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›› Risk and portfolio optimization

›› Models in finance

›› Environment

›› Economy

›› Energy

 » Pricing of derivatives

In progress :

Dynamic hedging under GARCH - a stochastic viability approach, with J.-P. Aubin and P. Saint-Pierre.

Mbaye Ndoye, Ph.D. Administration, HEC. Numerical methods, multidimensional models

Saad Serghini Idrissi, Ph.D. Administration, HEC. Spectral Approximation Methods

Rami Jrad, M.Sc., financial engineefing, HEC. Derivatives Pricing under GARCH by combining spectral and finite elements  Approximation Methods.

Chedly Baraket, Ph.D., administration, HEC. Pricing derivatives using Fourier Transforms.

Tiguéné Nabassaga, Master economic modelling, École Polytechnique de Tunisie. Pricing bermudean quanto options.

Completed :

Axel Siliadin, École Polytechnique de Tunisie. Pricing implicit options in multifactorial models (2011).

Amine Radhouane, M.Sc. financial engineering, HEC. Non-Gaussian GARCH Models (2011).

Fares Ben Mahmoud, M.Sc., financial engineefing, HEC. Pricing of Implicit Options (2010).

Tiguéné Nabassaga, École Polytechnique de Tunisie. Quasi-Monte Carlo methods (2010).

Neji Mlouka , École Polytechnique de Tunisie. Spectral approximation in interest rate models (2010).

Judith Toupin, M.Sc., financial engineefing, HEC. Valuation and hedging of segregated funds (2009)

Alia Sellami, École Polytechnique de Tunisie. Pricing derivatives using prospective Dynamic Programming (2009)

Saad Serghini Idrissi, M.Sc., financial engineefing, HEC. Pricing options under GARCH. (2009)

Ali Boudhina, M.Sc., financial engineefing, HEC. Mortgage backed securities. (2009)

Ramzi Ben Abdallah, Ph.D., administration, HEC, Essays on the Valuation of Derivatives on Long Maturity Treasury Bonds. Joint direction with H. Ben Ameur. (2008))Best Thesis Award, HEC 2008

Yahya Rhissa, M.Sc., financial engineering, HEC. Families of regressors in the LS procedure. Joint direction with H. Ben Ameur. (2008)

Salah Ben Khalil, École Polytechnique de Tunisie. Pricing barrier options under GARCH. Joint direction with H. Ben Ameur (2008).

Amine Radhouane, École Polytechnique de Tunisie. GARCH Models with non-gaussian innovations. Joint direction with H. Ben Ameur

Ali Boudhina, École Polytechnique de Tunisie, Refinancing risk and mortgage credit (2007).

Karim Drira, Ph.D., administration, HEC. Pricing bonds with implicit options and credit risk. Pricing energy derivatives (2006).

Mario Spino, M.Sc., financial engineering, HEC, Pricing swing options on electricity using dynamic programming (2003).

Jean-François Giroux, M.Sc. financial engineering, HEC, Pricing "lookback" American options with dynamic programming (2003).

Lotfi Karoui, M.Sc., financial engineering, HEC, Pricing implicit options in bonds using dynamic programming and finite elements methods. Joint direction with H. Ben Ameur (2003).

Hatem Ben Ameur, Ph.D., administration, HEC, Simulation and numerical procedures for option pricing. Joint direction with P. L’Écuyer. Best thesis award, HEC Montréal (2002).

Mohamed Mokhtari, M.Sc. financial engineering, HEC, Pricing American options on the natural gas market using quasi-analytic methods. Joint direction with P. François (2002).

Jacqueline Mukamurenzi, M.Sc., financial engineering, HEC, Pricing a convertible, callable and putable bond (the LYON case) (2000).

 » New economy in finance

In progress :

Survey of hedging strategies. Joint work with H. Ben Ameur, P. François, S. Fortin, M. Magnan, N. Papageorgiou

Mohamed Moufid Eyitayo, M.Sc., financial engineering, HEC. Interbank payment systems.

Christopher McLaren, M.Sc. financial engineering, HEC. Risk allocation and management. 

