Research (2004, 2013, 2017), Energy Policy (2009), INFOR Journal (2004), INFORMS Journal on Computing (2005), Journal of Futures Markets (2006, 2009), Journal of Risk (2001), Optimization and Engineering (2017)

For working papers, see my page at GERAD or send me an email.

Member of GERAD


 

HEC Montréal
3000, chemin de la Côte-Sainte-Catherine
Montréal (Québec)
Canada H3T 2A7 

Phone: (514) 340-6171
Secretary: (514) 340-6736
Fax: (514) 340-5634

E-mail: michel.denault@hec.ca
Office: 4.836
 
 
Last update: July 2017