Completed :

Sébastien Forté, M.Sc. financial engineefing, HEC. Arbitrage strategy on term structure of swap rates. Joint direction with Tarek Masmoudi (CDPQ) (2008)

Valérie Lemieux, M.Sc. finance, HEC, Determinants of hedge funds performance.

 » Risk and portfolio optimization

Completed :

Fereshteh Mafakheri, Ph.D., administration, HEC. Project management and risk analysis (2010).

Tammam Mouakhar, Ph.D. administration, HEC, Three essays on strategic and tactical asset allocation (2007).

Tarek Masmoudi, Ph.D. administration, HEC, Portfolio management delegation: choice of investment and management fees in a continuous time framework.

Jean-Jacques Chouinard, M.Sc. financial engineering, HEC, Management of risk of pension plans (2001).

Éric Springuel, M.Sc., financial engineering, HEC, A dynamic stochastic minimax algorithm for the solution of a portfolio optimization problem. Best thesis award (2000).

Gabriel Veilleux, M.Sc., finance, HEC. Risk management model for interest in inflation rates in the management of pension funds. Joint direction with P. Laroche (1999).

Kafui Aithnard, M.Sc.,financial engineering, HEC, Optimizing the asset-liability spread for a pension fund. Joint direction with P. Laroche (1999).

Anta Niasse, M.Sc., operations research, HEC, Using fuzzy optimization to analyse investment strategies. Joint direction with P. Laroche (1998).

Anthony Vallée, M.Sc., financial engineering, HEC, Impact of derivatives on the efficient frontier. Joint direction with P. Laroche (1998).

Claude Khalil, M.Sc., financial engineering, HEC, Portfolio rebalancing. Joint direction with P. Laroche (1998).

Arnold Ngouana, M.Sc., operations research, HEC, Portfolio optimization with asymmetrical risk criteria (1997).

Sophie Leblanc, M.Sc., operations research, HEC, Optimal portfolio with managers (1996).

 » Models in finance

In progress :

Coalition strategies in syndicated loans, joint project with P. François

Pari-mutuel mechanismes in the reinsurance market, the case of climatic risk, joint project with P. François and M. Boyer

Completed :

Mourad El Hila, M.Sc. financial engineering, HEC. Empirical investigation of GARCH option prices. Joint supervision with Lars Stentoft (2010)

Amira Annabi, Ph.D. administration, HEC, Dynamic Game Models for the Pricing of corporate debt. Joint supervision with P. François (2009)

Amine Bouassida, École Polytechnique de Tunisie, Forecasting the term structure of government bonds (2007).

Guiseppe Iafigliola, M.Sc.financial engineering, HEC, Implémentation du modèle de Black. Joint direction with H. Ben Ameur.

Sarah Bounab, M.Sc., financial engineering, HEC, Dynamic capital structure model. Joint direction with Pascal François (2005).

Ramzi Ben Abdallah, M.Sc. financial engineering, HEC, Timing strategy for the "cheapest to deliver" bond. Joint direction with H. Ben Ameur. (2003)

Florent Kopdejpo, M.Sc. Financial engineering, HEC, Comparison of various estimation methods by gaussian mixtures for financial series (2002).

Giorgio Pavesio, M.Sc. financial engineering, HEC, Evolution of interest rate spreads for various credit ratings (2002).

Karine Béguin, M.Sc. Financial engineering, HEC, Average time between margin calls for term contracts. Joint direction with H. Ben Ameur (2001).

Mounira Boussetta, M.Sc., financial engineering, HEC, Investment strategies: distresses societies stocks. Joint direction with Minh Chau To (1999).

Quoc-Xuan Trinh, M.Sc.,financial engineering, HEC, Evaluating corporate bonds: analytical solution. Joint direction with Minh Chau To (1999).

Christian Rhéaume, M.Sc., operations research, HEC, Sensitivity of the binomial implicit model of Barle and Cakici: volatility structure and non-constant dividends. Joint direction with P. Laroche (1997).

 » Environment

In progress :

Impact of uncertainty on IEA stability. Joint work with Lucia Sbragia

Samar Garrab,Ph.D., administration. Viability and sustainable development

Completed :

Yevenunye Keoula, Ph.D., administration. Stability and fisheries management. Real options in the Clean Development Mechanism (2011).

Lucia Sbragia, Postdoctoral fellow, Dynamic games in environment. Joint direction with G. Zaccour (2006-2008).

Amina Graja, École Polytechnique de Tunisie. Stability of international environmental agreements: a MERGE approach. Joint direction with O. Bahn and G. Zaccour.

Mehdi Zahaf, Ph.D. administration, HEC. Dynamic games and Joint Implementation for environmental projects. Joint direction with G. Zaccour (2004).

Karima Fredj, Ph.D. administration, HEC. Environmental cost sharing mechanism. Joint direction with G. Zaccour (2004).Best thesis award, HEC 2005

 » Economy

In progress :

Completed :

Salmata Ouedraogo, Ph.D. administration, HEC, Three essays on empirical economics: Health, Education and Gender. Joint direction with D. Vencatachellum.

Jonathan Trépanier, M.Sc., operations research, HEC, Investment problem of competing firms in the context of R&D (2005)

Abdalla Turki, Ph.D., administration, HEC, Dynamic Games of R& D (2004)

Maurice Bijo, M.Sc. business intelligence, HEC, Demographic and macroeconomic determinants of charitable donations levels of Canadian (2003).

Iryna Golovan, M.Sc. operations research, HEC, Dynamics of revenue inequality and direct taxation. Joint direction with D. Vencatachellum (2002).

Dominic Binette, M.Sc. financial engineering, HEC, Uncertainty in real exchange rates and a strategic advantage for multinational firms (2001).

Nagi Haddad, operations research, HEC, Dynamic optimization in publicity with competition. Joint direction with G. Zaccour (1998).

 » Energy

In progress :

Mohammed Kharbach, Ph.D., administration, Pricing and access on the gas market.
Hossein Mizrapour, Ph.D. administration, HEC. Strategic actions and price subventions in energy producing countries.

Completed :

Jean-Guy Demers, Ph.D., financial engineering, HEC, Prevision models for energy prices.

Su Bin, Reservoir and river optimization in Sechuan (2004).

Chang Siwu, Dynamic optimized operation mode of hydropower station (2004).

Abdelghani Hammadia, Ph.D., applied mathematics, Polytechnique. Contribution to the optimization, in real time and short term, of the hydroelectric resources of a river (2001).

Pierre-Olivier Pineau, Ph.D., administration, HEC. Electricity market reforms: institutional developments, investment dynamics and game modeling. Joint direction with G. Zaccour. Best thesis award, HEC Montréal (2000). Award of excellence, IREC (2000).

Saloua Ouassil, Engineering, École nationale supérieure d’informatique et d’analyse des systèmes, Maroc. Optimal unit loading in a hydroplant (1998).

Anne Mercier, M.Sc., operations research, HEC, Modelling international oil agreements (1997).

Abdelghani Hammadia, Engineering, École nationale supérieure d'informatique et d'analyse des systèmes, Maroc. Optimal unit loading in hydroelectric plants (1996).

Lamjed Hadiji, Financial evaluation of an oil field in the development phase (1995).

Mohamed Khediri, A model for the STIR refinery (1995).

Mongi Harouni, Optimizing the use of pump equipment at the El Borma field (1995).

Khaled Becheikh, Energy models (1990).

Joël Nkoto-Angoula, Optimization of transportation and distribution of petroleum products in Cameroon (1990).

Mohamed Othmani, Optimization of refinery processes by linear programming (1990).

Malalanirina Ratomaharo, Models for the evaluation of reserves (1990).

Onesphore Harakandi, Forecasting demand, transportation and distribution of oil products in Burundi (1989).

Ezzedine Khalfallah, Optimizing transportation of oil products in Tunisia (1989).

El-Hassen Salem, Risk analysis, gas field production project (1989).

Said Oualaalou, Optimization of refinery processes by linear programming (1989).

Khaled Kaddour, Increasing the recuperation at El-Borma (1988).

Soriba Touré, Optimizing transportation of petroleum products in the republic of Guinea (1988).